A study about asymmetric effects of monetary shocks on the Iranian GDP during business cycles with focus on the banking credit

Shahbazi, Kiumars; Khodavaisi, Hassan; Rezaei, Ebrahim; Yekta, Iraj

doi:10.22075/jem.2018.11311.1023

A study about asymmetric effects of monetary shocks on the Iranian GDP during business cycles with focus on the banking credit

Document Type : Original Article

Authors

kiumars shahbazi ¹

hassan Khodavaisi ¹

Ebrahim Rezaei ²

Iraj Yekta ³

¹ Associate professor of economics, Department of Economics, Urmia University

² Faculty member of the Institute for Research and Development in Humanities, SAMT Organization

³ PhD student in economics at Urmia University

10.22075/jem.2018.11311.1023

Abstract

Money and its role in the economy has always been an indispensable part of economic debates, because policymakers and economists have always had conflicted views about the role of this policy variable from different directions of thought. This article in this direction and using quarterly data over the 1393-1369 period for the Iranian economy studies issues such as neutrality of money, asymmetric monetary shocks and the credit channels through which monetary policy transmitted to the production. For this purpose, using the Markov-Switching model we determined the business cycle for Iran and we separated positive and negative monetary shocks from one another. Then the result of estimating four different scenarios, using ARDL models, show that money is neutral in the long run (with the emphasis on the credit channel) in the economy of Iran and the impact of credit shocks on output is asymmetric and effective during business cycles in the short run.

Keywords

Monetary Shocks

business cycle

credit channel

asymmetry