پویایی‌های تورم در ایران و واکنش نامتقارن آن به شوک‌های سیاستی: رهیافت NARDL

نوع مقاله : مقاله پژوهشی

نویسندگان

1 کارشناسی ارشد توسعه اقتصادی و برنامه‌ریزی، پژوهش‌گر گروه اقتصاد منابع و زیرساخت، مرکز پژوهش‌های توسعه و آینده‌نگری، تهران، ایران

2 دانشیار دانشکده مدیریت، اقتصاد و مهندسی پیشرفت، دانشگاه علم و صنعت، تهران، ایران

3 استادیار دانشکده اقتصاد و علوم سیاسی، دانشگاه شهید بهشتی، تهران، ایران

چکیده

این پژوهش با هدف بررسی اثرپذیری نرخ تورم در اقتصاد ایران از متغیرهای سیاستی شامل پایه پولی، کسری بودجه، نرخ ارز و تراز پرداخت‌ها انجام شده است. همچنین، واکنش نامتقارن تورم به شوک‌های مثبت و منفی این متغیرها در کوتاه‌مدت و بلندمدت مورد بررسی قرار گرفته است.
داده‌های دوره زمانی 1380 تا 1402 گردآوری و به‌کارگیری شده و با استفاده از الگوی خودرگرسیونی با وقفه‌های توزیعی غیرخطی (NARDL) روابط بین متغیرها تحلیل گردیده است.
 نتایج نشان می‌دهد که پایه پولی، کسری بودجه، نرخ ارز و تراز پرداخت‌ها سهم بالایی در توضیح تغییرات و نوسانات تورم دارند. همچنین مشخص شد که واکنش نرخ تورم به شوک‌های مثبت و منفی این متغیرها نامتقارن بوده و اثرات متفاوتی را در کوتاه‌مدت و بلندمدت ایجاد می‌کند.
براساس نتایج به دست آمده، سیاست‌های پولی، مالی، ارزی و تجاری در اقتصاد ایران باید با در نظر گرفتن اثرات نامتقارن و ناهمگون بر تورم طراحی و اجرا شوند. بی‌توجهی به این عدم تقارن می‌تواند موجب ناکارآمدی سیاست‌ها در مدیریت و کنترل تورم شود.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Inflation Dynamics in Iran and Its Asymmetric Response to Policy Shocks: A NARDL Approach

نویسندگان [English]

  • Hesamoddin Kordtabar Firouzjaei 1
  • Saeed Shavvalpour 2
  • Reza Mohseni 3
1 Master of Science (M.Sc.) in Economic Development and Planning, Researcher, Center for Development Research and Foresight, Tehran, Iran
2 Associate professor, The school of management, Economics and progress engineering, Iran university of science and technology, Tehran, Iran
3 Assistant professor, The Faculty of Economics and Political science, shahid beheshti university, Tehran, Iran
چکیده [English]

This study investigates the responsiveness of the inflation rate in the Iranian economy to policy-related variables, including the monetary base, the budget deficit, the exchange rate, and the balance of payments. It also examines the asymmetric response of inflation to positive and negative shocks in these variables, in both the short and long run.
Data covering the period 2001–2023 are collected and used in the analysis. The relationships among the variables are examined using the Nonlinear Autoregressive Distributed Lag (NARDL) model, which allows for the investigation of asymmetric effects within a dynamic framework.
The results indicate that the monetary base, budget deficit, exchange rate, and balance of payments play a significant role in explaining inflation's variations and fluctuations. Furthermore, it is found that inflation responds asymmetrically to positive and negative shocks in these variables, producing different effects in the short and long run.
Based on the findings, monetary, fiscal, exchange rate, and trade policies in the Iranian economy should be designed and implemented with asymmetric and heterogeneous effects on inflation in mind. Ignoring this asymmetry may lead to inefficiencies in policy effectiveness and in controlling inflation.

