In this research, the DCC model is estimated to calculate dynamic correlation series between crude oil price and growth of Industry and Mine sector during 1367:1-1392:4. Then, Macroeconomic variables which can explain the dynamic correlation are analyzed as variables of contagion. So, the import, as an effective and affected variable from crude oil price, is separated to real import of consumpt...

The empirical success of RBC models is often judged by their ability to explain the behavior of a multitude of real macroeconomic variables using a single exogenous shock process. This paper shows that in a model with the same basic structure as the bare bones RBC model, monetary, cost push or preference shocks are equally successful at explaining the behavior of macroeconomic variables. Thus, ...

In this research, the DCC model is estimated to calculate dynamic correlation series between crude oil price and growth of Industry and Mine sector during 1367:1-1392:4. Then, Macroeconomic variables which can explain the dynamic correlation are analyzed as variables of contagion. So, the import, as an effective and affected variable from crude oil price, is separated to real import of consumpt...

What are the dynamic consequences of comprehensive integration shocks? The answer to this question appears all but trivial. We set up a dynamic macroeconomic model of a small open economy where both capital and labor are mobile and there are increasing returns to scale at the aggregate level. The model features multiple equilibria as well as (local and global) indeterminacy. Hence, expectations...

This study examines several dynamic heteroskedastic factor model specifications to test for the confidence set of model parametrizations that best incorporate economy-wide information for forecasting stock market volatility. To this end, diffusion indices (i.e. factors) are distilled from two large sets of US excess stock returns and macroeconomic variables. Using 40 years of data, the main emp...

Macroeconomic shocks and labour-market institutions jointly determine employment growth and economic performance. The effect of shocks depends on the nature of these institutions and the effect of institutional change depends on the macroeconomic environment. It follows that a given set of institutions may be appropriate in one epoch and not in another. We derive a dynamic model of labour deman...

    Dynamic model,   regional economy,   innovation.   This paper presents a normative balance mathematical model of regional economy that contains a lot of unspecified parameters which are not defined directly by the data of economic statistics. A method for estimation of the model parameters by application of parallel computations on multi-processors systems is presented. It is determined the...

The Japanese economy has experienced an unprecedented period of macroeconomic turbulence over recent years. Even before the 1997 Asian crisis, this had led to a sharp rise in the number of financial institutions experiencing bankruptcy, including a number of large regional banks and an international stockbroking firm. The question we seek to address is, What effect has this economic turbulence ...

macroeconomic stabilitv is a major prerequisite fo r real economic growth. in th is study in order to allalyse tile empirical relation ship between macroeconomic instability and per capita real growth, a regression model has been specifi ed for tile iranian economy . in this equation , lour variables including hudget deficit as a ratio to gdp. intlation rate , percenltlge change in tile rea! ex...