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:: Volume 13, Issue 3 (Summer 2018) ::
J. Mon. Ec. 2018, 13(3): 267-289 Back to browse issues page
The Effect of Macroeconomic Shocks on Inflation in Iran: A Vector Autoregressive Approach with Dynamic Parameters
Hossein Tavakolian *1, Majid Babaee1, Abbas Shakeri1
1- Faculty of Economics, Allameh Tabataba'i University
Abstract:   (125 Views)
Given the effects of inflation on the decline of household welfare and its impact on production and investment, identifying the factors affecting it in order to adjust inflation and achieve price stability is necessary. Therefore, using the TVP-FAVAR model, which differentiates the fluctuations in factors affecting inflation, we try to identify the effects of different shocks such as liquidity, oil revenues, spot market exchange rates, economic growth, interest rates on bank facilities, budget deficits, inflation uncertainty and unemployment on inflation in Iran. In this study, seasonal data from 1370 to 1394 are used. The results, based on the TVP-FAVAR model, reflect the fact that all variables affecting inflation have a positive effect on this variable. Due to the negative effect of changes in economic growth on inflation rate, especially from 1388 to 1394, the existence of stagflation is confirmed. The shock caused by changes in oil revenues is also an important factor in creating inflation in the economy.
Keywords: Inflation, Economic Growth, Stagflation, TVP-FAVAR
Full-Text [PDF 812 kb]   (40 Downloads)    
Type of Study: Research | Subject: Macroeconomics
Received: 2018/11/19 | Accepted: 2019/09/11
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Tavakolian H, Babaee M, Shakeri A. The Effect of Macroeconomic Shocks on Inflation in Iran: A Vector Autoregressive Approach with Dynamic Parameters. J. Mon. Ec.. 2018; 13 (3) :267-289
URL: http://jme.mbri.ac.ir/article-1-340-en.html


Volume 13, Issue 3 (Summer 2018) Back to browse issues page
Journal of Money and Economy Journal of Money And Economy
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