Effect of Shock Factors Affecting Financial Crises in Iran's Economy: Autoregressive Vector Models Variable-Time Parameters

Subject Areas : Labor and Demographic Economics

ozra bayani ¹ ( Allameh Tabataba'i University )
teimur mohammadi ² ( Department of Economics, Allame Tabatabai University )
javid bahrami ³ ( Department of Economics, AllamehTabataba'i University, Tehran, Iran )
Hossein Tavakolian ⁴ ( Assistant professor, Faculty of economics, Allameh Tabataba'i university )

Received: 2019-09-22 Accepted : 2019-09-22 Published : 2019-08-23

Keywords: G28, financial crisis, E58, JEL classification: G01, F33. Key Words: Autoregressive Vector Models Variable-Time Parameters, Bayesian Model Averaging,

Abstract :

The purpose of this study was to investigate the effects of shocks on factors affecting financial crises in Iran's economy. In this study 62 explanatory variables were introduced into the model between 1370: 1 and 1395: 4 and, using the Bayesian averaging model approach, 12 non-critical variables that were effective on the financial crisis were identified. According to the results of the results, it can be stated that the financial crisis index in Iran's economy is a multi-dimensional problem, as variables related to fiscal policy; monetary policy and foreign exchange policy affect this index. Based on the results of the Autoregressive Vector Models Variable-Time Parameters, it was also observed that the effect of selected variables on financial crises in Iran over the course of time has had different effects and in recent years the intensity of the effect of selected variables has been strengthened. One of the fundamental solutions is that policies that reduce inflation uncertainty, such as the fiscal and monetary discipline of the government and the central bank, reduce crisis expectations by stabilizing the currency and currency markets can reduce crisis uncertainty.

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