کلیدواژه‌ها [English]

  • Inflation
  • Monetary Policy
  • Fiscal Policy
  • Exchange Rate
  • Balance of Payments
  • Nonlinear Autoregressive Distributed Lag (NARDL) Model

مراجع

  1. Adeleye, B. N., Ogundipe, A. A., Ogundipe, O., Ogunrinola, I., & Adediran, O. (2020). Internal and external drivers of inflation in Nigeria.‏
  2. Aghania, P., Heidari, H., & Jahangiri, S. (2022). Investigating the effects of monetary policy shocks on economic growth and inflation in Iran: Empirical evidence based on the TVP-SFAVAR-SV model. Applied Economic Theories, 9(4), 61–96 (In Persian).
  3. Ahmed, R., Aizenman, J., & Jinjarak, Y. (2021). Inflation and exchange rate targeting challenges under fiscal dominance. Journal of Macroeconomics, 67, 103281.‏
  4. Aizenman, J., Jinjarak, Y., Park, D., & Zheng, H. (2021). Good-bye original sin, hello risk on-off, financial fragility, and crises?. Journal of international money and finance, 117, 102442.‏
  5. Akbar, M. (2023). Effects of inflation uncertainty and exchange rate volatility on money demand in Pakistan: Bayesian econometric analysis. International Journal of Finance & Economics, 28(2), 1470-1487.‏
  6. Arestis, P., & Sawyer, M. (2002). Can monetary policy affect the real economy? (No. 355). Working paper.‏
  7. Arias, J. E., Caldara, D., & Rubio-Ramírez, J. F. (2019). The systematic component of monetary policy in SVARs: An agnostic identification procedure. Journal of Monetary Economics, 101, 1-13.‏
  8. Asayesh, H., Mostafapour, Y., & Shamsollahi, R. (2023). The impact of determinants of inflation in the Iranian economy with emphasis on the COVID-19 pandemic. Journal of Economic Policies and Research, 2(1), 95–121 (In Persian).
  9. Baqaee, D., & Farhi, E. (2022). Supply and demand in disaggregated Keynesian economies with an application to the Covid-19 crisis. American Economic Review, 112(5), 1397-1436.‏
  10. Barro, R. J., & Gordon, D. B. (1983). A positive theory of monetary policy in a natural rate model. Journal of political economy, 91(4), 589-610.‏
  11. Bernanke, B. S., Lown, C. S., & Friedman, B. M. (1991). The credit crunch. Brookings papers on economic activity, 1991(2), 205-247.‏
  12. Biabani, J., Nadri, K., & Taheri, H. (2021). Monetary policy rule in Iran with emphasis on the exchange rate and monetary base. Monetary and Banking Research, 14(47), 35–68 (In Persian).
  13. Binetti, A., Nuzzi, F., & Stantcheva, S. (2024). People’s understanding of inflation. Journal of Monetary Economics, 148, 103652.‏
  14. Blanchard, O. J., & Gali, J. (2007). The Macroeconomic Effects of Oil Shocks: Why are the 2000s so different from the 1970s?.‏
  15. Blanchard, O., & Sheen, J. (2013). Macroeconomics; Australasian Edition. Pearson Higher Education AU.‏
  16. Blanchard, O., & Summers, L. H. (2019). Introduction: Rethinking Stabilization Policy: Evolution or Revolution?.‏
  17. Blanchard, Olivier, Macroeconomics, USA, 2017, 7th, Pearson.
  18. Boctor, V. R., Coibion, O., Gorodnichenko, Y., & Weber, M. (2024). On eliciting subjective probability distributions of expectations (No. w32406). National Bureau of Economic Research.‏
  19. Botos, K. (2016). Money creation in the modern economy. Public Finance Quarterly= Pénzügyi Szemle, 61(4), 442-457.‏
  20. Botos, K. (2016). Money creation in the modern economy. Public Finance Quarterly, 61(4), 442.
  21. Botos, K. (2019). More than 30 years of the Hungarian banking system. Polgári Szemle: Gazdasági és Társadalmi Folyóirat, 15(Spec), 116-129.
