The Impact of Macroeconomic, Financial, Economic and Economic Crisis Indicators on Trade Cycles of Iran and Selected Islamic and Developed Developing Countries

Subject Areas : Financial Economics

Seyedeh Fatemeh Bagheri ¹ ( PhD student in Islamic Economics, Faculty of Economics and Accounting, Islamic Azad University of Tehran )
Rafik Nazarian ² ( Assistant Professor, Faculty Member, Department of Economics, Central Tehran Branch, Islamic Azad University, Tehran, Iran )
Manijeh Manijeh Hadinejad ³ ( Assistant Professor, Faculty Member, Department of Economics, Central Tehran Branch, Islamic Azad University, Tehran, Iran )
Marjan Damankeshideh ⁴ ( Assistant Professor, Faculty Member, Department of Economics, Central Tehran Branch, Islamic Azad University, Tehran, Iran )

Received: 2022-04-12 Accepted : 2022-06-16 Published : 2022-08-23

Keywords: E44, G21, business cycles, Keywords: Macroeconomic indicators, Economic crises, generalized system torque model, PanelVAR JEL Classification: C23,

Abstract :

AbstractThe present study uses the Generalized System Torque Model (SGMM) and dynamic panel data (PANEL VAR) to investigate the impact of macroeconomic, financial, economic and economic crises on business cycles of selected developing and developed countries over time. 2013-2019, 1392-1398. In this paper, the effect of independent variables (liquidity risk, return on assets, capital adequacy ratio, etc.) on business cycles in selected countries through the output gap variable using the Hadrick Prescott filter is used to evaluate the results of the model. Liquidity risk, lending facility growth rates and financial crises have a negative impact on the output gap, while return on assets, capital adequacy ratio, crude oil prices, exchange rates and the development of financial markets have a negative impact on periods. Have left the trade of selected countries.The results of the study of the reactions of instantaneous reaction (IRF) and analysis of variance for developed countries show that a standard deviation in terms of oil price index and exchange rate on the output gap, these variables show a decrease of up to two periods. Increased development of financial markets and banking health has continued, after 2 periods of shock effect of oil prices and exchange rates over time on the output gap of developed countries will be minimized.Also for developing countries; a standard deviation from The area of ​​oil price index and exchange rate on the output gap, these variables have increased up to two periods and after 4 periods, has decreased, in other words, the effect of oil prices on the production of developing countries shows that in periods Rising oil prices, investment and production have increased, and conversely, when oil revenues fall, we see a decline in production, in other words, rising oil revenues are largely unmanaged, in other words, long-term investments are spent on short-term expenditures. It has resulted in nothing but inflation and increased liquidity for these countries.

References:

