ارزیابی نقش عوامل پولی در تورم ایران: رهیافت NARDL با تأکید بر شکست‌های ساختاری

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد، دانشکده اقتصاد و حسابداری، دانشگاه آزاد اسلامی، واحد تهران مرکزی، تهران، ایران

2 استادیار گروه اقتصاد، دانشکده اقتصاد و حسابداری، دانشگاه آزاد اسلامی، واحد تهران مرکزی، تهران، ایران

چکیده

ارزیابی عوامل تقویت کننده تورم در اقتصاد هر کشوری از جهات گوناگون حائز اهمیت است، چرا که علاوه بر بعد اقتصادی، پدیده تورم آثار اجتماعی، سیاسی نیز در پی خواهد داشت. از این روی، مطالعه حاضر به بررسی اثرات عوامل مختلفی همچون نرخ بهره، نقدینگی، کسری بودجه، میزان بدهی دولت به بانکها و غیره بر نرخ تورم ایران با استفاده از رهیافت اقتصادسنجی NARDL طی دوره 1372-1401 است. نتایج بلندمدت نشان داد که شوک مثبت نقدینگی، اثری مثبت بر نرخ تورم می­گذارد. شوک مثبت کسری بودجه بر نرخ تورم نیز مثبت بوده و به عبارتی دیگر اثر افزایشی بر تورم ایران داشته است. شوک مثبت نرخ بهره اثری معکوس بر نرخ تورم نشان داده و به عبارتی با افزایش نرخ بهره، نرخ تورم کاهش یافته است. در نهایت شوک مثبت بدهی دولت به بانک­ها اثر مثبت بر نرخ تورم داشته است. با توجه به نتایج به دست آمده و متغیرهای مطالعه، به جهت کنترل نرخ تورم، پیشنهاد می­گردد که تأمین کسری بودجه از کانالی به جز استقراض از بانک مرکزی انجام پذیرد تا حلقه ارتباطی کسری بودجه، نقدینگی و تورم قطع گردد. همچنین کاهش نرخ سود علی ­الحساب تسهیلات بانکی با هدف کاهش هزینه­های تولید و در نهایت کنترل تورم از کانال کاهش فشار هزینه ­ها است.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Evaluating the Role of Monetary Factors in Iran's Inflation: A NARDL Approach with Emphasis on Structural Breaks

نویسندگان [English]

  • Parinaz Dadashzadehrishekani 1
  • Ghodratollah Emamverdi 2
  • Abolfazl Ghiasvand 2
1 Ph.D. Candidate in Economics, Department of Economics and Accounting, Islamic Azad University, Central Tehran Branch, Tehran, Iran
2 Assistant Professor, Faculty of Economics and Accounting, Islamic Azad University of Central Tehran, Tehran, Iran
چکیده [English]

Assessing the factors that amplify inflation in the economy of any country is essential from multiple perspectives, as inflation not only has economic implications but also social and political effects. Accordingly, the present study examines the impact of various factors, including interest rates, money supply, budget deficits, and government debt to banks, on Iran’s inflation rate using the NARDL econometric approach over the period 1993–2022. The long-term results indicate that a positive shock to money supply has a positive effect on the inflation rate. A positive shock to the budget deficit also exerts a positive impact on inflation, meaning it increases inflation in Iran. Conversely, a positive shock to the interest rate shows an inverse effect on inflation, such that an increase in interest rates leads to a reduction in inflation. Finally, a positive shock to government debt to banks has a positive effect on inflation. Based on these findings and the variables studied, it is recommended that budget deficits be financed through channels other than borrowing from the central bank, to break the link between budget deficits, money supply, and inflation. Additionally, reducing the nominal interest rate on bank loans could help lower production costs and, ultimately, control inflation through reduced cost pressures.

کلیدواژه‌ها [English]

