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Full-Text Articles in Econometrics
The Impact Of The Volatility Of Monetary Policy On A Small Economy: Some Evidence From New Zealand, Reza Moosavi Mohseni Dr., Jiling Cao, Wenjun Zhang
The Impact Of The Volatility Of Monetary Policy On A Small Economy: Some Evidence From New Zealand, Reza Moosavi Mohseni Dr., Jiling Cao, Wenjun Zhang
Reza Moosavi Mohseni
This paper investigates the impact of the international and domestic volatility of monetary policy shocks on a small economy using the GARCH-SVAR model. We enrich the SVAR model by using time-varying International and domestic volatilities as endogenous variables. The results show that although monetary policy shocks have transient effect on real economy (neutrality of money) the impact of the volatility of monetary policy shocks on real part of the economy is permanent and significant. Findings of variance decomposition also show that New Zealand heavily depends on international trade, so international monetary shocks can have a permanent impact on the local …
The Financial Crisis Impact On Potential Output In Iran, Fatemeh Almasi, Reza Moosavi Mohseni Dr., Jalili Khodaparast Shirazi Dr.
The Financial Crisis Impact On Potential Output In Iran, Fatemeh Almasi, Reza Moosavi Mohseni Dr., Jalili Khodaparast Shirazi Dr.
Reza Moosavi Mohseni
In this study the quarterly data from 1996:1-2011:2 have been used to investigate the effect of financial crisis on potential output in Iran. For this purpose potential output, natural unemployment rate, spread between short-run and long-run interest rate and real money supply variables are used to estimate Auto Regressive Model and analyze Impulse-Response function and Variance Decomposition. The results show that financial crisis has a negative impact on potential output in Iran. Also, monetary shocks have negative impact on potential output in Iran. As regards, monetary policy has no effect on actual output in long-run, it seems that monetary policies …
The Impact Of Global And Domestic Volatility Of Monetary Policy: A Var-Garch Approach, Reza Moosavi Mohseni Dr., Jiling Cao Prof., Wenjun Zhang Dr.
The Impact Of Global And Domestic Volatility Of Monetary Policy: A Var-Garch Approach, Reza Moosavi Mohseni Dr., Jiling Cao Prof., Wenjun Zhang Dr.
Reza Moosavi Mohseni
In the past six decades a lot of research has been carried out to find the effect of monetary policy on real economy. But in the most of these articles, the effect of the volatility of monetary policy has been ignored. This paper investigates the impact of the international and domestic volatility of monetary policy shocks using the GARCH-VAR model. We enrich the VAR model by adding time-varying volatility as endogenous variables. We consider three different types of shocks: internal (domestic), regional and global. For our empirical evidence we use quarterly data of Australia and New Zealand from 1988:1 to …
Monetary Integration And Optimum Currency Area In Asean+3: What We Need For A New Framework?, Reza Moosavi Mohseni Dr., Azali Mohammed Prof.
Monetary Integration And Optimum Currency Area In Asean+3: What We Need For A New Framework?, Reza Moosavi Mohseni Dr., Azali Mohammed Prof.
Reza Moosavi Mohseni
In this paper at first we investigate the viability of creating an optimum currency area (OCA) in the East Asia. The results of a ten-variable VAR model show that forming an OCA for all of the countries in the region is costly and difficult to sustain. But at first five countries called Japan, China, Korea, Malaysia, and the Philippine with symmetric supply shocks can create the OCA. The findings also show that both dollar and yen can be suitable anchor for these countries, but with the exception of Indonesia all other countries are better potential clients of dollar. The final …
Banking And Stock Markets In Iran: Are They Complements Or Substitutes, Reza Moosavi Mohseni Dr., Elaheh Ghyasi, Jalil Khodaparast Shirazi
Banking And Stock Markets In Iran: Are They Complements Or Substitutes, Reza Moosavi Mohseni Dr., Elaheh Ghyasi, Jalil Khodaparast Shirazi
Reza Moosavi Mohseni
In this study, the quarterly data from 1991:4 to 2011:3 have been used to investigate the effect of the relation between banking sector and stock market on economic growth in Iran. The break point obtained by Gregory and Hansen(1996) appears in the first quarter of 2005, which coincides with the period of the remarkable increase in oil and gas revenues. The results of Johansen test shows that higher export income in Iran decreases the substitution of banking and stock market. On the other hand, the relation between turnover and real output decreases after the break point. In addition, the relation …