Iranian Journal of Economic Research

Abstract In this research, the role of nominal exchange rate volatility and business cycles on the banking nonperforming loans was investigated by using Markov-Switching model during 2005-2018 using seasonal data. Business cycles were extracted from GDP by using the Hodrick Prescott filter. Also, the wavelet transform model was used to extract nominal exchange rate fluctuations. The results showed that the exchange rate volatility varies in different periods of time and in longer period of time, the foreign exchange rate volatility has a greater negative and significant effect on nonperforming loans of banking network. It shows a dependence of government on banking network. Also, the impact of business cycles depends on the nonperforming loans regime. The sustainability of low regime is bigger than high regime. The results also show that the impact of value added of different sectors of economy varies in different regimes of nonperforming loans. These results indicate that banking system should take into account the value added of different sectors of economy and nonperforming loans regimes which could decrease nonperforming loans.

Abstract The purpose of this research is investigation of the relationship between income inequality and business cycles in Iran over the 1351 to 1389. In this study, Gini coefficient is the indicator of inequality, and business cycles were obtained by using the Hodrick- Prescott filter. Also In order to examine the effect of business cycle on inequality, autoregressive-distributed Lag (ARDL) approach was attempted. Our findings show that business cycles have negative impact on income inequality. During recession, income inequality increases and in the booms decreases. Also we find that higher minimum wages decrease income inequality, and oil incomes increase it.  

Abstract Since the advent of early business cycles theories based on self-sustaining behaviors, many theories and models have been suggested to explain causes of cyclical fluctuations. Although in the 1960s, with the acceptance of Keynesian ideas there was a less interest to identifying the sources of disturbances, today the debate over the sources and propagation of economic fluctuations still rages among macroeconomists.    This paper uses a multisectoral business cycles model for identifyingication the role and importance of aggregate and sectoral shocks in business cycles of the Iranian manufacturing sectors. Aggregate shocks involve innovations in oil revenues, money supply, government expenditures, and real exchange rate, and productivity shocks are connsidered as sectoral shocks. Our results indicate that all types of shocks are important, but aggregate shocks are the dominant source of sectoral output fluctuations. Variance decomposition of the manufacturing output growth indicates that 85.4 percent of aggregate output disturbances can be explained by aggregate shocks. Therefore, macroeconomic policies inconsistent with industrial development requirements could disturb endogenous growth of the Iranian manufacturing sectors via weak total factor productivity.  At the presence of the exogenous impulses, while aggregate shocks are significant sources of output fluctuations, it seems disturbances are threatening the long run economic and industrial growth, even in the oil boom periods.

Abstract This paper has decomposed, statistically, the real GDP of Iran into three components, long run trend, business cycles and short-run shocks. This is devoted to the empirical measurement, identification and causes of the business cycles. It also estimates GDP growth on the basis of estimated trend, business cycle and irregular component.
The methodology consists of three steps: The first, to dissect the real GDP to get its components, the second, empirical investigation of the business cycles which involve identification and causes, and the third, to predict the components into future. First is assumed that annual series of real GDP is an aggregate of three components including trend, cyclical movements and irregular movements. The HP filter is used in two stages to separate these components; a) to extract the long run trend from the original series and b) to filter out cycles from the rest. Second, the main macro variables are tested in terms of co movement volatility. And finally, the trend and cycles into future over a five-year period are estimated using ARIMA.
It is found that the trend growth of real GDP is negative, during the periods of 1356-61 and 1364-67 Iranian years. The results also show that the economy of Iran has undergone seven complete business cycles, and it is now facing the recessionary phase of an eight business cycle, which has begun in the early 1380. It is projected that the current recession will continue until 1383 (2004), and then recovery will take place.
It is also found that the Iranian economy is cyclical in a BC sense.
Statistically, the results show that the GDP cycles last, on average, 6 years.
We also showed the existence of co movement between GDP and the most relevant macro variables. In other words, the main aggregates are also cyclical and their peaks and troughs occur at more or less the same quarters as the GDP.
Finally, the results indicate that investment and exports have an active role in generating cycles. Most major finding is that the Iran BCs are caused by shifts in oil revenues. The evidence shows that this variable composes all the characteristics of the typical causes and leads the GDP movements.