  • Money Supply
  • Budget Deficit
  • Modeling
  • Inflation Rate

مراجع

  1. Abbas, S. J., & Arshed, N. (2023). Examining determinants of regional inflation heterogeneity—a robust panel data analysis. SAGE Open, 13(4), 21582440231217848.‏
  2. Abdullah, A. M., Al-Abduljader, S., & Naser, K. (2020). Determinants of Inflation in Kuwait1. The Journal of Developing Areas, 54(3).‏
  3. Abounoori, A., Sajadi, S. S., & Mohammadi, T. (2013). The Relation between the Rate of Inflation and Deposits Profit Rates in Iran Banking System. Qjfep, 1(3), 23-52 (In Persian).
  4. Alizadeh Kolagar, S. G., Esnaashari Amiri, A., Pourghorban, M. R., & Ehsanfar, M. H. (2024). The Effect of Liquidity Volume on Inflation in Iran with Time varying Parameter Model Approach. Quarterly Journal of Quantitative Economics (JQE), 20(4), 87-110 (In Persian).
  5. Amiri, H., & Beyranvand, M. (2017). The Impact of Monetary Policy Instruments on Stagflation in Iran. Iranian Journal of Applied Economics, 7(21), 19-32 (In Persian).
  6. Amrollahi Biuki, E., Hojabr Kiani, K., Memarnejad, A., & Abtahi, S. Y. (2023). State Dependent Effects of Monetary Aggregates on Real Exchange Rate Volatility: MS-EGARCH Approach. The Journal of Economic Studies and Policies, 10(1), 219-240 (In Persian).
  7. Angelina, S., & Nugraha, N. M. (2020). Effects of monetary policy on inflation and national economy based on analysis of bank Indonesia annual report. Technium Soc. Sci. J., 10, 423.‏
  8. Anyars, S. I., & Adabor, O. (2023). The impact of oil price changes on inflation and disaggregated inflation: Insights from Ghana. Research in Globalization, 6, 100125.‏
  9. Arize, A. C., Malindretos, J., & Igwe, E. U. (2017). Do exchange rate changes improve the trade balance: An asymmetric nonlinear cointegration approach. International Review of Economics & Finance, 49, 313-326.‏
  10. Arman, A., & Raofi, A. (2014). Evaluating the predictability of gold prices and comparing the predictions of linear and nonlinear methods. Applied Theories of Economics, 1(3), 1-24 (In Persian).
  11. Arman, S. A., ghorbannezhad, M., & kafili, V. (2017). Take a look at inflation in Iran: Varx approach. Journal of Applied Economics Studies in Iran, 6(22), 99-121 (In Persian).
  12. Asgharpur, H., Kohnehshahri, L. A., & Karami, A. (2007). The relationships between interest rates and inflation changes: An analysis of long-term interest rate dynamics in developing countries.‏
  13. Babaie, M. , Tavakolian, H. and shakeri, A. (2018). Determinants of Inflation Forecast: A Dynamic Model Averaging Approach. Economics Research, 18(71), 261-311. (In Persian).
  14. Barro, R. J., & Bianchi, F. (2023). Fiscal Influences on Inflation in OECD Countries, 2020-2023 (No. w31838). National Bureau of Economic Research.‏
  15. Bergougui, B., & Aldawsari, M. I. (2024). Asymmetric impact of patents on green technologies on Algeria's Ecological Future. Journal of Environmental Management, 355, 120426.‏
  16. Brandao-Marques, L., Casiraghi, M., Gelos, G., Harrison, O., & Kamber, G. (2024). Is high debt constraining monetary policy? Evidence from inflation expectations. Journal of International Money and Finance, 149, 103206.‏
  17. Caner, M., Grennes, T., & Koehler-Geib, F. (2010). Finding the tipping point: When sovereign debt turns bad.‏
  18. Chang, C. L., & Fang, M. (2023). Impact of a sharing economy and green energy on achieving sustainable economic development: Evidence from a novel NARDL model. Journal of Innovation & Knowledge, 8(1), 100297.‏
  19. Cooray, A., & Khraief, N. (2019). Money growth and inflation: New evidence from a nonlinear and asymmetric analysis. The Manchester School, 87(4), 543-577.‏
  20. Davoodi, P., & Zolghadri, M. (2012). The Study of Relationship between Interest Rate and Inflation in Iran. Journal of Economics and Modelling, 2(7-8), 1-25 (In Persian).
  21. Derakhshani Darabi, K. (2024). Government Debt to Commercial Banks and Inflation Volatility in Iran. Public Sector Economics Studies, 3(2), 189-216 (In Persian).
  22. Deluna Jr, R. S., Loanzon, J. I. V., & Tatlonghari, V. M. (2021). A nonlinear ARDL model of inflation dynamics in the Philippine economy. Journal of Asian Economics, 76, 101372.‏
