چکیده:
In this study, to more accurately examine the effect of financial development on economic growth in the Iranian economy, the Iranian economy has been modeled using quarterly data from the years 1367 to 1392 and a Factor-Augmented Vector Autoregression (FAVAR) model combined with a Time-Varying Parameter (TVP) model. The variables used in this research include economic growth, the ratio of government expenditure to Gross Domestic Product (as an index of government size), the degree of economic openness index (the ratio of total exports and imports to GDP), the inflation rate, and the financial development index (as an unobservable variable). Based on the research results, the effect of the financial development index on economic growth over the entire period studied is positive. Additionally, an increase in government size has led to a decrease in economic growth, such that these decreasing effects are more intense in periods when oil revenues increase. Furthermore, the effect of inflation on economic growth in the Iranian economy is positive. Finally, the degree of trade openness has a positive effect on Iran's economic growth.
خلاصه ماشینی:
Based on the results of the research, the effect of the financial development index on economic growth over the entire studied period is positive.
4 (2005) provided empirical evidence of the existence of multiple equilibria between financial development and economic growth through convergence poles, the inability of linear models to identify asymmetries 5 (including structural breaks in time series) for the purpose of investigating how model variables are related makes the necessity of using non-linear models unavoidable.
This is while in studies conducted within the country, linear models with constant estimated parameters have been used to investigate the relationship between trade openness, financial development, and economic growth (Yousefi and Mobarak, 1387; Samimi et al.
Such an assumption has also been considered in the present research, such that by using the TVP-VAR model, the model parameters are considered variable over time, and the relationship between financial development and economic growth is investigated within the framework of the macro space governing the country's economy.
Therefore, in this research, to evaluate the effects of financial development and economic growth, in addition to Time-Varying Parameter (TVP) methods, the Factor-Augmented Vector Autoregression (FAVAR) model introduced by Bernanke, Boivin and Eliasz 2 (2005) has also been used to enable the use of various variables that determine financial development in calculating the financial development index.
Kenani and Fujio 2 (2012), in a study, examined the relationship between financial development, trade openness, and economic growth in Malawi, using the Vector Autoregression (VAR) and VECM models for this purpose.
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