Quarterly Journal of Economics and Modelling Shahid Beheshti University SVAR * SVAR * **
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1 1392 Quarterly Journal of Economics and Modelling Shahid Beheshti University : SVAR * ** 93/9/2 93/2/15 SVAR h-dargahi@sbuacir esedaghatparast@ibiacir ( 1 * **
2 SVAR H30, C32, E62, E52, E32 JEL (SVAR 1389
3 3-2 ( ( ( Long and Plosser 2 Yule- Slutsky - Frish 3 Chatterjee
4 ( ( ( 1 Mankiw
5 5 2 1 (1976 ( ( Milton Friedman 2 M Friedman and Anna Schwartz 3 Sargent & Wallace
6 ( ( ( ( - 1 Fischer 2 Menu Costs 3 Glasner 4 Real Business Cycle Theory
7 7 ( (1982 SVAR VAR 3 ( ( (2006 ( SVAR 1 Mishkin, F S 2 Fung, Ben SC 3 Dungey, M and Adrian Pagan 4 Fernández, Francisco de Castro and Pablo Hernández de Cos
8 (SUR (1384 ( (1385 ( (1381 (1385 (1390 (1389
9 9 (1389 ( 1 ( ( Sims 2 Nelson and Plosser
10 (VAR (SVAR ( ( SVAR 1340 OECD
11 11 LPGDP LGDPH : LGFH LM LIGDP 1389 LXOIL LER : - ( - -
12 ( ( 1 HP - ( HP - OECD /3 24/ / /3 1 Hodrick-Prescott filter
13 13 ( (
14 ( ( I(0 I( t 5 (LGDPH (DLM (LGFH (DLIGDP (DLPGDP (DLER (DLXOIL (1989 SVAR : DLXOIL DLER LGFH DLIGDP LGDPH DLM DLPGDP = (I
15 15 A(I j i = [,,,,,, ] : GDP GDP Shock 7 Shock 6 Shock 5 Shock 4 Shock 3 Shock 2 Shock 1 (
16 GDP ( - A(I
17 17 : Estimated A matrix: B A VAR 3 2 VAR VAR -2 Vector Autoregression Estimates Sample (adjusted: *** Included observations: 46 after adjustments *** t-statistics in [ ] DLOIL DLER LGFH DLIGDP LGDPH DLM DLPGDP DLOIL( [ ] [ ] [ ] [ ] [ ] [ ] [ ] DLOIL( [ ] [ ] [ ] [ ] [ ] [ ] [ ] DLOIL( [ ] [ ] [ ] [ ] [ ] [ ] [ ] DLER( [ ] [ ] [ ] [ ] [ ] [ ] [ ] DLER( [ ] [ ] [ ] [ ] [ ] [ ] [ ] DLER( [ ] [ ] [ ] [ ] [ ] [ ] [ ] LGFH( [ ] [ ] [ ] [ ] [ ] [ ] [ ] LGFH( [ ] [ ] [ ] [ ] [ ] [ ] [ ] LGFH( [ ] [ ] [ ] [ ] [ ] [ ] [ ] DLIGDP( [ ] [ ] [ ] [ ] [ ] [ ] [ ]
18 DLIGDP( [ ] [ ] [ ] [ ] [ ] [ ] [ ] DLIGDP( [ ] [ ] [ ] [ ] [ ] [ ] [ ] LGDPH( [ ] [ ] [ ] [ ] [ ] [ ] [ ] LGDPH( [ ] [ ] [ ] [ ] [ ] [ ] [ ] LGDPH( [ ] [ ] [ ] [ ] [ ] [ ] [ ] DLM( [ ] [ ] [ ] [ ] [ ] [ ] [ ] DLM( [ ] [ ] [ ] [ ] [ ] [ ] [ ] DLM( [ ] [ ] [ ] [ ] [ ] [ ] [ ] DLPGDP( [ ] [ ] [ ] [ ] [ ] [ ] [ ] DLPGDP( [ ] [ ] [ ] [ ] [ ] [ ] [ ] DLPGDP( [ ] [ ] [ ] [ ] [ ] [ ] [ ] C [ ] [ ] [ ] [ ] [ ] [ ] [ ] R-squared SVAR B A Model: Ae = Bu where E[uu']=I Estimated A matrix: Estimated B matrix:
19 SVAR GDP 1 Impulse Response Functions (IRFs 2 Forecast Error Variance Decomposition (FEVDs 3 Granger Causality
20
21
22
23
24
25 :
26
27 27-5
28
29 29-4 SE GDP SE GDP (
30 SVAR
31 31 " "( " " : " ( " (1390 "( 2 1 ( " ( " (1386 ( (93 45 ( "( " ( " (1389 " ( " " (1381 ( Barro, R J (1976, Rational expectations and the role of monetary policy, Journal of Monetary Economics, Vol 2 " "
