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Showing 3 results for Dsge Model
The Monetary Shocks' Asymmetry within Dynamic Stochastic General Equilibrium Model
Bahram Sahabi, Hossein Asgharpur, Saeed Qorbani,
Volume 17, Issue 2 (6-2017)
Abstract
The issue of asymmetric effects of monetary shocks on the economy is among the new topics that have been studied by the New Keynesians. How to monetary shocks affect macroeconomic variables such as gross domestic product (GDP), prices, private investment in terms of nominal and real sectors, and economic policy-making is of great importance. In this study, according to the New-Keynesian assumptions, the effects of asymmetry in monetary shocks are examined using dynamic stochastic general equilibrium model in Iran's economy during 1979-2012. The results indicate that positive and negative monetary shocks are endogenous and depend on inflationary regimes in the Iranian economy, so that the effects of positive and negative shocks on GDP and private investment in the low inflation regime are more than those of high inflation regime. In addition, the effects of positive and negative shocks on the general prices' level in the high inflation regime are higher than those of low inflation regime.
Determining the Effect of Productivity Shock and Fluctuation Shock of Foreign Exchange Earning on the Household Asset Basket in the Iranian Economy using Dynamic Stochastic General Equilibrium Approach
Mr. Habib Mosavi, Dr Nader Mehregan, Dr Mohammedreza Yousefi Sheikh Robat,
Volume 21, Issue 3 (9-2021)
Abstract 
Financial markets, especially the capital market, may have strong links with other economic sectors. One of the most important aspects of investment is to determine the “optimal investment portfolio”. To date, some research has been conducted to determine the optimal portfolio with” artificial intelligence” and “Fuzzy Logic”. However, we determine the optimal portfolio based on Dynamic Stochastic General Equilibrium (DSGE) model. This study examines the design and calibration of the new Keynesian dynamic stochastic equilibrium model related to an optimal investment portfolio and the effect of shocks such as productivity shocks and foreign exchange earnings’ fluctuation shocks on macroeconomic variables. To this end, we design a DSGE model with sectors of households and firms, government and the central bank, and calibrate the model’s parameters after logarithm–Linearization using seasonal data of 1996-2016 and results of empirical studies. In the designed model, households maintain a portfolio of stocks, cash, securities, and other assets based on risk and return or an optimal portfolio. In the end, we assess the impulse response function of economic variables to shocks of productivity and foreign exchange earnings. Ultimately, the comparison of the present moments in the current study and moments of real data indicates the relative success of the model with regard to the realities of Iranian economy.
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The Pathology of Financial Misalignment in Iran's Pension System Considering Emerging Diseases and Population Aging Phenomenon
Dr Naeim Shokri, Dr Abbas Assari Arani, Dr Ali Asgary, Dr Amirhosein Mozayani, Dr Nematollah Akbari,
Volume 22, Issue 3 (9-2022)
Abstract
Today, the share of government aid from the public expenditures to support military and civil servants' pension funds has increased from about 11% in 2013 to 19% in 2021 and this trend has been increasing in recent years. This study aims to use DSGE models to simulate and apply corrective measures to enhance the financial misalignment of Iran's pension system. For this purpose, the model has been calibrated once for the PAYG-DB system that is currently used in Iran and then for the system based on financial provision based on the amount of partial savings to compare their welfare and distributional effects. The simulation results show that people reduce their savings by switching to a partial savings system, which increases consumption in all generations and capital accumulation in the whole society. In the second part of the article, impulse response functions were used to investigate the effects of emerging diseases and population aging variables on the financial misalignment of pension funds. The results show that the financial misalignment of pension funds increases following the positive shock in the above variables. Based on the results, parametric reforms such as a mechanism linking the retirement age to life expectancy and transition to a partial savings system can reduce financial misalignment and increase financial sustainability in Iran's pension system.

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