List of Articles vector auto regression

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  1 - Asymmetric effects of oil shockwaves on economic growth in Iran
  فرهاد غفاری سحر مظفری
  The purpose of this study is to analyze the asymmetric effects of oil priceshocks on economic growth in Iran. There are two hypotheses in this study:First, any reduction of oil prices leads to lower economic growth in Iran andsecond, the positive impact of an equal incr More

  The purpose of this study is to analyze the asymmetric effects of oil priceshocks on economic growth in Iran. There are two hypotheses in this study:First, any reduction of oil prices leads to lower economic growth in Iran andsecond, the positive impact of an equal increase of price of oil on economicgrowth is less than the negative effect. Therefore the effects are asymmetric.We use Vector Auto Regression model to estimate our model. Our modelshows that shockwaves in oil price have a greater impact on economicfluctuations in Iran than other macroeconomic variables. We also use Hydric ‐Prescott filtering to separating positive and negative shocks and confirm theirasymmetric effects Manuscript profile
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  2 - Investigation of Interrelationship between Renewable Energy- Sustainable Development- Co2 Emmision in Iran: Bayesian VAR Approach
  Davood Behboudi Parviz Mohammadzadeh Soha Moosavi
  10.22034/jest.2020.27377.3646
  Background and Objective: Due to the limitation of fossil energy resources and problems caused by greenhouse gas emissions, it is essential to focus on renewable energy resources, because it can be used to achieve sustainable development goals. Thus, the purpose of this More

  Background and Objective: Due to the limitation of fossil energy resources and problems caused by greenhouse gas emissions, it is essential to focus on renewable energy resources, because it can be used to achieve sustainable development goals. Thus, the purpose of this research is to investigate relations among renewable energy, CO2 emissions and sustainable development and compared to non-renewable energy in Iran.  Method: In this study, dynamic interrelationships in the sustainable development-energy- CO2 emissions nexus is examined by applying bayesian vector autoregression (BVAR) in Iran over the period 1980-2013. Gross Domestic Product (GDP) is the indicator commonly used to measure economic growth and sustainable development, but this indicator is inefficient for evaluating development. One of the most prominent alternative indicators for sustainable development is the Index of Genuine Savings (GS). For this purpose, in this study GS is used as an indicator of sustainable development. Findings: Results reveal that the impact of creating positive shock on renewable and non-renewable energy consumption on sustainable development in Iran is positive. Also, positive shock on renewable and non-renewable energy consumption causes an increase in CO2 emission. Moreover, the impact of an increase in sustainable development is positive on renewable energy consumption and is negative on non-renewable energy consumption. Discussion and Conclusion: It is suggested that policy makers prioritize the promotion of energy supply diversification policies, especially renewable energy.   Manuscript profile
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  3 - Investigating the Effect of Liquidity and Per capita Income on the Housing Market (Using a vector auto regression model)
  shahrzm vahedi Farhad Hanifi seyyed jalal sadeghi sharif
  AbstractThe housing market has been one of the most volatile sectors of the economy in recent times, experiencing periods of stagnation and boom. It is important to note that the housing sector is most closely linked to other sectors of the economy. With the recession, More

  AbstractThe housing market has been one of the most volatile sectors of the economy in recent times, experiencing periods of stagnation and boom. It is important to note that the housing sector is most closely linked to other sectors of the economy. With the recession, the whole economy will be in crisis. Also, the housing sector, given these features, has a stronger impact on investment and housing prices than short-term economic fluctuations, as well as its widespread and past relevance to other sectors, has the potential to generate growth and development in other sectors of the economy and can serve as an endogenous growth incentive. To play a slower role, and to stimulate, to stimulate economic growth in the short term and to drive the recession out. Therefore, further reflection is necessary in this section. Therefore, in this study, using the vector auto regression Time Series (VAR) analysis model, we investigate the interaction between housing price markets of some macroeconomic variables such as liquidity volume, per capita income. The results showed that the volume of liquidity has a significant share in the volatility of the housing market. Therefore, policymakers in the economic field should pay more attention to this. Manuscript profile
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  4 - Comparison of Neural Network Models, Vector Auto Regression (VAR), Bayesian Vector-Autoregressive (BVAR), Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) Process and Time Series in Forecasting Inflation in ‎Iran‎
  M. Pendar M. Haji
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  5 - Investigate and analyzing the effects of oil price shocks on industry and mine sector in Iran (Vector auto regression application)
  kamran kasraei Majid Sameti Homayoun Ranjbar Sara Ghobadi
  In recent decades, there are many bold oil price volatilities in markets and most of economists has propose oil price severe variations as the main reason of macroeconomic volatilities in both oil export and import countries, such as Iran. Because of oil rule in Iran&rs More

