We study the relation between macroeconomic fundamentals and asset pricing through the lens of a state of the art dynamic stochastic general equilibrium (DSGE) model considered in Christiano, Trabandt and Walentin (2011). We provide a full-information Bayesian estimation of the model using macro variables and extract three fundamental shocks to the economy through the model: neutral technology ...

This study aims to evaluate the effect of sentiments on Iran's economy through a New Keynesian Dynamic Stochastic General Equilibrium model in a closed economy. In this study, the coefficients of the proposed model are calibrated and estimated using the quarterly data of Iran's economy from 2004 to 2015. It shows that in the presence of sentiment, how stochastic impulses affect the main macroec...

T his study examines how oil price shocks interact with the stock market index within a nonlinear autoregressive distributed lag model in Iran. Based on quarterly data for the period from 1991 to 2017, the findings revealed statistically significant evidence of short-run and long-run asymmetric behavior of stock market index in response to the positive a...

I ran’s economy is suffering from sharp and persistent economic shocks and agriculture plays an undeniable role in its economic growth and development. The aim of this paper is to study the relative contributions of various macroeconomic shocks to generating fluctuations in Iran’s agriculture sector. To do so, a Dynamic Stochastic General Equilibrium (DSGE) model, emphasizing on the ...

This paper employs disaggregated manufacturing data to investigate the causes of the time delay between an increase in oil prices and the following slowdown in economic activity. VAR results show that, unlike aggregate GDP, the effect of an oil price shock on new motor vehicles production shows up immediately and is statistically significantly. After one quarter, similar patterns are observed f...