نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشجوی دکترای اقتصاد، دانشکده مدیریت، دانشگاه آزاد اسلامی واحد اراک، مرکزی، ایران.
2 استادیار، گروه اقتصاد، دانشکده مدیریت، دانشگاه آزاد اسلامی واحد اراک، مرکزی، ایران.
چکیده
کلیدواژه‌ها
عنوان مقاله [English]
نویسندگان [English]
The purpose of this study is to investigate the asymmetric effects of monetary policy on GDP during periods of recessions and prosperity via examining the role of credit channels (bank lending). Using the non-linear Markov switching pattern _which has the ability to track structural changes_ the research variables were examined during the 1987 to 2021 period. Based on the results obtained through the Markov switching model tests, the value of the width from the center in the first regime was 0.109743, which is representative of the boom period. On the other hand, the value of the width from the center of the second regime is -0.129524, which can be considered as the recession period. The sum of the coefficients of the logarithm of the volume of liquidity has a negative effect on the logarithm of the GDP during the boom period, and a positive effect during the recession period.
Moreover, the results obtained from the Wald test also confirmed the asymmetry of the effect of monetary policy on GDP in different economic regimes. The analysis of instantaneous reaction functions in the model with credit channel also shows the greater intensity of monetary policy effects compared to the model without credit channel. Additionally, at beginning of periods the effects of the shocks on the liquidity volume variable are significant in both cases. Subsequently, these effects tend to zero in the following periods and the effects of the shocks disappear.
کلیدواژه‌ها [English]
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