فهرست منابع 
آرمن سیدعزیز، پیرو فرزانه (1394) بررسی عدم تقارن در ادوار تجاری ایران و نقش تکانه های نفتی در ایجاد آن، فصلنامه اقتصاد مقداری (فصلنامه بررسیهای اقتصادی):   زمستان 1392، دوره  10 , شماره  4 (پیاپی 39)، از صفحه 113 تا صفحه 146.
افشاری؛ زهرا، نوشین محمودی؛ رضا بوستانی (1393)، ارزیابی مدل رشد نئوکلاسیک در تبیین چرخه‌های تجاری ایران، فصلنامه مطالعات اقتصاد کاربردی ایران، مقاله 11، دوره 3، شماره 9، بهار 1393، صفحه 189-204
امامی، کریم و مهدی ادیب پور (1388). بررسی اثرات نامتقارن شوکهای نفتی بر تولید. فصلنامه مدلسازی اقتصادی. سال سوم. شماره4. پیاپی 10. زمستان 1388. صص 26-1
ابراهیمی، محسن و سالاریان، محمد (1388). بررسی پدیده ی نفرین منابع طبیعی در کشورهای صادرکننده ی نفت و تأثیر حضور در اوپک بر رشد اقتصادی کشورهای عضو آن. فصلنامه اقتصاد مقداری (بررسی های اقتصادی سابق)، دوره 6، شماره 1، بهار 1388 ، صفحات 77-100
شریف آزاده محمدرضا، کاغذیان سهیلا (1387) بررسی عوامل موثر بر ادوار تجاری در اقتصاد ایران، جستارهای اقتصادی:   بهار و تابستان 1387 ، دوره  5 ، شماره  9 ، از صفحه 199 تا صفحه 238 .
شفیعی، سعیده و صبوری دیلمی، محمدحسن (1388) برسی میزان اثرپذیری متغیرهای کلان اقتصاد ایران از بحران مالی جهانی. مجله بررسی های بازرگانی، شماره 39، صص 16-2
صمدی، سعید و جلائی، سیدعبدالمجید (1383)؛ تحلیل ادوار تجاری در اقتصاد ایران، مجله تحقیقات اقتصادی، شماره 66:139 - 153.
طیب‌نیا، علی و قاسمی، فاطمه (1385)؛ نقش تکانه های نفتی در چرخه های تجاری اقتصادی ایران، پژوهشنامه اقتصادی، شماره 23: 49 - 80.
عباسی‌نژاد، حسین؛ شاهمرادی، اصغر و کاوند، حسین (1388)؛ برآورد یک مدل چرخه­های تجاری واقعی برای اقتصاد ایران با استفاده از رهیافت فیلتر کالمن و حداکثر راستنایی، مجله تحقیقات اقتصادی، شماره 89: 185- 214.
کمیجانی ا.، سبحانیان م. ه.، بیات س. " اثرات نامتقارن رشد درآمدهای نفتی بر تورم در ایران با استفاده از روش VECM". فصلنامه پژوهشنامه اقتصادی (رویکرد اسلامی-ایرانی)، سال دوازدهم، شماره 45، تابستان 1391، صفحات 226-201
هژیر کیانی و سید یحیی ابطحی (1387) "آزمون دیدگاه های کینزی جدید پیرامون اثرات نامتقارن شوکهای پولی بر تولید در اقتصاد ایران با استفاده از مدلهای چرخش رژیم مارکوف" پژوهشنامه علوم انسانی و اجتماعی- علوم اقتصادی، سال هشتم، شماره 3 (پیاپی 30)، پاییز 1387
هژبر کیانی، کامبیز و مرادی علیرضا (1390) تعیین نقاط چرخش در دوره های تجاری اقتصاد ایران با استفاده از الگوی خودبازگشتی سوئیچینگ مارکف.  مدلسازی اقتصادی، صص 25-1
Baltaji, B.H. (2005). Econometric Analysis of Panel Data. Third Edition, UK, John Wiley & Sons.
Barsky, R.B and L.Killian, (2004), Oil and the Macroeconomy since the 1970s, Jounal of Economic Perspectives, 18(4).
Bernanke, Ben S. (2004), “What Policymakers Can Learn from Asset Prices,” April 15, 2004 speech before the Investment Analysts Society of Chicago, Chicago, Illinois, available at www.federalreserve.gov/boarddocs/
Berument, Hakan, and Tasci, Hakan, (2002), Inflationary effect of crude oil prices in Turkey, Physica A, 316, 568-580.
Blacchard, Oliver, J., Gali, Jordi, (2007), the macroeconomics effects of oil shocks: Why are the 2000s so different from the 1970s? NBER working paper series, P. w13368.
Blake McLean, (2006), "Middle East Oil Production and Export Risks", Submitted to GP200A
Balke, N. S., Brown, S. P. A., Yucel, M. K. (2002), “Oil price shocks and the U.S. Economy: where does the asymmetry originate?” Energy Journal, 23(3), 27-52.
Chen, Shiu-sheng, (2008), Oil price pass-through into inflation, Energy Economics (August, 2008).
Fathin Faizah Said, AbdGhafar Ismail. (2008). “Monetary Policy, Capital Requirement and lending behavior of Islamic Banking in Malaysia”, Journal of Economic Cooperation, 29, 3 (2008). 1-22
Farzanegan, Mohammad Reza and Gunther, Markwardt (2007), the effects of Oil Price Shocks on Iranian Economy.
Hylmun Izhar, Dr. Mehmet Asutay (2007) “the Controllability and Reliability of Monetary Policy in Dual Banking System: Evidence from Indonesia”. Review of Islamic Economics, Vol. 11, No. 2, pp. 17-29, 2007
Jiménez-Rodríguez, R. and Sánchez (2005), Oil Price Shocks and Real GDP Growth: Empirical Evidence for some OECD Countries, Applied Economics 37.
Juncal Cunado and Fernando DeGracia (2004), Oil Prices, Economic Activity and Inflation: Evidence for Some Asian Countries. Working paper.
Koop, G. & Onorante, L. (2012), "Estimating Phillips Curves in turbulent times using the ECB’S survey of professionl forecasters". European Central Bank,Working Paper Series, February 2012, NO 1422
LeBlanc, Michael, Chinn, Menzie, D. (2004), Do high oil prices presage inflation? Business Economics, 39(2), 38-48.
Levin, Andrew, Chien-Fu Lin and James Chu (2002), Unit Root Tests in Panel Data: Asymptotic and Finite Sample Properties, Journal of Econometrics 108.
Mory, Javier F (1993), Oil Price and Economic Activity: Is the Relationship Symmetric? The Energy Journal, 14(4).
Olomola, P. A. & A. V. Adejumo (2006), "Oil Price Shock and Macroeconomic Activities in Nigeria", International Research Journal of Finance and Economics, Vol. 3, PP. 28-34.
Olomola Philip Akanni (2007),Oil Wealth and Economic Growth in oil Exporting African, Countries, Departement of Economics, Obafemi Awolowo University.
Salina H.Kassim, M.Shabri Abd. Majid and Rosylin Mohd Yousof (2009). “Impact of Monetary policy shoks on the conventional and Islamic banks in a Dual Bnking System: Evidence from Malaysia”. Journal of Economic Cooperation and Development, 30, 1 (2009), 41-58

