بررسی تکانه‌های درآمدهای دولت و اثرات آن بر متغیرهای کلان به روش تعادل عمومی پویای تصادفی(DSGE)

Purpose:

Statistical and historical evidence shows that the Iranian government utilizes three main channels to increase its resources. These three scenarios are taxes, oil revenue, and an exchange rate increase. Each of the financing scenarios affects the nominal and real variables of the economy through different channels. The purpose of the article is to examine government revenue shocks and their impacts on macroeconomic variables.

Methodology:

This study utilizes the stochastic dynamic general equilibrium method to analyze the effects of shocks originating from three government income sources. Furthermore, an effort has been made to compare the loss function resulting from these shocks.

The model considers six agents: household, intermediate good-producing firm, the trade sector in both non-oil exports and imports, the oil sector, government, and central bank. The data series used in the simulation, covering the period from 1989 to 2022, was obtained from the Time Series Information Database of CBI and the Data and Statistical Information of the Statistical Center of Iran. The parameters have been calibrated by previous studies and by considering geometric means of variables.



Findings and Discussion :

Macroeconomic effects of an exchange rate shock: The initial consequence of the exchange rate increase is a decrease in the import of consumption goods, investment goods, and intermediate inputs. The reduction in importing of these goods is not uniform. The decrease in the import of intermediate goods and intermediate inputs is less pronounced than that of consumption goods. This is because when the exchange rate increases, the production sector cannot immediately and fully reduce its orders for intermediate inputs. As time passes and the price of domestic goods rises, leading to an increase in consumer prices, the value of all types of imported goods tends to stabilize. Additionally, the rise in the relative price of imported goods contributes to an increase in inflation from its equilibrium level.

Also, the positive exchange rate shock increases the competitiveness of export goods by reducing the export price index and leads to an increase in non-oil exports from the equilibrium level. Production also decreased initially due to the increase in the marginal cost of firms. But over time, it increased due to the increasing demand of domestic and foreign households for domestic goods. The foreign exchange reserves of the Central Bank initially increased by 4%, which resulted in an expansion of the monetary base. However, over time, the monetary base gradually declines and returns to its equilibrium level. In addition, this shock leads to a reduction in the government budget deficit and a reduction in government debt.

Macroeconomic effects of oil revenue shock: As oil revenues increase, with a significant portion of this income being sold to the central bank, the foreign reserves of the central bank initially rise by 3% from its equilibrium level. An increase in the net foreign assets of the Central Bank leads to an increase in the monetary base. Additionally, an increase in the net foreign assets of the central bank also results in a reduction in the nominal exchange rate. Inflation also increases due to an increase in the monetary base and due to the decrease in the nominal exchange rate, the real exchange rate decreases. The decrease in the real exchange rate has also led to a decrease in non-oil exports and an increase in imports. Therefore, the import of consumption goods, investment goods, and intermediate inputs increases.

The positive effect of the oil shock on the supply side causes prices to rise and creates an incentive to increase production in the non-oil sector, so intermediate-good-producing firms tend to use more labor and capital. Due to a limited labor force, firms offer higher wages, leading to increases in both wages and capital rents. Because the government budget is dependent on oil, an increase in oil revenues reduces the government budget deficit. Additionally, a positive oil shock leads to a 5% increase in the government's investment expenditure. The investment initially increases by 0.4% due to the increase in the government's investment expenditure and the increase in imports.

Macroeconomic effects of tax shock: An increase in taxes results in a reduction in household income, leading to decreased consumption of both domestic and imported goods. This, in turn, causes a decline in aggregate demand, resulting in lower output and employment. Reducing production means reducing the utilization of production factors, including capital, labor, and intermediate inputs. Also, with a decrease in production, inflation increases, which leads to a decrease in the real rental rate of capital. The increase in taxes has resulted in reduced motivation and labor supply, leading to a 0.15% increase in wages. This shock will also boost government revenues, reduce the budget deficit, and decrease government debt. In response to the increase in revenues, the government raises its consumption expenditures.



Conclusion and Policy Implications

Based on the model's results and the more volatile effects of the exchange rate on macro variables, it is advisable Government to refrain from implementing policies that increase the exchange rate in pursuit of more revenues and decrease budget deficit.