پیوندهای مفید
اخبار و اعلانات
آمار
| تعداد نشریات | 158 |
| تعداد شمارهها | 6,228 |
| تعداد مقالات | 67,749 |
| تعداد مشاهده مقاله | 115,078,082 |
| تعداد دریافت فایل اصل مقاله | 89,815,647 |
Asymmetric Behavior of Inflation in Iran: New Evidence on Inflation Persistence Using a Smooth Transition Model | ||
| Iranian Economic Review | ||
| مقاله 6، دوره 21، شماره 1، خرداد 2017، صفحه 101-120 اصل مقاله (1.12 M) | ||
| شناسه دیجیتال (DOI): 10.22059/ier.2017.60865 | ||
| نویسندگان | ||
| Mohammad Ali Falahi* 1؛ Mehdi Hajamini2 | ||
| 1Department of Economics, Ferdowsi University of Mashhad, Mashhad, Iran | ||
| 2Department of Economics, Yazd University, Yazd, Iran | ||
| چکیده | ||
| T his paper investigates the asymmetric behavior of inflation. We use logistic smooth transition autoregressive (LSTAR) model to characterize the regime-switching behavior of Iran’s monthly inflation during the period May 1990 to December 2013. We find that there is a triple relationship between the inflation level, its fluctuations and persistence. The findings imply that the behavior of inflationary process is asymmetric. There are two inflationary regimes in Iran’s economy, one is stable with little fluctuations, and the other is unstable that lead to higher inflation, more fluctuations and higher persistence. The results also show that the persistence of inflation is significantly and positively related to inflation level. Therefore, the inflation tends to converge towards the long-run value slowly in the high-inflation regime compare to the low-inflation regime. For this reason, inflation rates tend to be self-generating and self-perpetuating inflationary process in the higher-inflation regime (for example after 2011), while in the lower-inflation regime (for example during 2000 to 2005) is not. | ||
| کلیدواژهها | ||
| Keywords:Inflation Rate؛ Regime Change؛ Logistic Smooth Transition Autoregressive؛ Iran. JEL Classification:C22؛ E31 | ||
| مراجع | ||
|
Amano, R. (2007). Inflation Persistence and Monetary Policy: A Simple Result. Economics Letters, 94, 26-31. Bacon, D. W., & Watts, D. G. (1971). Estimating the Transition between Two Intersecting Straight Lines. Biometrika, 58, 525-534. Baillie, R., Chung, C., & Tieslau, A. (1996). Analyzing Inflation by the Fractionally Integrated ARFIMA-GARCH Model. Journal of Applied Econometrics, 11, 23-40. Ball, L. (1992). Why Does High Inflation Raise Inflation Uncertainty? Journal of Monetary Economics, 29, 371-388. Berument, H., & Dincer, N. N. (2005). Inflation and Inflation Uncertainty in the G-7 Countries. Physica A, 348, 371-379. Berument, H., & Yuksel, E. (2007). Effects of Adopting Inflation Targeting Regimes on Inflation Variability. Physica A, 375, 265-273. Berument, H., Yalcin, Y., & Yildirim, J. (2012). Inflation and inflation uncertainty: A dynamic framework. Physica A, 391, 4816-4826. Brunner, A., & Hess, G. (1993). Are Higher Levels of Inflation Less Predictable? A State-Dependent Conditional Heteroscedasticity Approach. Journal of Business and Economic Statistics, 11, 187-197. Chan, K. S. (1993). Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model. The Annals of Statistics, 21, 520-533. Chan, K. S., & Tong, H. (1986). A Note on Certain Integral Equations Associated with Non-Linear Series Analysis. Probability Theory and Related Fields, 73, 153-158. Chen, S. W., & Hsu, C. S. (2016). Threshold, Smooth Transition and Mean Reversion in Inflation: New Evidence from European Countries. Economic Modelling, 53, 23-36. Civelli, A., & Zaniboni, N. (2014). Supply Side Inflation Persistence. Economics Letters, 125, 191-194. Cogley, T., & Sargent, T. J. (2002). Evolving Post-World War II U.S. Inflation Dynamics. NBER Macroeconomics Annual, 16, 331-388. Cottarelli, C., & Szapáry, G. (1998). Moderate Inflation: The Experience of Transition Economies. Washington, DC: International Monetary Fund. