Volume 28, Issue 3 (Autunm 2023)
JEPR 2023, 28(3): 161-185 |
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Alahverdi A, Daei-Karimzadeh S, Ghobadi S. (2023). Forecasting the Trend of Macroeconomic Variables in Terms of Financial Conditions Index in Iran: TVP-FAVAR Approach. JEPR. 28(3), 161-185. doi:10.61186/jpbud.28.3.161
URL: http://jpbud.ir/article-1-2197-en.html
URL: http://jpbud.ir/article-1-2197-en.html
1- Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran.
2- Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran ,karimzadeh@ khuisf.ac.ir
3- Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran,
2- Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran ,
3- Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran,
Abstract: (1454 Views)
Due to the forward-looking nature of economic decisions, forecasting the trend of macroeconomic variables has a fundamental role in economic planning and policies. For this purpose, the present study attempts to extract the financial conditions index for the period 1991-2019, then the movement trend of macroeconomic variables has been forecasted using the Time-Varying Parameter Factor-Augmented Vector Auto-Regressive (TVP-FAVAR). The results show that the financial conditions index has undergone significant changes in recent years, especially in the 2010s, which has had an effective role in the fluctuations of other markets due to the influence and change in the behavior of other macroeconomic variables. Furthermore, forecasting the trend of macroeconomic variables also indicates that this trend is unstable; in other words, instability in the trend of macroeconomic variables is evident and we cannot expect a positive outlook for the above variables.
Keywords: Financial Conditions Index, Forecasting, Trend, State Space Model, Time-Varying Parameters.
Type of Study: Research |
Subject:
Macroeconomics
Received: Mar 16 2023 | Accepted: Aug 05 2023 | ePublished: Dec 01 2023
Received: Mar 16 2023 | Accepted: Aug 05 2023 | ePublished: Dec 01 2023
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