  22. Cabral, R., Carneiro, F. G., & Mollick, A. V. (2020). Inflation targeting and exchange rate volatility in emerging markets. Empirical Economics, 58, 605-626.
  23. Calvo, G. A., & Reinhart, C. M. (2002). Fear of floating. The Quarterly journal of economics, 117(2), 379-408.
  24. Cavallino, P., Drehmann, M., Finlay, R., & Remache, J. (2025). Monetary policy operational frameworks-a new taxonomy. BIS Quarterly Review, 49.
  25. Chatterjee, S., & Mursagulov, A. (2016). Fiscal policy and the real exchange rate. Macroeconomic Dynamics, 20(7), 1742-1770.
  26. Cheikh, N. B., Naceur, S. B., Kanaan, O., & Rault, C. (2021). Investigating the asymmetric impact of oil prices on GCC stock markets. Economic Modelling, 102, 105589.‏
  27. Chowdhury, I., Hoffmann, M., & Schabert, A. (2006). Inflation dynamics and the cost channel of monetary transmission. European Economic Review, 50(4), 995-1016.
  28. Cocco, J. F., & Gomes, F. J. (2008). Longevity risk, retirement savings, and individual welfare. Desenvolvimento Económico Português no Espaço Europeu, 173.
  29. Cocco, J. F., Gomes, F. J., & Martins, N. C. (2009). Lending relationships in the interbank market. Journal of Financial Intermediation, 18(1), 24-48.
  30. Coibion, O., & Gorodnichenko, Y. (2025). Inflation, Expectations and Monetary Policy: What Have We Learned and to What End? (No. w33858). National Bureau of Economic Research.
  31. Coibion, O., Gorodnichenko, Y., & Weber, M. (2022). Monetary policy communications and their effects on household inflation expectations. Journal of Political Economy, 130(6), 1537-1584.
  32. Comin, D. A., Johnson, R. C., & Jones, C. J. (2023). Supply chain constraints and inflation (No. w31179). National Bureau of Economic Research.
  33. Corden, W. M. (2004). Too sensational: on the choice of exchange rate regimes. MIT Press.
  34. Di Giovanni, J., Kalemli-Özcan, Ṣ., Silva, A., & Yildirim, M. A. (2022). Global supply chain pressures, international trade, and inflation (No. w30240). National Bureau of Economic Research.
  35. Doroudian, H. (2021). The architects of money: A new narrative of the role of banks in money creation (1st ed.). Tehran: Nahayat-e Nahadgara Publishing (In Persian).
  36. Eizadkhasti, H. (2018). Analyzing the effects of monetary policies on inflation and welfare in a dynamic general equilibrium framework: A money-in-utility-function approach. Journal of Economic Modeling Research, 9(31), 71–101 (In Persian).
  37. Erfani Jahanshahi, F., & Afshari, Z. (2020). Investigating the impact of central bank transparency on inflation volatility. Monetary and Banking Research, 13(43), 121–148 (In Persian).
  38. Farhi, E., Gourinchas, P. O., & Rey, H. (2011). Reforming the international monetary system. CEPR.
  39. Faria, J. R., & Carneiro, F. G. (2001). Does high inflation affect growth in the long and short run?. Journal of applied economics, 4(1), 89-105.
  40. Farzanegan, M. R., & Batmanghelidj, E. (2024). Understanding economic sanctions on Iran: A survey. The Economists’ Voice, 20(2), 197-226.
  41. Fiorito, R., & Kollintzas, T. (2004). Fiscal shocks and the real exchange rate. European Economic Review, 48(5), 1049-1068.
  42. Friedman, B. M. (1984). Lessons from the 1979-1982 monetary policy experiment.
  43. Friedman, B. M. (1988). Lessons on Monetary Policy from the 1980s. Journal of Economic Perspectives, 2(3), 51-72.