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74, 427-431. Dornbusch, R., & Fischer, S. (1993). Moderate Inflation. The World Bank Economic Review, 7, 1-44. Dornbusch, R., Sturzenegger, F., & Wolf, H. (1990). Extreme Inflation: Dynamics and Stabilization. Brookings Papers on Economic Activity, 2, 1-84. Doyle, M., & Falk, B. (2010). Do Asymmetric Central Bank Preferences Help Explain Observed Inflation Outcomes? Journal of Macroeconomics, 32, 527-540. Eitrheim, Ø., & Teräsvirta, T. (1996). Testing the Adequacy of Smooth Transition Autoregressive Models. Journal of Econometrics, 74, 59-75. Elliott, G., Rothenberg, T. G., Stock, J. H. (1996). Efficient Tests for an Autoregressive Unit Root. Econometrica, 64, 813-836. Esfahani, H. S., & Pesaran, M. H. (2009). The Iranian Economy in the Twentieth Century: A Global Perspective. Iranian Studies, 42, 177-211. Fischer, S., Sahay, R., & Végh, C. A. (2002). Modern Hyper and High Inflations. Journal of Economic Literature, 40, 837-880. Friedman, M. (1977). Nobel Lecture: Inflation and Unemployment. Journal of Political Economy, 85, 451-472. Giannellis, N. (2013). Asymmetric Behavior of Inflation Differentials in the Euro Area: Evidence from a Threshold Unit Root Test. Research in Economics, 67, 133-144. Granger, C. W. J., & Teräsvirta, T. (1993). Modelling Nonlinear Economic Relationships. Oxford: Oxford University Press. Hansen, B. E. (2000). Sample Splitting and Threshold Estimation. Econometrica, 68, 575-603. ---------- (1999). Testing for Linearity. Journal of Economic Surveys, 13, 551-576. ---------- (1997). Inference in TAR Models. Studies in Nonlinear Dynamics and Econometrics, 2, 1-14. ---------- (1996). Inference When a Nuisance Parameter Is not Identified under the Null Hypothesis. Econometrica, 64, 413-430. Jiranyakul, K., & Opiela, T. P. (2010) Inflation and Inflation Uncertainty in the ASEAN-5 Economies. Journal of Asian Economics, 21, 105-112. Komlan, F. (2013). The Asymmetric Reaction of Monetary Policy to Inflation and the Output Gap: Evidence from Canada. Economic Modelling, 30, 911-923. Luukkonen, R., Saikkonen, P., & Teräsvirta, T. (1988). Testing Linearity against Smooth Transition Autoregressive Models. Biometrika, 75, 491-499. McLeod, A. I., & Li, W. K. (1983). Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations. Journal of Time Series Analysis, 4, 269-273. Meller, B., & Nautz, D. (2012). Inflation Persistence in the Euro Area Before and After the European Monetary Union. Economic Modelling, 29, 1170-1176. Phillips, P. C. B., & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75, 335-346. Qin, L., Sidiropoulos, M., & Spyromitros, E. (2013). Robust Monetary Policy under Model Uncertainty and Inflation Persistence. Economic Modelling, 30, 721-728. Ramsey, J. B. (1969). Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis. Journal of the Royal Statistical Society, Series B Methodological, 31, 350-371. Surico, P. (2007). The Fed’s Monetary Policy Rule and U.S. Inflation: The Case of Asymmetric Preferences. Journal of Economic Dynamics & Control, 31, 305-324. Teräsvirta, T. (1998). Modelling Economic Relationships with Smooth Transition Regressions. In Ullah, A., & Giles, D. E. A. (Eds.), Handbook of Applied Economic Statistics (507-552).New York: Marcel Dekker. ---------- (1994). Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models. Journal of the American Statistical Association, 89, 208-218. Teräsvirta, T., Dijk, D., & Medeiros, M. C. (2005). Linear Models, Smooth Transition Auto-regressions, and Neural Networks for Forecasting Macroeconomic Time Series: A Re-Examination. International Journal of Forecasting, 214, 755-774. Tong, H. (1978). On a Threshold Model. Sijthoff and Noordhoff, Retrieved from http://eprints.lse.ac.uk/19500/. Tong, H., & Lim, K. S. (1980). Threshold Autoregression, Limit Cycles and Cyclical Data. Journal of the Royal Statistical Society, Series B Methodological, 42, 245-292. Tong, H., & Yeung, I. (1991). Threshold Autoregressive Modelling in Continuous Time. Statistica Sinica, 1, 411-430. Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93, 1188-1202. ---------- (1989). Testing and Modeling Threshold Autoregressive Processes. Journal of the American Statistical Association, 84, 231-40. Tsong, C. C., & Lee, C. F. (2011). Asymmetric Inflation Dynamics: Evidence from Quantile Regression Analysis. Journal of Macroeconomics, 33, 668-680. White, H. (1980). A Heteroscedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroscedasticity. Econometrica, 48, 817-838. Zhang, C. (2011). Inflation Persistence, Inflation Expectations, and Monetary Policy in China. Economic Modelling, 28, 622-629. | ||
|
آمار تعداد مشاهده مقاله: 1,229 تعداد دریافت فایل اصل مقاله: 963 |
||