The Study of Relationship Between Macroeconomic Variables and the Yield Curve in Iran: Dynamic Stochastic General Equilibrium Approach
Author(s):
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
This study evaluated a relationship between macroeconomic variables and the yield curve in Iran between years 1994:q1-2016:q4 using a dynamic stochastic general equilibrium model. The model consists of the household, the firm, the finance, the oil, the government, and the central bank. Both households and firms have the exclusive power to supply their labor and their products to adder, which makes it possible to stipulate nominal rigidity in wages and prices. After optimizing and obtaining the first order conditions of the brokers, using Uhlig method, the linear - log shape of the equations were obtained. The results of the impulse response functions indicates that the preliminary effect of the technology, monetary, and oil shocks on the slope of the Islamic treasury bills yield curve is positive, the preliminary effect of the technology, government expenditure, and cost push on the curvature of the yield curve is negative, and the preliminary effect of the technology, government expenditure, and cost push on the level of the yield curve is positive. The comparison of the moments of the model variables and the moments of the actual data of the Iranian economy reveals the success of the model in simulating the realities of the Iranian economy.
Keywords:
Language:
Persian
Published:
Journal of Econimic Studies and Policies, Volume:10 Issue: 2, 2024
Pages:
99 to 130
https://www.magiran.com/p2706547
سامانه نویسندگان
مقالات دیگری از این نویسنده (گان)
-
Investigating the Effect of Cyclical Fiscal Policy and Fiscal Sustainability on Economic Growth in Iran: State-Space Model with Time-Varying Parameters Approach
Hossein Aghilifar*, Khosrow Piraei, Hashem Zare,
The Economic Reseach, Summer 2025 -
The Effects of Macro-Fiscal Determinants on Fiscal Deficit in Iran
Samira Ejtehadi, Hashem Zare *, , Mohammad Ali Aboutorabi
Economic Research, Spring 2024 -
Investigating the factors affecting oil prices in Iran with emphasis on economic policy uncertainty, global geopolitical risk, and global uncertainty using the NARDL method
Seyyed Badiollah Mousavi, *, Seyyed Nematollah Mousavi
Strategic Studies in Petroleum and Energy Industry, -
Investigating economic uncertainty, global geopolitical risk and global uncertainty on oil price fluctuations in Iran
Seyyed Badiollah Mousavi*, , Seyyed Nematollah Mousavi
Strategic Studies in Petroleum and Energy Industry,