  23. Ehsani, M. A., & Taheri Bazkhaneh, S. (2018). The Application of Continuous Wavelet Transform in Discovering the Dynamics of the Causal Relationship between Liquidity and its Components with Inflation: a Case Study of Iran. Journal of Economic Research (Tahghighat- E- Eghtesadi), 53(2), 235-278 (In Persian).
  24. Eleftheriou, M., & Kouretas, G. P. (2023). Monetary policy rules and inflation control in the US. Economic modelling, 119, 106137.‏
  25. Eltejaei, E., & Montazeri Shoorekchali, J. (2021). Investigating the relationship between money growth and inflation in Turkey: A nonlinear causality approach. Journal of Money and Economy, 16(3), 305-322.‏
  26. Fischer, S., Sahay, R., & Végh, C. A. (2002). Modern hyper-and high inflations. Journal of Economic literature, 40(3), 837-880.‏
  27. Friedman, M., & Schwartz, A. J. (1963). A Monetary History of the United States, 1867-1960. Princeton University Press. http://www.jstor.org/stable/j.ctt7s1vp
  28. Gbadebo, A. D., & Mohammed, N. (2015). Monetary policy and inflation control in Nigeria. Journal of Economics and Sustainable Development, 6(8), 108-115.‏
  29. Ghadamyari, M. (2020). Government Debt to Commercial Banks and Financial Fragility. Financial Management Strategy, 8(4), 213-234 (In Persian).
  30. Greenwood-Nimmo, Matthew, and Yongcheol Shin. "Taxation and the asymmetric adjustment of selected retail energy prices in the UK." Economics Letters121, no. 3 (2013): 411-416.
  31. Ghobadi, S., & Komijani, A. (2010). Explaining the Relationship between Monetary Policy and Government Debt and Their Impact on Inflation and Economic Growth in Iran. International Economic Studies, 21(2), 1-21 (In Persian).
  32. Grauwe, P. D., & Polan, M. (2005). Is inflation always and everywhere a monetary phenomenon?. Scandinavian Journal of economics, 107(2), 239-259.‏
  33. Hazell, J., & Hobler, S. (2024). Do Deficits Cause Inflation?: A High Frequency Narrative Approach (pp. 1299-1344). London School of Economics and Political Science.‏
  34. Jiang, C., Chang, T., & Li, X. L. (2015). Money growth and inflation in China: New evidence from a wavelet analysis. International Review of Economics & Finance, 35, 249-261.‏
  35. Lim, Y. C., & Sek, S. K. (2015). An examination on the determinants of inflation. Journal of Economics, Business and Management, 3(7), 678-682.‏
  36. Lin, H. Y., & Chu, H. P. (2013). Are fiscal deficits inflationary?. Journal of International Money and Finance, 32, 214-233.‏
  37. Khalili, R., peykarjou, K., hozhabr kiani, K., Memarnezhad, A. (1402).  Nonlinear Effects of Inflation Rate on Economic Growth of Selected Oil Exporting Countries: A NARDL Approach. Islamic economics and banking, 12(42), 93-128 (In persian)
  38. Khanday, I. N., & Tarique, M. (2023). Does income inequality respond asymmetrically to financial development? Evidence from India using asymmetric cointegration and causality tests. The Journal of Economic Asymmetries, 28, e00341.‏
  39. Khurshid, N., & Abid, E. (2024). Unraveling the complexity! Exploring asymmetries in climate change, political globalization, and food security in the case of Pakistan. Research in Globalization, 8, 100220.‏
  40. Kwon, G., McFarlane, L., & Robinson, W. (2006). Public debt, money supply, and inflation: A cross-country study and its application to Jamaica.‏
  41. Mehmeti, I., & Deda, G. (2022). Econometric evaluation of public debt on inflation: evidence from Kosovo and North Macedonia. Journal of Liberty and International Affairs, 8(3), 171-187.‏
  42. Mehregan, N., Ezati, M., & Asgharpour, H. (2006). Causal Relationship BETWEEN the Interest Rate and Inflation using Panel Data. Journal of Sustainable Growth and Development (The Economic Research), 6(3), 91-105 (In Persian).
  43. Mohammadzadeh, P. (2008). The Relationship Between Budget Deficit and Money Demand in Iran. Economics Research, 8(28), 41-72 (In Persian).
  44. Mohammadi, T., Nazeman, H., & Nasratian Nasab, M. (2012). Relationship between Economic Growth and Energy Consumption in Iran (Analysis of Linear and Non-linear Causality Models). Iranian Energy Economics, 2(5), 53-170 (In Persian).
  45. Montazeri Shoorekchali, J., Zahedghoravi, M., Ehsani, M. (2021). Inflation and Budget Deficit in the Iranian Economy: A Granger Markov-Switching Causality Approach. Applied Economy. 38(11). 53-69. (In Persian).
  46. Nastansky, A., & Strohe, H. G. (2015). Public debt, money and consumer prices: a vector error correction model for Germany. Ekonometria. Advances in Applied Data Analytics, (1 (47), 9-31.
