TY  - JOUR
T1  - Calculation of Government’s Fiscal Policy Index in TVP-FAVAR Models
AU - Jafari, Mohammad AU - Fattahi, Shahram AU - Khodaei, Mehdi 
JO  - Research Journal of Applied Sciences
VL  - 11
IS  - 12
SP  - 1513
EP  - 1516
PY  - 2016
DA  - 2001/08/19
SN  - 1815-932x
DO  - rjasci.2016.1513.1516
UR  - https://makhillpublications.co/view-article.php?doi=rjasci.2016.1513.1516
KW  - Fiscal policy
KW  -economic growth
KW  -state-space equation
KW  -(PCA)
KW  -Iran
KW  -FAVAR
AB  - This study attempted to calculate the government’s fiscal policy index in the Iranian economy using the quarterly data from 1988-2012 in a model consisting of a combination of the Factor-Augmented Vector Autoregressive (FAVAR) and the Time-Varying Parameter (TVP) models. In this modeling, the variables of GDP growth, investment growth, inflation, exchange rate changes, private consumption expenditure growth and the government’s fiscal policy entered the model as latent variables. Based on the results of the study, it was found that the proposed model led to better accuracy in modeling the Iranian fiscal policy index compared to the two-stage FAVAR Model proposed by Doz and the Principal Component Analysis (PCA) Model.
ER  -