Journal of Econometric Modelling

Journal of Econometric Modelling

Investigating Asymmetric Effects of Monetary Shocks on the Production and Employment in Automotive Industry: Non-Linear ARDL Approach

Document Type : Original Article

Authors
Ebrahim Nasirifar 1
Kambiz Hojabr Kiani 2
Seyed Shamsodin Hosseini 3
Farhad Ghafari 4
1 Ph.D. Student in Economics, Department of Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran.
2 Professor at Department of Economics, Shahid Beheshti University & Science and Research Branch, Islamic Azad University, Tehran, Iran
3 Assistant Professor at Department of Economics, Allameh Tabatabaee University & Science and Research Branch, Islamic Azad University, Tehran, Iran
4 Associate Professor at Department of Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran
10.22075/jem.2019.18648.1372
Abstract
The automotive industry as a major industry accounts for about 13% of total production and 15% of total employment in the Iranian industrial sector. The purpose of this paper is considering asymmetric, scale and direction the effects of positive and negative monetary shocks on the volume of production and employment in this industry, which evaluated by Non-linear Auto Regressive Distribution Lag (NARDL) model, seasonally since 1376 to 1397. The effects of shocks from monetary variables are classified in to two groups: positive and negative shocks by using Hodrick-Prescott filter. The outputs indicate that the asymmetric effect of exchange rate and interest rate on the amount of production and employment of this industry is confirmed. It also concludes that monetary shocks in the long run have more impact on automotive industry than employment.
Keywords
Monetary Shocks
Automotive Industry
NARDL Model
Asymmetric Effect
Hodrick-Prescott Filter