Impact of Monetary and Fiscal Shocks on Iranian Economic Growth and Income Distribution–A Dynamic Stochastic General Equilibrium

Document Type : Research Article

Authors

Abstract

This paper examines impacts of money base and government shocks on economic growth and income inequality of Iranian economy using dynamic stochastic general equilibrium model. The New Keynesian approach was used to design appropriate model and definition the equations. Also, time series data of period 1961 to 2012 was used to calculate the parameters and the simulation the endogenous variables of model with real world. The behavior of the Gini coefficient and economic growth showed that during the selected period the Gini coefficient behavior is counter-cyclical to economic growth. Results based on impulse response functions indicate that money base and government shocks have increased the economic growth via aggregate production. On the other hand, productivity shock has increased economic through non-oil production growth. Oil income shock has increased economic growth through GDP Also, money base and government shocks have worsened household’s income distribution. So, income inequality was increased

Keywords

References

کمیجانی، اکبر و توکلیان، حسین (1391)؛ سیاست­گذاری پولی تحت سلطه مالی و تورم هدف ضمنی در قالب یک مدل تعادل عمومی پویای تصادفی برای اقتصاد ایران، فصلنامه تحقیقات مدلسازی اقتصادی، 2(8): 87-117.
متوسلی، محمود، شاکری، ایلناز، شاهمرادی، اصغر و کمیجانی، اکبر (1389)؛ طراحی یک الگوی تعادل عمومی پویای تصادفی نیو کینزی برای اقتصاد ایران به عنوان یک کشور صادرکننده نفت، فصلنامه پژوهشهای اقتصادی، (4): 116-87.
معبودی، رضا (1393)؛ تأثیر تکانه­های پولی و مالی بر متغیرهای اقتصاد کلان در دوره زمانی 1392-1338، رهیافت تعادل عمومی تصادفی پویا، پایان­نامه دکتری، دانشگاه بوعلی­سینا همدان.
Adolfson, M.; Laséen, S.; Lindé, J. and Villani, M. (2005); Bayesian estimation of an open economy DSGE model with incomplete pass-through, Sveriges Riks bank, Working Paper Series, No.179.
Almeida, V.; Castro, G. and Féelix, R. (2008); “Improving competition in the non-tradable goods and labour markets: the Portuguese case”, Banco de Portugal, Economics and Research Department, Working Papers, W200816.
Bhattarai, K. and Trzeciakiewicz, D. (2012); Macroeconomic impacts of fiscal policy shocks in UK, a DSGE analysis, www.hull.ac.uk/php/ecskrb/Confer/Dawid_May_2012.pdf
Calvo, G.A. (1983); “Staggered prices in a utility-maximizing framework”, Journal of Monetary Economics 12(3): 383-398.
Caraman-Hudea, O.S. (2012); “An estimated dynamic stochastic general equilibrium model for the Romanian economy, considering nominal and real rigidities”, Procedia Economics and Finance, 3: 105-110
Cassetti, M. (2010), Macroeconomic outcomes of changing bargaining relationships in open economies, the feasibility of a wage-led economy reconsidered, Discussion Paper, No. 1004, www.unibs.it/sites/default/files/ricerca /allegati.
Christiano, L. J.; Eichenbaum, M. and Evans C. L. (2005); “Nominal rigidities and the dynamic effects of a shock to monetary policy”, Journal of Political Economy, 113(1): 1-45.
Clarida, R.; Galí, J. and Gertler, M. (2000); “Monetary policy rules and macroeconomic stability: evidence and some theory”, Quarterly Journal Economy, 115(1): 147-180
Coenen, G. and Straub, R. (2005); “Does government spending crowd in private consumption? theory and empirical evidence for the Euro Area”, International Finance, Blackwell Publishing, 8(3): 435-470.
Erceg, C. J.; Henderson, D. W. and Levin, A. T. (2000); “Optimal monetary policy with staggered wage and price contracts”, Journal of Monetary Economics, 46(2): 281-313.
