Intergenerational Measurement of Effects of Monetary Shocks on Consumption Expenditures of Urban Households in Iran

Document Type : Research Paper

Authors

1 uni chamarn

2 Faculty of Economics,, Shahid Chamran University Of Ahvaz,

3 uni ahvaz

Abstract

This article presents a case study to assess the impact of monetary market shocks on the consumption behavior of urban households across different age groups (elderly, middle-aged, and young cohorts). Utilizing a method developed by Deaton and Paxson (1997) and analyzing cross-sectional household budget data, a pseudo-panel dataset is constructed to examine the intergenerational consumption patterns of individuals born between 1957 and 1992. The findings highlight that the highest magnitude of monetary market shock occurred from 2011 to 2012. It is observed that young households exhibit lower consumption levels compared to other cohorts and experience greater vulnerability to both small and significant adverse shocks in the monetary market. Furthermore, a significant negative shock impacts all age groups, resulting in a convergence of consumption expenditures across cohorts; however, the young cohort experiences the most significant reduction in consumption due to its heightened vulnerability relative to other age groups

Keywords

Main Subjects

References

  1.  Altunc, F., & Aydin, C. (2014). An Estimation of the Consumption Function under the Permanent Income Hypothesis: The Case of D-8 Countries. Journal of Economic Cooperation & Development, 35, 29-42.
  2. Alvarez, J., & Arellano, M. (2003). The Time Series & Cross-Section Asymptotics of Dynamic Panel Data Estimators. Econometrica, 71(4).
  3.  Benazić, M., & Rami, J. (2016). Monetary policy & unemployment in Croatia, Economic Research-Ekonomska Istraživanja, 29(1).
  4.  Boivin, J., Kiely, M., & Mishkin, F. (2010). How Has the Monetary Transmission Mechanism Evolved Over Time? Finance & Economics Discussion Series, Divisions of Research & Statistics & Monetary Affairs. Federal Reserve Board, Washington, D.C.
  5.  Bun, J., & Carree, A. (2005). Bias-Corrected Estimation in Dynamic Panel Data Models. Journal of Business & Economic Statistics, 23, 200–210.
  6.  Bouakez, H., Cardia, E., & Ruge-Murcia, F. (2005). The Transmission of Monetary Policy in a Multi-Sector Economy. International Economic Review, Vol. 50, No. 4 (Nov., 2009), pp. 1243-1266 (24 pages).
  7. Boroumand, S., Mohammadi, T., Pezhoyan, J., Farzinvash, E., & Memaranjad, A. (2020). The welfare cost of external shocks & the optimal rule of monetary policy for the Iranian economy. Financial Economics Quarterly, No. 48 (in Persian).
  8.  Calza, A., Monacelli, T., & Stracca, L. (2013). Housing finance & monetary policy. Journal of the European Economic Association. 11 (suppl_1), 101-122.
  9. Christiano, J., Eichenbaum, M., & Evans, C. (1996). The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds. The Review of Economics & Statistics, Vol. 78, No. 1.
  10. Deaton, A. (1985). Panel Data from time series of cross-sections. Journal of Econometrics, 30, pp. 109-126.
  11. Elbourne, A. (2008). The UK Housing Market & the Monetary Policy Transmission Mechanism: An SVAR Approach. Journal of Housing Economics, 17, 65-87.
  1.  Everaert, G., & Pozzi, L. (2007). Bootstrap-based bias correction for dynamic panels, Journal of Economic Dynamics & Control, 31(4), 1160–1184.
  2.  Fernedaz-Val, I., & Weidner, M. (2010). Individual & Time Effects in Nonlinear Panel Data Models with Large N, T, unpublished manuscript.
  3.  Friedman, M. (1958). The Supply of Money & Changes in Prices & Output. reprinted in The Optimum Quantity of Money & Other Essays.
  4.  Fotros, H., & Maboudi, R. (2008). The effect of income inequality on consumption expenditure inequality in Iran. The first national economics conference, Islamic Azad University, Khomeinishahr branch (in Persian).
  5.  Goldfeld, , & Quant, E. (1973). A Markov model for switching regressions. Journal of Econometrics 1. Pp. 3–16.
  6. Gourieroux, C., Phillips, B., & Yu, J. (2006). Indirect Inference for Dynamic Panel Models. Cowles Foundation Discussion Papers 1550. Cowles Foundation for Research in Economics, Yale University.
  7.  Hahn, J., & Kuersteiner, G. (2002). Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n & T Are Large. Econometrica, 70(4), 1639–1657.
  8. Hamilton, D. (1989). A New Approach to the Economic Analysis of Non-stationary Time Series & the Business Cycle. Econometrica, 57(2). 357-384.
  9.  Hemmati, M., & Jalali Naini, A. (2010). Investigating the effect of monetary shocks on the 12 main groups of consumer goods & services price index using the FAVAR method. Iranian Economic Research Quarterly, No. 49 (in Persian).
  10. Kiviet, F. (1995). On bias, inconsistency, & efficiency of various estimators in dynamic panel data models, Journal of Econometrics, 68(1), 53–78.
  11.  Krylova, E. (2002). The credit channel of monetary policy, Case of Austria. Economics Series, Institute for Advanced Studies.
  12. Lee, Y. (2012). Bias in dynamic panel models under time series misspecifcation, forthcoming, Journal of Econometrics.
  13.  Mertens, A. (2018). Effects of monetary policy shocks on inequality: A proxy-svar approach. Research Faculty of Social Sciences Economics- Research Paper.
  14.  Mishkin, F. (1995). Symposium on the Monetary Transmission Mechanism. The Journal of Economic Perspectives. 9, 3-10.
  15. Neyman, J., & Scott, E. (1948). Consistent estimates based on partially consistent observation. Econometrica, 16, 1–32.
  16.  Nickell, J. (1981). Biases in Dynamic Models with Fixed Effects. Econometrica, 49(6), 1417–26.
  17.  Pish bahar, I., & Javadan, E. (2014). The effect of monetary shocks on food prices in Iran. Economic Research Quarterly, No. 4 (in Persian).
  18.  Phillips, C., & Sul, D. (2007). Bias in dynamic panel estimation with fixed effects. incidental trends & cross section dependence, Journal of Econometrics, 137(1), 162–188.
  19.  Quant, E. (1972). A new approach to estimating switching regressions. Journal of the American Statistical Association, 67. 306–310.
  20. Ryder, N. (1965). The Cohort as a Concept in the Study of Social Change. American Sociological Review, 30, 843-861.
  21.  Saiki, a., & Frot, (2014). Japan’s Unconventional Monetary Policy & Income Distribution. Revisited, Working Paper E-126.
  22. Shakri, A. (2014). A historical overview of the formation process of macroeconomic theories. Iranian Economic Research Quarterly, No. (23) 6 (in Persian).
  23.  Sharifi Renani, H., Ghobadi, S., Amrollahi Pourshirazi, F., & Honarvar, N. (2013). Investigating the effect of the asset price channel on the effectiveness of monetary policy in Iran. Economic Modeling Quarterly, No. 3 (in Persian).
  24.  Statistical Center of Iran. (2022). Information about the expenses & incomes of urban households. Tehran: Publications of Iran Statistics Center (in Persian).

Files

Share

How to cite

Statistics