  44. Friedman, B. M. (2000). Monetary policy. Friedman, M. (1953). The case for flexible exchange rates. In Essays in Positive Economics (pp. 157-203). University of Chicago Press.
  45. Friedman, M. (1968). The role of monetary policy. The American economic review, 58(1), 1-17.
  46. Friedman, M. (1982). Monetary policy: Theory and practice. Journal of Money, Credit and Banking, 14(1), 98-118.
  47. Gnos, C., & Rochon, L. P. (Eds.). (2011). Credit, money and macroeconomic policy: A post-keynesian approach. Edward Elgar Publishing.
  48. Ha, J., Stocker, M. M., & Yilmazkuday, H. (2020). Inflation and exchange rate pass-through. Journal of International Money and Finance, 105, 102187.
  49. Hamilton, J. D. (2003). What is an oil shock?. Journal of econometrics, 113(2), 363-398.
  50. Harms, P., & Knaze, J. (2021). Effective exchange rate regimes and inflation.
  51. Jalali-Naini, S. A. R., Seighalani, S., & Sadeghzadeh, M. A. (2023). Dynamics of monetary aggregates, exchange rate, and their relationship with inflation in the short run and long run. Quarterly Journal of Planning and Budgeting, 28(4), 3–42 (In Persian).
  52. Kamijani, A., Elahi, N., & Salehi-Rizveh, M. (2015). Investigating asymmetric effects of monetary policy on inflation and output gap in Iran: A threshold approach. Quarterly Journal of Economic Growth and Development Research, 6(21), 61–78 (In Persian).
  53. Kose, M. A., & Terrones, M. M. E. (2015). Collapse and revival: Understanding global recessions and recoveries. International Monetary Fund.
  54. Lavoie, M. (2014). Post-Keynesian economics: new foundations. In Post-Keynesian Economics. Edward Elgar Publishing. https://doi.org/10.4337/9781783475827
  55. Maehle, N. (2020). Sustainable crowdfunding: insights from the project perspective. Baltic Journal of Management, 15(2), 281-302.
  56. Mankiw, N. G. (2020). Macroeconomics (6th ed.; H. R. Arbab, Trans.). Tehran: Rafe’ Publishing. [In Persian]
  57. Mankiw, N. G. (2015). Intermediate Macroeconomics.
  58. Mankiw, N. G. (Ed.). (2007). Monetary policy(Vol. 29). University of Chicago Press.
  59. Memarian, E., & Jalali-Naini, S. A. R. (2010). Short-run and long-run effects of exchange rate shocks on Iran’s trade balance (Testing the J-curve phenomenon using a VECM approach). Economic Research Journal, 10(37), 45–69 (In Persian).
  60. McLeay, M., Radia, A., & Thomas, R. (2014). Money creation in the modern economy. Bank of England Quarterly Bulletin, Q1.
  61. Mishkin, F. S. (2007). The economics of money, banking, and financial markets. Pearson education.
  62. Monjazeb, M. R., & Amiri, H. (2022). The impact of central bank interventions on exchange rate instability in Iran using a quantile approach. Quarterly Journal of Monetary and Banking Research, 15(52), 333–352 (In Persian).
  63. Moshiri, S., & Vashghani, M. (2010). Investigating the monetary transmission mechanism and its timing in the Iranian economy. Quarterly Journal of Economic Modeling, 4(1), 1–32 (In Persian).
  64. Niazi-Mohseni, M., Shahrestani, H., Hejabrakiani, K., & Ghaffari, F. (2020). Investigating the effects of monetary policy shocks and oil revenues on inflation and economic growth in Iran. Monetary and Financial Economics, 27(19), 29–46 (In Persian).
  65. Obstfeld, M. (1986). Rational and self-fulfilling balance-of-payments crises. American Economic Review, 76(1), 72-81. Retrieved from.
