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The Real Exchange Rate as a Monetary Transmission Mechanism in the Economy of Iran: A Dynamic Stochastic General Equilibrium Model (in Persian)

Author

Listed:
  • shahraki, sara

    (ferdowsi university of mashhad)

  • Sabahi, Ahmad

    (ferdowsi university of mashhad)

  • mahdavi adeli, mohammad hossein

    (ferdowsi university of mashhad)

  • salimifar, mostafa

    (ferdowsi university of mashhad)

Abstract

This paper examines whether in the analysis of the impact of monetary policy, the exchange rate can play a role along with the interest rate as a transmission mechanism of monetary policy effects on economic variables or not? For this purpose, the general dynamic stochastic equilibrium models were used in the form of a New Keynesian small open macro-economy; accordingly, in this study, the Bayesian approach has been implemented to obtain the estimates of parameters and conclusion in this model. To this end, Dynare was used, which is a general and suitable tool for Bayesian estimation in the context of dynamic stochastic general equilibrium models. This model was designed for the economy of Iran, considering oil-based economies and the currency substitution existence. Then, its calibration and simulation were conducted with Iran's economic data for the period 1995-2011. The results from model validation, univariate and multivariate recognition of Markov Monte Carlo chain and analysis of the model impulse responses show that in Iran's economy, the exchange rate plays a role along with the interest rate as a monetary transmission mechanism.

Suggested Citation

  • shahraki, sara & Sabahi, Ahmad & mahdavi adeli, mohammad hossein & salimifar, mostafa, 2016. "The Real Exchange Rate as a Monetary Transmission Mechanism in the Economy of Iran: A Dynamic Stochastic General Equilibrium Model (in Persian)," The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی Ùˆ بودجه), Institute for Management and Planning studies, vol. 20(4), pages 71-106, January.
    • Handle: RePEc:auv:jipbud:v:20:y:2016:i:4:p:71-106
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