Investigation of Fiscal Stimulus Programs Effects on Economic Growth in Iran Using TVAR model

The main purpose of this article is to examine the effects of fiscal stimulus programs, government spending and tax cuts, on economic growth in Iran. For this purpose, output gap as a variable transition between regimes is defined and estimated using Hodrick – Prescott Filter (HPF) and its stationary is confirmed by augmented Dickey – Fuller test. So using Tsay yest (1998) and data years 1338 to 1391, while the investigation of non-linear (high threshold) fiscal stimulus programs effects and approval it, the threshold value of transmission variable also is estimated, the endogenous. Thus, based on a threshold value (-0.00149) for the variable transmission, two regimes include: high regime (output gap greater than -0.00149) and low regime (output gap less than -0.00149) are considered .Finally, to evaluate the effectiveness of fiscal stimulus programs , threshold vector autoregresive model- assuming the possibility of switching between the two regimes and equality of disturbance terms variance in the two regimes - using R software is estimation and generalized impulse response functions are derived. Results indicate that in two regimes of high and low, reduction tax revenues and increasing government spending multipliers are positive. However, increasing government spending multiplier in low regime is greater than upper and regime reduction tax revenues multiplier in upper regime is greater than low regime. Accordingly, the fiscal stimulus multipliers in Iran is dependent on regime change based on output gap variable.