  66. Parvin, S., Shakeri, A., & Ahmadian, A. (2014). Evaluating balance-sheet effects of monetary policies in the banking network on key macroeconomic variables of Iran (DSGE approach). Iranian Economic Research, 19(58), 77–115 (In Persian).
  67. Pesaran, M. H., & Shin, Y. (1995). An autoregressive distributed lag modelling approach to cointegration analysis(Vol. 9514, pp. 371-413). Cambridge, UK: Department of Applied Economics, University of Cambridge.
  68. Rajan, R. G., & Subramanian, A. (2008). Aid and growth: What does the cross-country evidence really show? The Review of economics and Statistics, 90(4), 643-665.
  69. Rey, H. (2015). Dilemma not trilemma: the global financial cycle and monetary policy independence (No. w21162). National Bureau of Economic Research.
  70. Rochon, L. P. (2023). On the theoretical and institutional roots of Post-Keynesian economics. Review of Political Economy, 35(1), 6-27.
  71. Rochon, L. P., & Rossi, S. (2011). Monetary policy without reserve requirements: central bank money as means of final payment on the interbank market. In Credit, Money and Macroeconomic Policy. Edward Elgar Publishing.
  72. Rochon, L. P., & Rossi, S. (Eds.). (2021). An introduction to macroeconomics: a heterodox approach to economic analysis. Edward Elgar Publishing.
  73. Roger, S. (1998). Core inflation: concepts, uses and measurement. Reserve Bank of New Zealand Discussion Paper, (G98/9).
  74. Rogers, J. H., & Wang, P. (1993). High inflation: causes and consequences. Economic Review, 4(1993), 37-51.
  75. Sadeghzadeh, M. A., Jalali-Naini, S. A. R., Khiabani, N., & Naderian, M. A. (2020). Asymmetry in the effects of monetary shocks during periods of oil revenue abundance and scarcity: Evidence from Iran. Economic Research Journal, 20(78), 63–103 (In Persian).
  76. Salavitabar, S., & Jalali-Naini, S. A. R. (2014). Evaluation of different exchange rate regimes in a small open economy. Quarterly Journal of Planning and Budgeting, 19(2), 3–24 (In Persian).
  77. Santos‐Paulino, A., & Thirlwall, A. P. (2004). The impact of trade liberalisation on exports, imports and the balance of payments of developing countries. The Economic Journal, 114(493), F50-F72.
  78. Schnabel, I. (2024). Geldmenge und Inflation: Thünen-Vorlesung 2023. Perspektiven der Wirtschaftspolitik, 24(4), 384-394.
  79. Shakeri, A. (2016). Macroeconomics: Theories and policies (6th ed.). Tehran: Rafe’ Publishing (In Persian).
  80. 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(pp. 281-314). Springer, New York, NY.
  81. Tavakkolian, H., & Jalali-Naini, A. R. (2017). Discretionary and optimal monetary and exchange rate policy in an estimated DSGE model for the Iranian economy. Iranian Economic Research, 22(70), 33–98 (In Persian).
  82. Taylor, J. B. (2019). Inflation targeting in high inflation emerging economies: Lessons about rules and instruments. Journal of Applied Economics, 22(1), 103-116.
  83. Warjiyo, P., & Juhro, S. M. (2022). Central bank policy mix: Issues, challenges, and policy responses. Springer Nature.
  84. Woodford, M., & Walsh, C. E. (2005). Interest and prices: Foundations of a theory of monetary policy. Macroeconomic Dynamics, 9(3), 462-468.
  85. Yilmazkuday, H. (2022). Drivers of Turkish inflation. The Quarterly Review of Economics and Finance, 84, 315-323.
نظریه های کاربردی اقتصاد
دوره 13، شماره 2 - شماره پیاپی 49
شماره تابستان سال 1405
خرداد 1405
صفحه 105-140

فایل ها

هم رسانی

ارجاع به این مقاله

آمار