The Role of International Financial Integration in Production and Inflation Fluctuations in Iran: Using a Dynamic Stochastic General Equilibrium Model

Pasha Wanous, Pegah; Vahrami, Javid; Tavakkolian, Hossein; Mohammadi, Taymour

doi:10.29252/jemr.10.39.7

Volume 11, Issue 39 (3-2020) jemr 2020, 11(39): 7-44 | Back to browse issues page

‎ 10.29252/jemr.10.39.7

‎ 20.1001.1.22286454.1399.10.39.5.2

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Pasha Wanous P, Vahrami J, Tavakkolian H, Mohammadi T. The Role of International Financial Integration in Production and Inflation Fluctuations in Iran: Using a Dynamic Stochastic General Equilibrium Model. jemr 2020; 11 (39) :7-44
URL: http://jemr.khu.ac.ir/article-1-1933-en.html

The Role of International Financial Integration in Production and Inflation Fluctuations in Iran: Using a Dynamic Stochastic General Equilibrium Model

Pegah Pasha Wanous¹

, Javid Vahrami ^*

², Hossein Tavakkolian¹

, Taymour Mohammadi¹

1- Allameh Tabataba'i University
2- Allameh Tabataba'i University , Javid_bahrami@yahoo.com

Abstract: (4606 Views)

The effects of International financial integration on the fluctuations of variables in response to shocks are a matter of heavily concentrated literature of the business cycle in recent years. In this paper, a New Keynesian DSGE model is developed in which there is a channel for capital account changes through the foreign deposit's inflow and outflow. Then the effects of financial integration are simulated. The integration factor is defined by the percentage of the total foreign deposits absorbed by the banking system. This coefficient could change due to changes in effective domestic interest rate and global interest rate. This paper shows in presence of oil shocks, the fluctuation of production, consumption, real exchange rate and variables of the banking system such as deposits and loans, is higher in financial integration but there is no significant difference in inflation. In presence of technology shocks, there is no significant difference.

Keywords: Financial Integration, DSGE, Macroeconomics Fluctuations

Full-Text [PDF 1868 kb] (1310 Downloads)

Type of Study: Applicable | Subject: تجارت و مالیه بین الملل
Received: 2019/10/20 | Accepted: 2020/03/10 | Published: 2020/07/21

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