Estimating the Impact of Liquidity Growth, Inflation Rate and Exchange Rate Growth on Iran’s Economic Growth: Midas & MF-VAR Methods Approach

Document Type : Research Paper

Authors

1 Ph.D. Candidate in Financial Economics, Faculty of Economics & Management, University of Tabriz, Iran.

2 Professor of Economics, Faculty of Economics & Management, University of Tabriz, Iran. (Corresponding Author).

3 W.E. Nelson Professor of Financial Economics, University of Portland, USA.

4 Ph.D. Student of Monetary Economics, Faculty of Economics & Management, University of Tabriz, Iran

Abstract

The main purpose of this study is to investigate how production growth is affected by liquidity growth, exchange rate growth and inflation. Considering that many macro variables affecting economic growth have high frequencies compared to economic growth; Ignoring this problem causes the loss of information and the lack of recognition of the exact relationships between variables. In this study, an attempt has been made to evaluate the monthly effects of Exchange rate growth, Inflation and liquidity growth on Iran’s seasonal economic growth by using MIDAS and MF-VAR with Iran’s economic time series data during the period of 1390-1400. The empirical findings of the research indicate that the growth of all three variables of price, exchange rate and real liquidity initially have a positive effect on economic growth, but then lead to a decrease in economic growth. In this way, the results show that if the real liquidity growth, inflation and exchange rate growth are about 0.12%, 1.93% and 2.02% per month respectively, the economic growth will be strengthene, and if the monthly growth exceeds the mentioned values, it will have a negative effect on the growth of Iran’s GDP.

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References

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History

  • Receive Date: 18 March 2023
  • Revise Date: 18 April 2023
  • Accept Date: 25 April 2023

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