List of Articles مدل مارکف سوئیچینگ

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  1 - Uncertainty about economic policies and the stock market in Iran based on Markov switching model
  Hossein Amiri M. Pirdadeh Beyranvand
  One of the factors that investors consider in their decisions is the return on equity. Achieving this return is possible in a situation where economic stability exists. One of the aspects of economic stability is the stability of economic policies that plays an importan More

  One of the factors that investors consider in their decisions is the return on equity. Achieving this return is possible in a situation where economic stability exists. One of the aspects of economic stability is the stability of economic policies that plays an important role in the economy of the country. So, if there is uncertainty about economic policies, this uncertainty will unconscious of the economic activists towards future economic developments, and the subsequent owners of the capital will be able to make decisions for the future, including capital and the money market and the capital market will be in trouble. Considering the importance of the issue in this paper, using the Markov Switching Model and applying annual data, we investigate the effect of economic policy uncertainty on the return on Iranian stock market during the period of 1981-2016. In this research, the variables of economic growth rate, inflation rate, unemployment rate, interest rate and liquidity growth rate are used as independent variables. In order to measure economic policy uncertainty, exchange rate fluctuations and government budget deficits are also used. The findings of the paper show that dynamic communication of uncertainty in economic policies and stock market returns is always negative, as the increase in uncertainty in economic policies significantly reduces capital market returns. Also, the relation between stock market returns and the uncertainty of nonlinear economic policies and the uncertainty about the return on capital during a period of high-fluctuation diet is stronger and more stable. Manuscript profile
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  2 - Studying Recessions and Booms in Iran Economy by Using Markov Switching Model
  Morteza Salehi Sarbijan gholam ali Reisi Nader Shetab Booshehri
  In this paper, by using the nonlinear model of Hamilton Markov switching, the possible features of circular pattern are considered in Iran by a seasonally adjusted real GDP during 1988-2008. The results represent that business cycles extracted from Markov switching meth More

  In this paper, by using the nonlinear model of Hamilton Markov switching, the possible features of circular pattern are considered in Iran by a seasonally adjusted real GDP during 1988-2008. The results represent that business cycles extracted from Markov switching method are more appropriate than the linear model and the growth rate of GDP divided into three regimes by the average of negative, mildly positive and high positive growth as 3.92, 4.43 and 9.53 respectively. Iran economy experienced, during the above period, 7 seasons of recession, 10 seasons of mild growth and 58 seasons of high growth. Furthermore, the probability of stability in recession, moderate, and high growth are estimated 0.3, 0.92 and 0.5 percent respectively. Manuscript profile