this paper estimates a structural cointegrating varx model with exogenous variables for iran. the long-run macroeconomic relationships are identified and tested within this framework. we make use of the generalized forecast error variance decomposition to analyze the dynamic properties of the model in response to different shocks. we also examine via the persistence profiles, the speed of adjus...

We test the importance of multivariate information for modelling and forecasting inflation’s conditional mean and variance. In the literature, the existence of inflation’s conditional heteroskedasticity has been debated for years, as it seemed to appear only in some datasets and for some lag lengths. This phenomenon might be due to the fact that inflation depends on a linear combination of econ...

The purpose of this article is to analyze the macroeconomic impacts of fiscal policy in Iran using a new-Keynesian Dynamic Stochastic General Equilibrium (DSGE) model. The model takes into account distortionary taxations on wage, dividend, and consumption, while government expenditures are broken down into consumption of goods and services, and investment. The model is calibrated for Iran based...

This study, examines the roles of macroeconomic uncertainty, political risk, as well as host country institutions, in affecting FDI inflows into African economies. The past few decades have witnessed a surge of FDI inflows to developing regions. However, FDI inflows to Africa still remain small when compared to other developing regions. What characteristics does Africa exhibit that deter FDI in...

The interaction of monetary and fiscal policies is a crucial issue in a highly integrated economic area as the European Union. We investigate to which extent the EMU, that introduced a common monetary policy and restrictions on fiscal policy at the national level, benefits from macroeconomic policy cooperation due to the various interactions, spillovers and externalities from national macroecon...

In this paper, we present a model-based method for identifying fiscal closure rules in stochastic macroeconomic models. The methodology is based on the stability analysis of the model at hand, with an endogenous derivation of a reaction on the part of the fiscal authority to state variables in the model. The rule achieves the dual aim of imposing solvency on the fiscal sector and generating a s...

Real-world decision-makers are forced to be locally constructive, in the sense that their actions are constrained by their interaction networks, information, beliefs, and physical states. This study poses the following question: Suppose utility-seeking consumers and pro t-seeking rms in an otherwise standard dynamic macroeconomic model are required to be locally constructive decision-makers, un...

The optimal control is one of the possible controllers for a dynamic system, having a linear quadratic regulator and using the Pontryagin’s principle or the dynamic programming method . Stochastic disturbances may affect the coefficients (multiplicative disturbances) or the equations (additive disturbances), provided that the shocks are not too great . Nevertheless, this approach encounters dif...

There is much debate about the usefulness of the neoclassical growth model for assessing the macroeconomic impact of fiscal shocks. We test the theory using data from World War II, which is by far the largest fiscal shock in the history of the United States. We take observed changes in fiscal policy during the war as inputs into a parameterized, dynamic general equilibrium model and compare the...

A dynamic general-equilibrium model with limited participation in financial markets is constructed to study the determination of nominal exchange rates in a small open economy with tradable and non-tradable goods. The qualitative and quantitative implications of this framework are assessed under flexible prices. Then, the panel dynamic OLS regression is applied to seek the empirical support for...