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Monetary Policy Reaction Functions in Iran: An Extended Kalman Filter Approach

Author

Listed:
  • Hematy, Maryam

    (Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran)

  • Jalali-Naini, Ahmad-Reza

    (Institute for Management and Planning Studies; Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran)

Abstract

Estimates of instrumental rules can be utilized to describe central bank's behavior and monetary policy stance. In the last decade, considerable attention has been given to time-varying parameter (TVP) specification of monetary policy rules. Constant-parameter reaction functions likely ignore the impact of model uncertainty, shifting preferences and nonlinearities of policymaker's

Suggested Citation

  • Hematy, Maryam & Jalali-Naini, Ahmad-Reza, 2015. "Monetary Policy Reaction Functions in Iran: An Extended Kalman Filter Approach," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 10(3), pages 29-48, July.
    • Handle: RePEc:mbr:jmonec:v:10:y:2015:i:3:p:29-48
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    Cited by:

    1. Jalali Naini, Ahmad Reza & Naderian, Mohammad Amin, 2017. "Oil Price Cycles, Fiscal Dominance and Counter-cyclical Monetary Policy in Iran," MPRA Paper 84480, University Library of Munich, Germany.
    2. Jalali Naini, Ahmad Reza & Naderian, Mohammad Amin, 2017. "Financial Vulnerability and Stabilization Policy in Commodity Exporting Emerging Economies," MPRA Paper 84481, University Library of Munich, Germany.

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