The Asymmetric Effects of Monetary Policy on Production of Industries and Mines Sector in Iran: Hidden Cointegration Approach

Document Type : Original Article

Authors

1 PhD Candidate in Economics, Faculty of Management and Economics, Sciences and Research Branch, Islamic Azad University, Tehran, Iran

2 Professor of Economics, Faculty of Management and Economics, Sciences and Research Branch, Islamic Azad University, Tehran, Iran

3 Professor of Economics, Faculty of Economics, University of Tehran, Tehran, Iran

4 Assistant Professor of Economics, Faculty of Management and Economics, South Tehran Branch, Islamic Azad University, Tehran, Iran

10.29252/jem.2023.228054.1773

Abstract

The main goal of this study is to examine the asymmetric effects of monetary policy on the production of industries and mines. For this purpose, hidden cointegration analysis and Autoregressive distributed lag approach is used during 1974-2020. Hodrick-Prescott filter was used to extract the positive and negative impulses of the liquidity variable. Then, the effects of positive and negative impulses of the variables were investigated separately on the positive and negative impulses of the production of this sector with latent cointegration analysis. In the last step, the long-term relationship between the variables is checked and the long-term coefficients are calculated using the auto-regression model approach with non-linear distribution intervals and the bounds test. The results show that there is a hidden cointegration between the time series of  and production in the Industries and Mines sector. Hence, the positive components of the  and production in this sector have a long-term relationship with each other, as well as their negative components. Also, the effect of the positive shocks of  is greater than the negative shocks of this variable. Therefore, the existence of asymmetry in monetary policy is confirmed.

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References

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