In this paper, the Iran Business Cycle characteristics were investigated via numerous univariate and multivariate Markov-switching specifications. In this case Markov switching model MSM-ARMA is proposed for determining business cycles. We examined the stochastic properties of the cyclical pattern of ...
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In this paper, the Iran Business Cycle characteristics were investigated via numerous univariate and multivariate Markov-switching specifications. In this case Markov switching model MSM-ARMA is proposed for determining business cycles. We examined the stochastic properties of the cyclical pattern of the quarterly Iran real GDP between 1988 (1) – 2008 (2). The empirical analysis consists of mainly three parts. First, a large number of alternative specifications were tried and few were adopted with respect to various diagnostic statistics. Then, all selected models were tested against their linear benchmarks. LR test results imply strong evidence in favor of the nonlinear regime switching behavior. In line with the main objective of research, proposed model for Iran business cycle is estimated by and result of this estimation showed that economic of Iran despite of having two periods of recession 1992(3) - 1992(4) and 1995(1)-1995(2), is out of recession with moderate growth and also experienced growth with high rate in early period of studying. Also the possibility of resistance of recession regimes with moderate and high growth is 0.3, 0.92 and 0.5 respectively. The results show the economic tend to stay in moderate growth regime.
Volume 1, Issue 2 , September 2014, , Pages 113-125
Abstract
The role of oil shocks as factors in economic growth of a country is important. With little reflection on the Iran economic structure and other major oil exporter countries that have a strong bond to the proceeds of oil sales، this is a strong suspicion that the origin of the oil shock is caused by ...
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The role of oil shocks as factors in economic growth of a country is important. With little reflection on the Iran economic structure and other major oil exporter countries that have a strong bond to the proceeds of oil sales، this is a strong suspicion that the origin of the oil shock is caused by economic shocks. Purpose of this article is determining and solving of Iran cycles and effect of oil price fluctuation on these cycles using Markov switching model. In line with the main objective of research, extracting of oil price shocks by using Markov switching model and estimation long run relation by using the pattern accumulation Johansen Juselius estimated by using of quarterly data 1988(1) - 2008(2). The results suggest that hypothesis of symmetry of positive and negative oil shocks on production have been rejected. So we can infer that the effects of negative and positive shocks on production are different.
