‏شنبه‏ای که در راه است، سمینارهای اقتصادی شریف، میزبان دکتر هادی صالحی اصفهانی، استاد دانشکده اقتصاد دانشگاه ایلی‏نویز خواهد بود. این سمینار ، بر اساس مقاله مشترک ایشان با آقای دکتر کامیار محدث، استاد اقتصاد کمبریج، و آقای دکتر هاشم پسران استاد اقتصاد کمبریج و USC، با عنوان " A Quarterly VARX* Model of the Iranian Economy" ارائه خواهد شد. این جلسه -بر خلاف روال قبلی سمینارهای اقتصادی- شنبه (۱۴ دی‏ماه) ساعت ۱۴ ب.ظ در سالن دکتر مشایخی، دانشکده مدیریت و اقتصاد، برگزار خواهد شد. این جلسه آخرین جلسه سمینارها در ترم جاری است و از ابتدای ترم بعد، دوباره جلسات ادامه خواهد داشت.
خلاصه این مقاله در ادامه آمده است.

A Quarterly VARX* Model of the Iranian Economy

Hadi Salehi Esfahani, University of Illinois

Kamiar Mohaddes, University of Cambridge

 and

M. Hashem Pesaran, University of Cambridge and USC

Abstract

The ups and downs of Iran's economy since the 1970s are often viewed as driven by two main factors: domestic political shocks and the price of oil. While these two factors have been visibly important in shaping economic fluctuations and growth in Iran, the effects have been conditioned and combined with influences of other domestic and global factors. In particular, GDP growth, inflation, interest rates, and equity prices in the rest of the world are likely to have direct or indirect impacts on Iran's economy, though little is known about the significance of such effects. Assessing the role of various factors involved in the country's macroeconomic process is important for understanding the trends and fluctuations in the economy and for forecasting and policy analysis.

In this paper, we develop a quarterly macroeconometric model for the Iranian economy which we then embed in the global vector autoregressive (GVAR) model recently developed by Dees, di Mauro, Pesaran, and Smith (JAE, 2007). The latter model, is a quarterly global model combining individual country vector error-correcting models in which the domestic variables are related to the country-specific foreign variables. This GVAR model is estimated for 26 countries, the euro area being treated as a single economy, over the period 1979q1-2003q4. A key advantage of this model is that it provides a theoretical framework where the GVAR is derived as an approximation to a global unobserved common factor model. The present paper adds Iran to the set of countries included in the model and re-estimates it using the quarterly data over the extended period 1979(2)-2006(4). Quarterly GDP series for Iran is available for 1988(2)-2006(3) from the websites of the Central Bank of Iran and Iran Statistical Center. Other series such as inflation and money supply are available for the earlier periods. Quarterly GDP series for the preceding period, 1979(2)-1988(1), will be interpolated from the available annual GDP series. The sensitivity of the analysis to different interpolation methods will be investigated.

The domestic variables included in Iran's section of the GVAR model are real GDP, aggregate real investment and consumption, the rate of inflation based on consumer price index (CPI), the official and market exchange rates, population, money and quasi money, bank deposit rate. The foreign variables, which we treat as weakly exogenous, consist of the cross-section averages of macroeconomic variables in the rest of the world, weighted by the sizes of their trades with Iran.

The model will be used to investigate the differential effects of shocks to oil prices, foreign output and inflation on the Iranian economy. We also examine the stability of the model to external shocks and internal disturbances. In particular, we shall follow Dees et al. (2007) and employ a sieve bootstrap procedure for simulation of the GVAR as a whole, which is then used in testing the structural stability of the parameters of the Iranian model, and obtain bootstrap confidence bounds for the impulse responses.

JEL Classifications: C32, E17, F47 

Keywords: Iran's economy, Global VAR (GVAR), Global interdependencies, global macroeconomic modeling, oil price and foreign output shocks