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The Effect of Monetary Policy on Financial Condition Index in Iran with the Markov-Switching Approach | ||
| International Journal of Business and Development Studies | ||
| دوره 14، شماره 1، مهر 2022، صفحه 89-117 اصل مقاله (671.86 K) | ||
| شناسه دیجیتال (DOI): 10.22111/ijbds.2022.7438 | ||
| نویسندگان | ||
| Zahra Haerinasab1؛ Kiomars Sohaili2؛ Shahram Fattahi3 | ||
| 1M.A in Economics, Razi University, Kermanshah, Iran. | ||
| 2Associate Professor in Economics, Faculty of Economics, Razi University, Kermanshah, Iran. | ||
| 3Associate Professor in Economics, Faculty of Economics, Razi university, Kermanshah, Iran. | ||
| چکیده | ||
| Monetary policy is one of the important economic policies that affect the macro variables of every country. One of the composite variables that are affected by the monetary policy is the FCI. This study aimed to measure the effect of monetary policy through different channels on the FCI of Iran. Using time series data from 1991-2023 and the econometric method of PCA, the FCI was first calculated. The effect of monetary policy on the FCI of the country using the Markov-switching (MSIHA(2) AR(2)) model was calculated and estimated. The results of the estimation of the Markov-switching model indicate that the studied period can be divided into two regimes of zero and one. So that 1% increase in the FCI in regime zero will lead to a 0.02% return of the FCI in the next month and a 0.36% increase in the next two months. In addition, the increase in the FCI in regime one will lead to a 0.08% return of the FCI and a 0.10% increase in the next two months. In addition, the volume of money in regime zero and regime one also positively and significantly affects FCI. | ||
| کلیدواژهها | ||
| Monetary Policy؛ FCI؛ PCA؛ Markov-Switching؛ Iran | ||
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آمار تعداد مشاهده مقاله: 16 تعداد دریافت فایل اصل مقاله: 17 |
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