چکیده:
Stress in financial markets influences economic agents’ behavior by creating uncertainty and changing the expectations. Critical financial stress can lead to financial crisis. Financial crises are among the events always present in the world economy. Iran is not an exception. This paper aims to study the impact of financial stresses on Iran’s per capita GDP. By using ARDL (Auto Regressive Distributed Lags), the effects of financial stress indices, including foreign currency, stock, and banking markets on Iran’s GDP per capita is estimated. Our findings show that financial stresses in currency market and stock market have positive and negative effects on economic growth respectively. Banking stresses have a positive influence on economic growth. The cumulative impact of financial stresses is positive on Iran’s economy, but is different from the effect of banking stresses with respect to intensity
خلاصه ماشینی:
"The cumulative impact of financial stresses is positive on Iran’s economy, but is different from the effect of banking stresses with respect to intensity Keywords: Financial crisis, Banking crisis, Stock crisis, Currency crisis, Economic growth, ARDL model JEL Classification: E44, G01, O11, O16 MA in Management, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran.
Their findings revealed that increasing financial stresses (estimated by variables of banking, stock, and currency markets) are likely to negatively influence the real sector economy.
By dividing the sides of equation (1) to Ln Lt, we will have: Lnyt=β1+β2Lnkt+At (2) Consider the technical progress as log function of openness of economy (ratio sum of export and import to GDP) and time trend variable is: At=β3Lnopennesst+β4T (3) By substituting (3) and including banking financial stress Index (bfs), currency stress Index (cs), stock market stresses Index (sms) in (2), the long- run relationship of GDP will be as follows due to the impact of financial market variables in the level of capital and investment in production function: Lnyt=β1+β2t+β3Lnkt+β4Lnopennesst+β5bfst+β6cst (4) +β7smst+et The presence of the above-mentioned long-run relationship is evaluated by F banded test by Pesaran et al.
Due to the negative impact that the stress in foreign currency ratio imposes on production level, which can be the consequence of decrease in the value of money as a result of economic sanctions against Iran and global changes in oil price, estimations from financial stresses suggest that the earlier mentioned markets have a negative cumulative effect on economic growth, while findings show that banking stress has a positive effect on Iran’s economy over the studied period."