Volume 10, Issue 4 (Fall 2015)                   J. Mon. Ec. 2015, 10(4): 125-142 | Back to browse issues page

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Zare R. Asymmetric Effects of Monetary Policy and Business Cycles in Iran using Markov-Switching Models . J. Mon. Ec. 2015; 10 (4) :125-142
URL: http://jme.mbri.ac.ir/article-1-174-en.html
Young Researchers and Elite Club, Beyza Branch, Islamic Azad University
Abstract:   (3244 Views)

This paper investigates the asymmetric effects of monetary policy on economic growth over business cycles in Iran. Estimating the models using the Hamilton (1989) Markov-switching model and by employing the data for 1960-2012, the results well identify two regimes characterized as expansion and recession. Moreover, the results show that an expansionary monetary policy has a positive and statistically significant effect on economic growth during recession, in expansionary regimes while the effects are stronger during recessions than expansions as predicted by finance constraints models. By using time-varying transition probability Markov-switching models, the results also show that an expansionary monetary policy raises the probability of switching from a recession to an expansion but reduces the probability of switching from an expansion to a recession.

Keywords: Monetary policy, Business cycles, Asymmetry, Markov-switching.

JEL Classification: E52, E32, G10

Full-Text [PDF 544 kb]   (1584 Downloads)    
Type of Study: Original Research - Theoric | Subject: Monetary Economics
Received: 16 Jul 2016 | Accepted: 22 Apr 2017 | Published: 22 Apr 2017

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