چکیده:
before the incidence of the financial crisis in 2008, the financial sector was ignored in the most of business cycles analyses. It was assumed that the financial sector played no independent role in describing business cycle fluctuations and followed the real part of the economy. In recent years, modeling financial frictions have been much considered in business cycles literature. The present study aimed to investigate the role of financial friction in Iranian’s business cycles. For this purpose, a dynamic stochastic general equilibrium (DSGE) model is designed based on the structural features of the Iranian economy and is estimated by using Bayesian method and seasonal data during 1370q1- 1395q4 (1991q2-2017q1). The results indicated that the consideration of financial sector in the model increased our understanding of business cycles fluctuations and financial shocks played an influential role in explaining business cycles fluctuations. Further, based on the results of the present study, the persistence of the effect of financial shocks was more compared to the supply and demand sector shocks.
خلاصه ماشینی:
Compared to other studies, the unique and distinct features of the present study are: 1) modeling housing supply side; 2) breakdown the firm needs for funds into two portions of working capital and fixed capital loan; 3) modeling direct investment activity of banks; and 4) estimating the model using Bayesian technique and seasonal data of Iranian economy.
Iacoviello (2015) focused on the role of financial shocks in the business cycle of the American economy, by Bayesian estimation of a dynamic stochastic general equilibrium model.
In this study, the effect of financial frictions on the bank, firm and household agents are modeled and the effects of financial stocks are investigated and compared to the other common shocks in business cycles models (demand and supply shocks).
In the present study, the banking system is responsible for determining interest rates, due to the modeling of financial frictions and it is assumed that the central bank plays its main role by determining the amount of money.
Following the recent study by Komeijani and Tavakkolyan (2012), the rule of growth rate of the money volume is defined as follows: ( ) (( ̅) ( ̅) ) )38( In the above equation , ̅ and ̅ represent the values of the corresponding variables in a steady state and the parameters and indicate the reaction coefficients of the central bank in the face of the deviation of inflation and the level of production from their steady- state values.
Figure 4 represents the impulse response functions of the model variables to the financial shock of the housing construction firms.