Forni, L.; Libero, M. and Sessa, L. (2009); “The general equilibrium effects offiscal policy: estimates for the Euro area”, Journal of Public Economics, 93(3-4): 559-585.
Galí, J.; López-Salido, J.D. and Vallés, J. (2004); “Rule of thumb consumers and the design of interest rate rules, national bureau of economic research, Working Paper, No. 10392, //www.nber.org/papers/w10392.
Galí, J. (2008);”Monetary Policy, Inflation, and the Business Cycle”, Princeton University Press and copyrighted.
Gornemann, N.; Kuester, K. and Nakajima, M. (2013); Monetary policy with heterogeneous agents, CIGS conference on macroeconomic theory and policy, Advances in Economic Theory and Measurement.
Grüning, P.; Theobald, T. and Treeck, T.V. (2015); Income inequality and Germany’s current account surplus, Working Paper No. 147, Macroeconomic Policy Institute.
Hodrick, R.J. and Prescott, E.C. (1997); “Postwar U.S. Business Cycles: An Empirical Investigation”, Journal of Money, Credit, and Banking, 29, 1–16.
Khera, P. (2016); Macroeconomic impacts of gender inequality and informality in India, International Monetary Fund, Working Paper, Asia and Pacific Department, No. W/16/16.
Kumhof, M.; Ranciere, R. and Winant, P. (2015); “Inequality, Leverage, and Crises”, American Economic Review, 105: 1217-1245.
Kydland, F.E. and Prescott, E.C. (1982), “Time to build and aggregate fluctuations”, Econometrica, 50(6): 1345-1370.
Leeper, E.M.; Plante, M. and Traum, N. (2010); “Dynamics of fiscal.financing in the United States”, Journal of Econometrics, 156(2): 304-321.
Long, J. and Plosser, C. (1983); “Real Business Cycles”, Journal of Political Economy, 91(1): 39-69.
Lopez-Salido, J.D. and Rabanal, P. (2006); “Government spending and consumption-hours preferences”. Working Paper Series, No. 02.
Mankiw, G. (1985); “Small menu costs and large business cycles: A macroeconomic model of monopoly”, Quarterly Journal of Economics, 100: 529-39.
Obstfeld, M. and Rogoff, K. (1995); “Exchange rate dynamics redox”, Journal of Political Economy, 103(3): 624-60.
Oh, J. (2013); Inequalities and business cycles in dynamic stochastic general equilibrium models, https://economics.osu.edu/files/JonghyeonOH_JMP_0.pdf
Prescott, E.C. (1986); “Theory ahead of business cycle measurement”, Federal Reserve Bank of Minneapolis, Quarterly Review, 9: 124-146.
Ravenna, F. and Vincent, N. (2014); Inequality and debt in a model with heterogeneous agents, Cahier de recherche/Working Paper, No. 14-08.
Ratto, M.; Roegerb, W. and Jan in’t Veld. (2008); “Quest III: An estimated open-economy DSGE model of the Euro Area with fiscal and monetary policy”, ISBN 978-92-79-08260-3 doi 10.2765/86277, © European Communities. http://ec.europa.eu/economy_finance/publications.
Rotemberg, J. and Woodford, M. (1997);”An optimization-based econometric framework for the evaluation of monetary policy”. NBER chapters, in: NBER Macroeconomics Annual,12: 297-361.
Smets, F. and Wouters, R. (2003); “An estimated dynamic stochastic general equilibrium model of the Euro Area”, Journal of the European Economics Association, 1(5): 1123-1175
Swarbrick, J. (2012); Optimal fiscal policy in a DSGE model with heterogeneous agents, www.eabcn.org/sites/default/files/masters.pdf
Taylor, J.B. (1980); “Aggregate dynamics and staggered contracts”, Journal of Political Economy, 88: 1-22.
Uhlig, H. (2010); “Some fiscal calculus”, American Economic Review, 100(2): 30-34.
Zubairy, S. (2010); on fiscal multipliers: estimates from a medium scale DSGE model, Bank of Canada, Working Paper.
Journal of Applied Economics Studies in Iran
Volume 5, Issue 19
November 2016
Pages 59-82

Files

Share

How to cite

Statistics