Iranian Economic Review (10266542)25(3)pp. 509-523
This paper uses a dynamic stochastic general equilibrium model to investigate the effect of fiscal and monetary policy on the stock market in Iran. Results show that a positive money shock leads to a rise in output, stock price index, and inflation. In addition, the response of the stock demand to money supply shock is negative. We found that a positive government expenditure shock led to a rise in output and inflation. The response of stock demand and stock price index to the government expenditure shocks are negative. Furthermore, results show that a stock market shock leads to a rise in output and inflation. © University of Tehran.
Emerging Markets Finance and Trade (1540496X)56(13)pp. 3217-3234
This paper explores the nature of the causal relationship between market power and cost efficiency for a sample of banks operating in the Iranian banking industry over the period 2002–2014. In particular, a bootstrap panel Granger causality approach is used to test the “quiet life”, “banking specificities”, and “efficient-structure” hypotheses, accounting for both slope heterogeneity and cross-sectional dependence. The results indicate that, on average, banks’ market power (measured by the efficiency-adjusted Lerner index) has steadily declined over the study period, while cost efficiency (measured by the SFA approach) has improved over the period. Furthermore, the results of the causality analysis suggest that there is a negative unidirectional causality running from market power to cost efficiency for 56.25% of banks, providing evidence to support the “quiet life” hypothesis, according to which banks with greater market power would be less cost-efficient. Such a result clearly rejects the “banking specificities” and “efficient-structure” hypotheses which predict a positive Granger causality in the same and opposite directions, respectively. These results are robust to the use of an alternative Granger non-causality procedure. ©, Copyright © Taylor & Francis Group, LLC.
Iranian Economic Review (10266542)22(2)pp. 503-526
here is always uncertainty about the soundness of an economic Tmodel’s structure and parameters. Therefore, central banks normally face with uncertainty about the key economic explanatory relationships. So, policymaker should take into account the uncertainty in formulating monetary policies. The present study is aimed to examine robust optimal monetary policy under uncertainty, by a cost-push shock to the Iran’s economy. For this purpose, three new-Keynesian Phillips curve equations are used, and robust discretionary optimal monetary policy is formulated by employing Hansen and Sargent robust control approach (2002). In all three curve equations, robust discretionary monetary policy is more aggressive comparing to the rational expectations. Considering the last period inflation rate in New-Keynesian Phillips curve, the degree of aggressiveness of robust monetary policy reduces, and with reducing the weight of the last period inflation rate, more reduction in the degree of aggressiveness of monetary policy is observed. On one hand, in all three models, with increasing the weight of inflation in the loss function of monetary policymakers, robust monetary policy is still more aggressive than the monetary policy under certainty. On the other hand, the degree of aggressiveness of monetary policy decreases, while the expected loss increases. © 2018, University of Teheran. All rights reserved.
