Investigation of Asymmetric Behavior Effects of Macroeconomic Variables on the Value Added of the Agriculture Sector in Iran: an Application of Smooth Transition Auto Regressive Model (STAR)

Ghahremanzadeh, Mohammad

Investigation of Asymmetric Behavior Effects of Macroeconomic Variables on the Value Added of the Agriculture Sector in Iran: an Application of Smooth Transition Auto Regressive Model (STAR)

Document Type : Research Paper

Author

Mohammad Ghahremanzadeh

Abstract

In this study, we tried to analyze the asymmetric effects of macroeconomic variables on the added value of agriculture sector of Iran. In this context, the smooth transition autoregresive model (STAR) was utilized over 1990-2012. Based on the results, the growth of added value of agricultural sector was chosen as the transition variable; therefore the growth of added value of agricultural exhibited the asymmetric behavior. In order analyzing the asymmetrical behavior based on Trasvyrta nonlinear test, the LSTR models is selected as suitable model which became a turning point for the coefficients in the logistic function, corresponding to 43% of added value of agriculture in a previous period of transition between the growth rate of value added ( ), is the moderate amounts is equal to 4.138. LSTR model results indicated that the effectiveness of monetary policies on the agricultural sector in high growth and low-value of agricultural sector has been different. The effects of macroeconomic variables including positive or negative effects on the high growth of value added of agricultural is more than low growth.

Keywords

Agriculture

Smooth Transition Autoregressive

nonlinearity

‎Monetary Policies

Asymmetric behavier

Subjects