32 Ben S C Fung (2002, A VAR analysis of the effects of monetary policy in East Asia, BIS Working Papers No Blanchard, OJ and D Quah (1989, The Dynamic Effects of Aggregate Demand and Supply Disturbances, American Economic Review, Vol 79 pp Chatterjee, S (2000 From cycles to shocks: Progress in business cycles theory Business Review (March/April, Federal Reserve Bank of Philadelphia 15 Dungey, M and Adrian Pagan (2000, A Structural VAR Model of the Australian Economy, The Economic Record, Vol 76, No Fernández, Francisco de Castro and Pablo Hernández de Cos (2006, The Economic Effects Of Exogenous Fiscal Shocks In Spain A SVAR Approach, European Central Bank 17 Fischer, Stanley (1977, Long-Term Contracts, Rational Expectations, and the Optimal Money Supply Rule, The Journal of Political Economy, Vol 85, No 1, pp Friedman, Milton (1968, The Role of Monetary Policy American Economic Review 58, March, King, Robert G and Charles, I Plosser (1984, Money, Credit, and Prices in a Real Business Cycle American Economic Review, 64, June, Li, Li and Liu Yang (2009, Energy Price Shock, Employment and Output, International Joint Conference on Computational Sciences and Optimization 21 Long, J B, & Plosser, C I (1983 Real Business Cycles Journal of Political Economy, 91 (February, Lucas, Robert, E (1976, Econometric Policy Evaluation, A Critique, Carnegie Rochester Conference Series on Public Policy, 1, Mankiw, NG (1989 Real Business Cycles: A New Keynesian Perspective Journal of Economic perspectives 3 (summer, Mishkin, FS (1982, Does anticipated monetary policy matter? Journal of Political Economy pp Muth, John (1961, Rational Expectations and the Theory of Price Movements, Econometrica, 39, July, Nelson, Charles, R and Charles, I Plosser (1982, Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications, Journal of Monetary Economics, 10, Sep
33 33 27 Perron, Pierre (1989, The Great Crash, The Oil Price Shock, and the Unit Root Hypothesis, Econometrica, 57(6, Plosser, C I (1989 Understanding Real Business Cycles Journal of Economic Perspectives 3 (summer, Romer, D (2001 Advanced Macroeconomics New York: McGraw- Hill, 2nd 30 Sargent, Thomas J, and Neil Wallace (1975, Rational Expectations: The Optimal Monetary Instrument and the Optimal Money Supply Rule Journal of Political Economy, Sims, Christopher (1980, Macroeconomics and Reality Econometrica, 48, Jan Snowden, Brian, Howard Vane, and Peter Wynarczyk (1994, A Modern Guide to Macroeconomics: An Introduction to Competing Schools of Thought Cheltenham, UK: Edward Elgar
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35 1392 Quarterly Journal of Economics and Modelling Shahid Beheshti University * ** 93/7/15 93/2/13 OPEC F30 F31 F33 JEL mn-sherafat@sbuacir * sgolzarian@ibiacir ( ** 35
36 ( 20
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