عنوان مقاله [English]
This paper studied the impact of the most important factors affecting on volatility of GDP in Iran by using Dynamic Stochastic General Equilibrium (DSGE). Furthermore, it is important to understand the contribution of each of the factors to create volatility in GDP. To this end, we introduced institutional quality in production function. In our model, oil price shock is assumed to affect macroeconomics variables through affecting on productivity. The paper applied the model in Iran economy for the period of 1989-2014. The results indicated that one structural break had taken place in GDP in 2007:3 and Gross domestic product volatility has increased in the period after the structural break. The reason for this structural break can be found in the rise in oil prices that began in 2004 and continued for several consecutive years. We also found that the share of factors that affect volatility in GDP has changed after structural break. The variance decomposition indicates that volatility in GDP is most affected by the oil price and the monetary policy shocks. Besides, their share increases after the break point. The share of oil price shocks before the structural break was about 28 percent, but the share rose to 35 percent after the structural break.
Azariadis, C. (1981). Self-Fulfilling prophecies. Journal of Economic Theory, 25: 380-396.
Colander, D. (1996). Beyond microfoundations: post walrasian macroeconomics. Cambridge University Press.
Renani, M., Dallali Esfahani, R. and Samadi, A.H. (2010). Presenting a Model for Iran's Economic Growth: Some Institutional Considerations, Journal of Economic Research, Vol 2: 193-215.
Kavand, H. and Shahmoradi, A. (2011). Oil price changes and total productivity fluctuations in an oil-exporting country", OPEC Energy Review, 35 :157-173.
Salehi-Esfahani, H., Mohaddes, K. And Pesaran, M.H. (2013). Oil exports and the iranian economy. The Quarterly Riview of Economics and finance, 53930: 221-237.
Samadi, A.H. (2008). Property Rights and Economic Growth: Developing an Endogenous Growth Model, Phd Dissertation, Faculty of Administrative Sciences and Economics, University of Isfahan.
Shakeri, A. and Ghelich, V. (2015). Factors Affecting Business Cycles in Iran: A Structural Vector Autoregressive Model, Journal of Monetary and Banking Research, Vol 25: 455-480.
Shahbazi, M., Rouhani, A. and Aziznezhad, S. (2016). An Analysis of Fiscal Dominance in the Economy of Iran: Case Study of Annual Budget Laws, Quarterly Journal of Fiscal and Economic Policies, Vol 3(12): 7-28.
Zaaranezhad, M., Montazer Hojat, A. and motamedi, S. (2015). The Effect of Optimal Monetary and Financial Policies on Major Macroeconomic Indicators in Iran: An Application of Optimal Control Theory, Quarterly Journal of Quantitative Economics, Vol 3: 115-138.