Measuring Financial Development Index and Analyzing Its Time-Varying Effects on Economic Growth: An Application of TVP-FAVAR Model

Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī

Mohsen Khezri¹  Somayeh i Shokrav² 

[1] Associate Professor, Department of Economics, Bu-Ali Sina University;Associate Professor, Department of Economics, Islamic Azad University;

关键词: Financial Development;    Economic Growth;    State-Space Models;   

DOI  :  10.22054/JOER.2018.8571

来源: DOAJ

【 摘 要 】

In this study, to determine the exact effect of financial development on economic growth, we use quarterly data for 1988 to 2013 and apply factor-augmented vector autoregressive (FAVAR) model in combination with time-varying parameters model (TVP) for the case of Iranian economy. Variables used in this study include economic growth, ratio of government spending to GDP (as an index of government size), economic openness index (the ratio of exports and imports to GDP), inflation and financial development index (as an unobservable variable). Based on our results, the effect of financial development index on economic growth in the period under consideration is positive, an increase in government size leads to lower economic growth, in a way that the government size effect is more intense at times that oil revenues increase. In addition, the effect of inflation on economic growth is positive. Finally, the degree of trade openness on economic growth has a positive effect.

【 授权许可】

Unknown