Volume 3, Issue 2 (4-2021)                   sjamao 2021, 3(2): 8-15 | Back to browse issues page

XML Persian Abstract Print

Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Ranjbar Z, Etemad S M K. Investigating the Effect of Monetary Shock on the Activity Level of Industrial Units in Iran Using the FAVAR Model. sjamao. 2021; 3 (2) :8-15
URL: http://sjamao.srpub.org/article-7-108-en.html
Department of Industrial Engineering, Faculty of Engineering, Zand Institute of Higher Education, Shiraz, Iran
Abstract:   (206 Views)
Today, economic development is not possible without paying attention to the industrial sector. Industry is one of the infrastructural sectors of the economy that plays an important role in determining the cycles of prosperity and recession  Also, the monetary policy is one of the important macroeconomic policies of the country which due to the importance of the industrial sector in Iran's economy and the need to adopt appropriate monetary policies, this study tries to investigate the effect of monetary shocks including liquidity shock and monetary base shock on the level of activity of industrial units in the country. For this purpose, statistical data from 1978 to 2016 and a Factor augmented vector auto regressive (FAVAR) model have been used to determine the relationships and effects of shocks and their analysis. The research findings indicate that a positive monetary shock (increase in money supply) has expansionary effects on the count growth of Industries and the investment of these industries in Iran's economy. Also, the count of industries and their investment According to liquidity shocks have a faster and more stable response than monetary base shocks.
Full-Text [PDF 821 kb]   (436 Downloads)    
Type of Study: Research | Subject: Industrial Organization
Received: 2021/02/15 | Accepted: 2021/03/30 | Published: 2021/04/30

1. Sims CA. Macroeconomics and reality. J Economet Soc. 1980; 48(1): 1-48. [DOI:10.2307/1912017]
2. Hsing Y. Responces of argentine output to shocks to monetary policy, fiscal policy and exchange rates: A VAR Model. Appl Economet Int Dev. 2004; 4(1): 1-16.
3. Bernanke BS, Boivin J, Eliasz P. Measuring the effects of monetary policy: A factor-augmented vector autoregressive (FAVAR) approach. Q J Econ. 2005; 120(1): 387-422. https://doi.org/10.1162/qjec.2005.120.1.387 [DOI:10.1162/0033553053327452]
4. Marzban H, Dehghan Z, Akbarian R, Farahani M. Assessing the effectiveness of monetary policy on the economy: FAVAR approach. J Quant Econ (Q J Econ Rev), 2016; 13(2): 71-92.
5. Bernanke B, Boivin J. Monetary policy in a data-rich environment. J Monetary Econ. 2003; 50(3): 525-546. [DOI:10.1016/S0304-3932(03)00024-2]
6. Bernanke B, Blinder A. The federal funds rate and the channels of monetary transmission. Natl Bureau Econ Res. 1990; 82(4): 901-958. [DOI:10.3386/w3487]
7. Boivin J, Kiely M, Mishkin FS. How has the monetaryv transmission mechanism evolved over time?. Handbook Monetary Econ. 2010; 3(1): 369-422. [DOI:10.1016/B978-0-444-53238-1.00008-9]
8. Lutkepohl H. Introduction to Multiple Time Series Analysis. New York, Springer Verlag. 1991. [DOI:10.1007/978-3-662-02691-5]
9. Urzua CM. Omnibus tests for multivariate normality based on a class of maximum entropy distributions. Adv Economet. 1997; 12(1): 341-358. [DOI:10.1108/S0731-9053(1997)0000012016]

Add your comments about this article : Your username or Email:

Send email to the article author

Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.