  47. Ndubuaku Victor, C., Ozioma, I., Chiaka, N., & Samuel, O. (2017). Impact of monetary policy (interest rate) regimes on the performance of the banking sector in Nigeria. IOSR Journal of Economics and Finance, 16-32.‏
  48. Niazimohseni, M., Shahrestani, H., Hojabr Kiani, K., & Ghafari, F. (2020). Examination of the Effect of the Shock Caused by Monetary Policy and Oil Revenue on Inflation and Economic Growth in Iran. Monetary & Financial Economics, 27(19), 29-46 (In Persian).
  49. Petkovski, M., Kjosevski, J., Stojkov, A., & Petkovska, K. B. (2024). Examining Country-specific and Global Factors of Inflation Dynamics: The Curious Case of Baltic States. Politická ekonomie, 72(6), 896-992.‏
  50. Rudari, S., Arabi, S. H., & Rahimi Kahkashi, S. (2023). Volatility Spillover among Exchange Rate, Inflation and Liquidity in Iran’s Economy: A TVP-VAR-BK Approach. Iranian Journal of Economic Research, 28(97), 152-190 (In Persian).
  51. Ryczkowski, M. (2021). Money and inflation in inflation-targeting regimes–new evidence from time–frequency analysis. Journal of Applied Economics, 24(1), 17-44.‏
  52. Samanpourho, H., Ebrahimi, M., & Zare, H. (2024). Designing the Financial Price Puzzle Regarding the Response of Inflation to Government Spending Shocks. Quarterly Journal of Applied Theories of Economics, 11(1), 69-104.‏
  53. Samiee Nasab, M., Zamani, A., Jodatvand, A., & Kaveh Baghbadorani, M. (2025). Examining the Asymmetric Impact of Foreign Direct Investment on Iran's Economic Growth Using the NARDL Model. Quarterly Journal of Applied Theories of Economics, 11(4), 33-66.
  54. Samanpourho, H., Ebrahimi, M., & Zare, H. (2024). Designing the Financial Price Puzzle Regarding the Response of Inflation to Government Spending Shocks. Quarterly Journal of Applied Theories of Economics, 11(1), 69-104.‏
  55. Samsami mazrae akhoond, H., & Bakhtiyari, A. (2023). Investigating the effects of financing the public sector budget deficit from the banking system: Evidence from the dynamic stochastic general equilibrium model (DSGE). Journal of Economic Modeling Research, 13(49), 112-152 (In Persian).
  56. Shahbazi, K., Hasanzadeh, Kh., & Khoshkhabar, V. (2020). Asymmetric Effects of Shadow Economy on Financial Development in Iran: NARDL Approach. The Economic Research (Sustainable Growth and Development), 20(1), 185-204 (In Persian).
  57. Shakeri, A., & Bagherpour Oskouie, E. (2023). Nature of the Inflation in Iranian Economy: Wavelet Coherence Approach. Iranian Journal of Economic Research, 28(94), 47-79 (Persian).
  58. Shokri, M., Saadatmehr, M., & Zolghadr, H. (2024). Study of economic variables affecting the inflation rate in Lorestan province: Fuzzy approach. The Journal of Economic Policy, 17(33), 85-120 (In Persian).
  59. Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In Festschrift in honor of Peter Schmidt: Econometric methods and applications (pp. 281-314). New York, NY: Springer New York.‏
  60. Taghinezhadomran, V., & Bahman, M. (2012). Extended Taylor Rule: Empirical Evidence from Iran 1979-2008. Jemr, 3(9), 1-19 (In Persian).
  61. Taheri Bazkhaneh, S. (2023). An investigation into the effect of liquidity and exchange rate on inflation in time-frequency domain. The Journal of Economic Policy, 15(29), 111-148 (In Persian).
  62. Tarazkar, M. H., & Sheikhzeinoddin, A. (2019). The impacts of asymmetric oil shocks on agricultural commodity price: Application of nonlinear autoregressive distributed lags (NARDL) approach. Agricultural Economics Research, 11(41), 81-100 (In Persian)
  63. Van Bon, N. (2015). The relationship between public debt and inflation in developing countries: Empirical evidence based on difference panel GMM. Asian Journal of Empirical Research, 5(9), 128-142.‏
  64. Yasmin S., Hassan M. S., Arshed N., Tahir M. N. (2022). Psychological and environmental empirics of crimes in Pakistan. Journal of Public Affairs, 22, e2775.
  65. Yu, D., Chen, L., & Li, L. (2023). Nonparametric modeling for the time-varying persistence of inflation. Economics Letters, 225, 111040.‏
  66. Zhang, Q., Akhtar, R., Saif, A. N. M., Akhter, H., Hossan, D., Alam, S. A., & Bari, M. F. (2023). The symmetric and asymmetric effects of climate change on rice productivity in Malaysia. Heliyon, 9(5).‏

فایل ها

هم رسانی

ارجاع به این مقاله

آمار