After the recessions and recent economic crises (especially The Great Recession), many policymakers, economists and researchers have done the theoretical and empirical studies under the conditions of banking and financial crisis or various credit conditions to find out that how monetary and financial policies affect the macroeconomic system. This paper investigates the effect of fiscal policy shocks (positive and negative) on GDP during the credit cycles employing seasonal data of Iranian economy during the period 1990:Q2–2018:Q2 via asymmetric threshold vector auto-regression (TVAR) model. We used the Lee-Strazicich and nonlinear TAR unit root tests and the Johansen-Juselius and Saikkonen-Lutkepohl co-integration tests to investigate the degree of integration and co-integration of variables. The results of estimating TVAR model, considering the growth of bank credits to the private sector as a threshold variable, implies that the positive shock of government expenditures is more effective during the credit recession Than Positive while the negative shock of government expenditures is more effective during the credit boom Than negative. Besides, the positive shocks of tax on GDP are more effective in the period of bank credit boom Than negative while the negative shocks of tax on GDP are more effective in the period of bank credit recession Than positive. Hence, there is asymmetry in the effect of positive and negative shocks of fiscal policy during the credit cycles for the Iranian economy.