 

Baltaji, B.H. (2005). Econometric Analysis of Panel Data. Third Edition, UK, John Wiley & Sons.
Barsky, R.B and L.Killian, (2004), Oil and the Macroeconomy since the 1970s, Jounal of Economic Perspectives, 18(4).
Bernanke, Ben S. (2004), “What Policymakers Can Learn from Asset Prices,” April 15, 2004 speech before the Investment Analysts Society of Chicago, Chicago, Illinois, available at www.federalreserve.gov/boarddocs/
Berument, Hakan, and Tasci, Hakan, (2002), Inflationary effect of crude oil prices in Turkey, Physica A, 316, 568-580.
Blacchard, Oliver, J., Gali, Jordi, (2007), the macroeconomics effects of oil shocks: Why are the 2000s so different from the 1970s? NBER working paper series, P. w13368.
Blake McLean, (2006), "Middle East Oil Production and Export Risks", Submitted to GP200A
Balke, N. S., Brown, S. P. A., Yucel, M. K. (2002), “Oil price shocks and the U.S. Economy: where does the asymmetry originate?” Energy Journal, 23(3), 27-52.
Chen, Shiu-sheng, (2008), Oil price pass-through into inflation, Energy Economics (August, 2008).
Fathin Faizah Said, AbdGhafar Ismail. (2008). “Monetary Policy, Capital Requirement and lending behavior of Islamic Banking in Malaysia”, Journal of Economic Cooperation, 29, 3 (2008). 1-22
Farzanegan, Mohammad Reza and Gunther, Markwardt (2007), the effects of Oil Price Shocks on Iranian Economy.
Hylmun Izhar, Dr. Mehmet Asutay (2007) “the Controllability and Reliability of Monetary Policy in Dual Banking System: Evidence from Indonesia”. Review of Islamic Economics, Vol. 11, No. 2, pp. 17-29, 2007
Jiménez-Rodríguez, R. and Sánchez (2005), Oil Price Shocks and Real GDP Growth: Empirical Evidence for some OECD Countries, Applied Economics 37.
Juncal Cunado and Fernando DeGracia (2004), Oil Prices, Economic Activity and Inflation: Evidence for Some Asian Countries. Working paper.
Koop, G. & Onorante, L. (2012), "Estimating Phillips Curves in turbulent times using the ECB’S survey of professionl forecasters". European Central Bank,Working Paper Series, February 2012, NO 1422
LeBlanc, Michael, Chinn, Menzie, D. (2004), Do high oil prices presage inflation? Business Economics, 39(2), 38-48.
Levin, Andrew, Chien-Fu Lin and James Chu (2002), Unit Root Tests in Panel Data: Asymptotic and Finite Sample Properties, Journal of Econometrics 108.
Mory, Javier F (1993), Oil Price and Economic Activity: Is the Relationship Symmetric? The Energy Journal, 14(4).
Olomola, P. A. & A. V. Adejumo (2006), "Oil Price Shock and Macroeconomic Activities in Nigeria", International Research Journal of Finance and Economics, Vol. 3, PP. 28-34.
Olomola Philip Akanni (2007),Oil Wealth and Economic Growth in oil Exporting African, Countries, Departement of Economics, Obafemi Awolowo University.
Salina H.Kassim, M.Shabri Abd. Majid and Rosylin Mohd Yousof (2009). “Impact of Monetary policy shoks on the conventional and Islamic banks in a Dual Bnking System: Evidence from Malaysia”. Journal of Economic Cooperation and Development, 30, 1 (2009), 41-58