Evaluating Taylor Rule and Money Growth Rate Rule in a DSGE Model for Iran

Document Type : Research Paper



The Effectiveness and efficiency of monetary policy as a challenging problem in economics has been considerably discussed among policymakers. Moreover, it has been shown that applying monetary rules are more successful than using discretion in conducting monetary policy. Currently, Taylor rule is widely used in a large number of countries. This paper analyzes two alternative monetary policy rules, Taylor rule and money growth rate rule, in new Keynesian stochastic dynamic general equilibrium models for Iran economy and also compares the results of them. However, neither of these rules has been applied to Iran monetary policy yet, the parameters of the rules are determined such that the moments of simulations approximately equal to the moments of real economy. Analyzing the moments of simulated parameters and comparing them with the real world’s data demonstrates that presented models in simulations of Iran macroeconomic are properly matched with both theoretical principles and Iran economy. Furthermore, the type of used monetary rules depending on the type of economic shocks, technology, oil or government expenditure, could affect intensity of variables responses to the shocks. Finally, it is shown that the effect of the presented rules on the inflation variable is higher than the real sector variables.


Main Subjects

تقی‌نژاد عمران، وحید و محمد بهمن (1391)؛ «قاعده گسترش‌یافته تیلور: مطالعه موردی ایران 86-1357»، فصلنامه تحقیقات مدل‌سازی اقتصادی، ش. 9.
توکلیان، حسین (1391)؛ «بررسی منحنی فیلیپس کینزی جدید در قالب یک مدل تعادل عمومی پویای تصادفی برای ایران»، مجله تحقیقات اقتصادی، ش. 3، صص 1-22.
جلالی نائینی، سید احمدرضا (1389)؛ «ابزارهای سیاست پولی مبتنی بر نرخ بهره در مقایسه با ابزارهای سیاست پولی غیر ربوی»، فصلنامه تازه‌های اقتصاد (گزارش سخنرانی دکتر جلالی نائینی)، پژوهشکده پولی و بانکی، ش. 132.
داودی، محبوبه (1393)، «شبیه‌سازی تصادفی قاعده سیاست پولی در مدل کینزی جدید برای اقتصاد ایران»، پایان‌نامه کارشناسی ارشد، دانشگاه صنعتی شریف.
درگاهی، حسن و رویا شربت‌اوغلی (1389)؛ «تعیین قاعده سیاست پولی در شرایط تورم پایدار اقتصاد ایران با استفاده از روش کنترل بهینه»، مجله تحقیقات اقتصادی، ش.93، صص 27-1.
سلیمانی، موحد؛ مریم، زهرا افشاری و مهدی پدرام (1394)؛ «سیاست پولی بهینه با استفاده از قاعده مشارکت اسلامی در یک مدل تعادل عمومی تصادفی پویا»، فصلنامه پژوهش‌ها و سیاست‌های اقتصادی، ش. 76، صص 144-115.
فرازمند، حسن؛ مجتبی قربان‌نژاد و عبدالله پورجوان (1392)؛ «تعیین قواعد سیاست پولی و مالی بهینه در اقتصاد ایران»، فصلنامه پژوهش‌ها و سیاست‌های اقتصادی، ش.67، صص89-69.
کمیجانی، اکبر؛ سیدمحمدهادی سبحانیان و سعید بیات (1391)؛ «اثرات نامتقارن رشد درآمدهای نفتی بر تورم در ایران با استفاده از روش VECM»، فصلنامه پژوهشنامه اقتصادی (رویکرد اسلامی ـ ایرانی)، سال دوازدهم، ش. 45، صص226-201.
مجاب، رامین و سیدمهدی برکچیان (پاییز 1390)؛ «تأثیر شوک‌های درآمد نفت بر تولید حقیقی بدون نفت»، فصلنامه پژوهش‌های پولی ـ  بانکی، سال چهارم، ش. 9.
همتی، مریم (1391)؛ « ارزیابی عملکرد سیاست پولی در ایران»، فصلنامه تازه‌های اقتصاد، پژوهشکده پولی و بانکی، ش. 136.
Adalid, R.; G. Coenen, P. McAdam and S. Siviero (2005); “The Performance and Robustness of Interest Rate Rules in Models of the Euro Area”, ECB Conference on Monetary Policy and Imperfect Knowledge, Working Paper Series, no.479: 3-33.
