Metamorphosis of monetary transmission over time: DSGE and FAVAR approach

The purpose of this survey is assessing the effects of monetary policy on macroeconomic variables and monetary transmission mechanism on Iranian economy. In this regard, using the VAR, DSGE models and 110 quarterly variables of macroeconomic from1990:2-2013:1, monetary policies in Iran were evaluated. The main transmission mechanisms of monetary policy in Iran was trying to be examined.The results of different models showed, excep the exchange rate channel, the chanels of credit, asset prices and interest rates have an important role in the monetary transmission mechanism in the economy of Iran. Also, the FAVAR’s result showed that the impact of monetary policy on output is minimal in the short term; but we can accept monetary neutrality in the long term. Moreover, volatility reviews during two periods, 1369-80 and 1381-1393, using TVP-FAVAR and DSGE model, shows different effects of monetary policy in the two periods.