The Effect of Trade Openness and Government Size on Macroeconomic Volatility in Iran: A Stochastic Volatility Model (SVM) Approach
Author(s):
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
The main purpose of this paper is to examine the effect of trade openness and government size on macroeconomic volatility. Economic theories do not clearly show the effects of trade openness and government size on macroeconomic volatility. Therefore, this is essentially an empirical problem. Hence, we have presented an empirical model to test the effect of trade openness and government size on macroeconomic volatility in Iran over the period of 1352-1395. For this, first, the macroeconomic uncertainty was extracted using stochastic volatility model with leverage effects by technique of principal component analysis. The results showed that in the long run, trade openness and government expenditures have a positive effect on macroeconomic volatility in Iran. In addition, in the short run, there is no significant relationship between the relevant variables and macroeconomic volatility.
Keywords:
Language:
Persian
Published:
Journal of Econometric Modeling, Volume:3 Issue: 2, 2018
Pages:
123 to 153
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