Airaudo, M and Z. Luis-Felipe (2012); “Interest Rate Rules, Endogenous Cycles, and Chaotic Dynamics in Open Economies”; Journal of Economic Dynamics and Control, no.36(10), pp.1566-1584.
Carlson, J. B. (1998); Rules Versus Discretion: Making a Monetary Rule.
Cúrdia, V.; A. Ferrero, G.C. Ng and A. Tambalotti (2011); “Evaluating Interest Rate Rules in an Estimated DSGE Model”, FRB of New York Staff Report, no.510.
Dib, A. (2002); “Nominal Rigidities and Monetary Policy in Canada Since 1981”, Bank of Canada.
Friedman, B. M. and K. N. Kuttner (2010); “Implementation of Monetary Policy: How Do Central Banks Set Interest Rates?”, no.w16165. National Bureau of Economic Research.
Gali, J.; D. L. Salido and J. Valles (2003); “Rule of Thumb Consumers and the Design of Interest Rate Rules”, Series Documentes of Central Bank of Spain, no.0320.
Giannoni, M. P.  and M. Woodford (2003); “Optimal Interest-rate Rules: I. General Theory”, no. w9419. National Bureau of Economic Research.
Ireland, P. N. (2001); “Money’s Role in the Monetary Business Cycle”, National Bureau of Economic Research, no. w8115.
Käfer, B. (2014); “The Taylor Rule and Financial Stability–A Literature Review with Application for the Eurozone”, Review of Economics, no.65.2, pp.159-192.
King, R. G.; C. I. Plosser and S. T. Rebelo (2002); “Production, Growth and Business Cycles: Technical Appendix”, Computational Economics, no.20(1-2), pp.87-116.
Kong, D. (2008); “Monetary Policy Rule for China: 1994-2006”, University of Queensland East Asia economic research working paper, no.14.
Kydland, F. E., and E. C. Prescott (1977); “ Rules Rather than Discretion: The Inconsistency of Optimal Plans”, The Journal of Political Economy, pp.473-491.
McCallum, B. T. (2002); “Monetary Policy Rules and the Japanese Deflation”, In Conference Paper for the March 20, 2002 Workshop Sponsored by the Economic and Social Research Institute of the Japanese Government.
Mishkin, F. S. (2000); What Should Central Banks Do?.
Olivo, V. (2005); “Interest Rate Rules VS Money Growth Rules: Some Theoretical Issues and an Empirical Application for Venezuela”, University Library of Munich, Germany.
Razzak, W. A. (2003); “Is the Taylor Rule Really Different from the McCallum Rule?”, Contemporary Economic Policy, no.21(4), pp.445-457.
Senay, O. (2008); “Interest Rate Rules and Welfare in Open Economies”, Scottish Journal of Political Economy, no.55(3), pp.300-329.
Sun, S.; C. Gan and B. Hu (2012); “Evaluating McCallum Rule as a Policy Guideline for China”, Journal of the Asia Pacific Economy, no.17(3), pp.527-545.
Taylor, J. B. (1999); “The Robustness and Efficiency of Monetary Policy Rules as Guidelines for Interest Rate Setting by the European Central Bank”, Journal of Monetary Economics, no.43(3), pp.655-679.
Tovar, C. E. (2009); “DSGE Models and Central Banks. Economics”, The Open-Access, Open-Assessment E-Journal, no.3.
Volckart, O. (2007); “Rules, Discretion or Reputation? Monetary Policies and the Efficiency of Financial Markets in Germany”, 14th to 16th Centuries. No. SFB649DP2007-007. Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
Volume 21, Issue 83 - Serial Number 83
September 2017
Pages 67-102
  • Receive Date: 05 November 2016
  • Revise Date: 20 December 2016
  • Accept Date: 03 January 2017
  • First Publish Date: 23 August 2017