نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشیار، گروه اقتصاد، پژوهشکده امور اقتصادی
2 دانشیار، گروه اقتصاد، دانشگاه پیام نور، تهران، ایران
3 کارشناسی ارشد اقتصاد، دانشگاه آیت ا...بروجردی بروجرد
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
The aim of this study is to analyze the dynamic structure of contagion of fluctuations between business, monetary and financial cycles in the Iranian economy during the seasonal period 1403-1390. In this regard, using the time-varying vector autoregression model (TVP-VAR) and within the framework of total connectivity indices (TCI), pairwise connectivity (PCI) and net directional connectivity (NPDC), the relationships between the variables of gross domestic product, monetary conditions index, capital market, coin market, housing market and credit-to-output ratio were examined. All variables were extracted cyclically and through the Hedrick-Prescott filter. The results show that the total connectivity index (TCI) reached higher levels in recessionary and unstable periods and, especially in 1393, 1397 and 1399, the economic structure of Iran has suffered from severe co-contagion and end contagion. PCI analysis indicates that negative shocks are more effective in creating coordination between markets, while positive shocks have had a weaker effect. Also, the results of the Net Directional Connectivity Index (NPDC) show that variables such as the money and capital markets are net transmitters of shocks in the economic network, and real variables such as GDP and CG have played more of a receiver role. The findings indicate that the Iranian economy is a fragile structure, reactive to negative risks, and has strong internal linkages between its macro components. This structure requires policy-makers to intervene to strengthen resilience, contain negative contagion channels, and design targeted credit and monetary policies.
کلیدواژهها [English]
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