Banking industry, as one of the important financial intermediation industries in Iran’s economy, faces the critical challenge of delayed loans. The existence of delayed loans decreases banks liquidity resources and their lending power. As a result, in recent years, Iranian banks have tired to change their asset portfolio from business loans to interbank loans to confront with their credit risk. Because of the strong relation between banking industry and other economic sectors in Iran, I try to analyze the reaction of macroeconomic variables (such as production and inflation) and banking variables to the shocks of delayed loans. To do so, I use annual statistics of the economic variables between 1981 to 2013 as well as calibration and Bayesian Model to extract the value of Dynamic Stochastic General Equilibrium (DSGE) parameters. Results show that the theoretic Model is compatible with the economic realities.In the other, words investment and production decrease and inflation increases as delayed loans increase. Alternatively, investment and production increase and inflation decreases by increasing interbank loans.

Goal: In this paper we try to present a version of the standard New Keynesian Model with a real labor market for which we notice to the both side of labor market (supply and demand) for defining unemployment...

Although stock market bubbles play an important role in determining stock price and economic fluctuations, their explanation based on fundamental principles of the economy is a challenging task. The purpose of this paper is to identify the factors shaping the price bubbles of the Tehran Stock Exchange according to a Bayesian DSGE Model in the real business cycles framework. Stock price bubbles in this Model appear endogenously as a positive feedback mechanism that is supported by optimistic beliefs. Based on the obtained results, the sentiment shock was introduced as the most important source of bubbles fluctuations followed by fluctuations in the stock price. This shock reflects households’ beliefs about the relative size of bubbles and is passed to the real economy through credit constraints. This shock also expresses a large part of the fluctuations in output, consumption, and investment. Also, the labor supply shock and the investment-specific technology shock had a dominant role in creating employment and investment fluctuations, respectively.

A Dynamic Stochastic General Equilibrium (DSGE) Model is developed to study monetary business cycles impacts of volatilities of oil revenue and money supply on macroeconomic variables in Iran. The results show that 0.15 percent deviation from the trend of steady state inflation is explained by changes in oil revenue when it is accompanied by change in money aggregates. However, if such changes in oil revenues are not financed by the central bank, inflation deviates only by 0.1 percent. The results reemphasize the fact that money is neutral in a non-sticky price framework and only affect output and employment by 0.05 and -0.01 percent respectively.

The labor market, as one of the four markets, plays an important role in economic growth and development. So review developments in the labor market because of its close relationship with developments in other sectors is of great importance. This study tries to examine the Dynamics of the labor market by adjusting for a New Keynesian Dynamic Stochastic General Equilibrium Model for the Iranian economy. After the Model was solved, the obtained equations were linearized and their parameters were estimated using the economic data of Iran (2005-2017) by the Bayesian method. Comparing the Model's moments with the economic momentum indicates the success of the Model in real-world simulation (production, consumption, investment, unemployment, and participation rate). Impulse Response Functions Survey shows that participation rates are consistent with cyclic behavior. On the other hand, in response to shocks (monetary, oil revenues, government expenditures, and public sector employment), increased employment, but the unemployment rate has changed slightly due to the change in the participation rate and the change in the size of the active population, which represents the sustainability of the unemployment rate.

Modeling and evaluation of capital asset pricing is one of the most important branches in financial economics and economic growth. Consequently, development of countries’ stock market can play a significant role in optimal allocation of financial resources. The main purpose of this study was to Modeling capital asset pricing in a quantitative General Equilibrium Model with growth options for intangible capital. This article was thus Modeled based on the component of long run risk, intangible capital and with recursive preferences due to the failure in predicting conditional capital asset pricing Models(CCAPM). The framework thus explains the observed difference between the book-tomarket ratios by intangible capital. In this Model, growth stocks are of lower exposure to aggregate productivity risk than value stocks. This article also explains the Dynamics of consumption and investment within the framework of the General Equilibrium for Iran's economy. The findings show that young firms have idiosyncratic volatility more than older firms and the relationship between book-to-market ratio and aggregate productivity growth is negative. In other words, aggregate productivity growth has a different effect on firm heterogeneity at the firm age and capital age.

Since DSGE Models do not have a closed-form solution, the Model should be approximated around the steady state. The question that arises is whether this approximation should be around a deterministic steady state or a Stochastic one? This study, usinng a modified new Keynesian Model for Iran, considers oil price and production uncertainties. The results indicate that Stochastic steady state and higher Taylor approximation can better explain the Iran's economy. Also, the results show that the level of consumption, private investment and GDP in the Stochastic steady state is less than the deterministic steady state, while the government consumption and investment in the Stochastic state are higher than the deterministic steady state. The impulse response function also show that the response of economic variables to different shocks in the Stochastic steady state is less than that of deterministic steady state.

The purpose of this paper is to investigate the effect of firm credit constraint on unemployment in a Dynamic Stochastic General Equilibrium Model within the 1996-2017 period. In this study, the financial friction occurs through the existence of incomplete contracts in the market. In this Model, the limitation of borrowing for the firm is in relation to the stock of capital, which leads to a very slow response of the labor market to productivity momentum. A characteristic of this pattern is that, in every period, employment (or unemployment) comes from the conditions that prevail the labor market. In each period, the number of people recruited depends on job opportunities created by businesses and the number of the unemployed. In this case, if the number of job opportunities is low or the number of the unemployment is high, voluntary unemployment emerges, which is more compatible with the Iranian economy. The results show that the credit impulse caused by the firm's limitation in the financing of investment in the country increases unemployment. The results also indicate that the limitation of firm credit in the borrowing process leads to a decrease in job capacities and the probability of finding jobs in the market.

This paper is aimed to design a Dynamic Stochastic General Equilibrium in an Islamic framework for Iran. For this purpose an Islamic policy instrument, i.e. The share of government participation in capital funding (MUSHARAKA) is substitute for the interest rate. Then an Islamic policy rule is substitute for Tailor rules in which MUSHARAKA rate will respond to GDP and inflation fluctuations. The results reveal that with the new policy rules, the impact of economic shocks on both GDP and inflation fluctuation will decrease. Then the optimal Islamic (MUSHARAKA) rule is derived. The coefficients of optimal policy rules indicate that monetary authority should respond equally to inflation and the GDP gaps. Therefore, we can conclude that the instrument introduced in this Model is quite capable to confront economic fluctuations. So it can be used as an alternative superior instrument for implementing the stabilization policies.

The main goal in this paper is introducing a DSGE Model to evaluate the effects of an energy price shock on macroeconomic variables in Iran. The results indicate deviation in production, labor supply, and inflation from their steady state due to an energy price shock. The most important deviation from optimal levels relates to an 11% deviance in relation to long term investment growth rates. The results further indicate that the lower the share of energy and the higher the share of labor in the production function, the more quickly investment returns to its steady state rate and the less GDP will deviate from optimal levels. In addition, the more energy revenues are neutralized in the national budget, the less production and government expenditure will deviate from their steady state.