  In recent decades, there are many bold oil price volatilities in markets and most of economists has propose oil price severe variations as the main reason of macroeconomic volatilities in both oil export and import countries, such as Iran. Because of oil rule in Iran’s economic, analyzing the effects of oil market shocks on macroeconomic indicators is very important.So, in this paper we use Vector auto regression model to investigate time- variant impulse functionsfor industry and mine value added growth, informal exchange rate, inflation, real consumption expenditures of government, real import growth and real oil revenues growth on oil revenues shocks for 1988- 2015 period. The results show that, there is a linear effectiveness of positive oil revenues shocks on macroeconomic variables.The results show that, there is a linear effectiveness of positive oil revenues shocks on macroeconomic variables.The results show that, there is a linear effectiveness of positive oil revenues shocks on macroeconomic variables. Manuscript profile
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  6 - The Relationship between Economic Instability with Economic and Social Development in Iran
  Mohammad Reza Nahidi Amirkhiz
  Looking at the state of the economy after the Islamic Revolution, especially in recent decades, the relative balance of our economy has become an important issue. Sudden changes in important indices such as inflation, exchange rates, exports and imports and unemployment More

  Looking at the state of the economy after the Islamic Revolution, especially in recent decades, the relative balance of our economy has become an important issue. Sudden changes in important indices such as inflation, exchange rates, exports and imports and unemployment are the proof of this claim and indicate the lack of integrated and consistent economic policies. These factors are among the factors that governments seek to control them to achieve three targets of allocation, distribution and economic stability. In macroeconomic literature, these phenomena are regarded as indicators of economic instability which has impact on economic growth and development. In this paper, the effect of instability parameters on Iran's economic and social development has been studied during the period 1979-2013 using time series data and Vector Auto Regression Model (VAR). The results confirmed the affectability of the economic development from above factors and make clear the attention to these factors in relation to trade policy and economic saga.   Manuscript profile
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  7 - An analysis of the automatic stabilization of direct and indirect taxes in Iran
  mohammad taghi gilak hakim abadi Ali Mehregan
  10.30495/eco.2022.1939212.2563
  In this paper the effect of direct and indirect taxes on the fluctuations of Iran's economic cycles has been studied. To estimate the models of this research, Vector Auto Regression method by quarterly data from q1-1372 to q3-1397. The results of this study are that, un More

  In this paper the effect of direct and indirect taxes on the fluctuations of Iran's economic cycles has been studied. To estimate the models of this research, Vector Auto Regression method by quarterly data from q1-1372 to q3-1397. The results of this study are that, unlike empirical, direct taxes have not had a significant effect on reducing fluctuations in economic cycles. Also, the effect of indirect taxes on economic cycles is faster than direct taxes. Based on the results, it is suggested to use more of the country's tax capacity to better perform the government's stabilizing task in the economy, especially the reform of tax bases. Manuscript profile
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  8 - Impact of Fiscal Policy Shocks on Cyclical and Structural Budget Balance in OPEC Member Countries
  marzieh dindarrostami Shamsollah Shirinbakhsh Zahra Afshari
  Abstract The aim of this paper is to investigate the effects of fiscal policy shocks on the actual, cyclical and structural budget balance in OPEC countries during the period 1980-2015. For this purpose, by separating the budget balance into two cyclical and structural More

  Abstract The aim of this paper is to investigate the effects of fiscal policy shocks on the actual, cyclical and structural budget balance in OPEC countries during the period 1980-2015. For this purpose, by separating the budget balance into two cyclical and structural variables, using the Panel Structural Vector Auto Regression approach, which it presented in Pedroni (2013), as well as separation structural shocks into two common and idiosyncratic shocks among OPEC countries, the effect of fiscal policy is examine. Regarding the results, the effect of expenditures fiscal policy on the actual and structural budget has been positive and the effect of tax policy has been negative in theory. Based on the results, the need to pay attention to automatic stabilization and the use of monetary policy to deal with economic problems, rather than applying discretionary fiscal policy, are advisable. Manuscript profile