Non-Linear Inflationary Dynamics based on the Concept of Missing Money in Iran مقالة

مؤلف: Sehati، Elham ؛ Mousavi Jahromi، Yeganeh ؛ Mehrara، Mohsen ؛ Najafizadeh، Abbas ؛

Money and Economy Spring 2018, Volume 13 - Number 2 التصنيف: د/ISC (‎23 صفحة - من 221 إلی 243 )

الکلمات المفتاحية: Inflation Non-Linear Dynamic Simple and Divisia Monetary Aggregates Threshold Autoregressive Models.

خلاصة:

In this research, non-linear inflationary dynamics based on the concept of missing money is studied using the threshold autoregressive models based on seasonal data of the time interval (1990:04-2016:07) for the economy of Iran. The finding of the research shows that simple and Divisia liquidity growth variables are determined as threshold variables, and inflation reacts to changes in the growth of money through a three-regime process. The variables of simple liquidity growth, Divisia liquidity growth with a time lag and inflation expectations are the most critical factors influencing inflation. In both clarifications, GDP has anti-inflationary effects. In both models, the exchange rate has a stronger and positive impact on inflation than other policies under expansionary monetary policy conditions. The simple liquidity growth variable in the low monetary growth policy, due to the stimulation of economic activities shows anti-inflationary effects, and in the medium-term monetary growth, the policy explains the expected inflationary effects. Lagged Divisia liquidity growth in these policies always shows visible inflationary effects. It seems that the use of Divisia liquidity variable instead of a simple liquidity variable explains the non-linear behavior of inflation in a more satisfactory way.

ملخص الجهاز:

The finding of the research shows that simple and Divisia liquidity growth variables are determined as threshold variables, and inflation reacts to changes in the growth of money through a three-regime process. The main goal of this study is to investigate the effect of the growth of simple monetary aggregates and Divisia (based on the concept of missing money) on inflation behavior in monetary regimes and different threshold values in Iran's economy. Also, regarding the asymmetric effects of monetary policy in different economic situations, it can be pointed out for reasons such as the existence of the credit channel in monetary transmission, the asymmetric adjustment of prices and wages (Ball & Mankiw, 1994, Kuzin &Tober, 2004) and changes in money velocity (Estrella & Mishkin, 1997). In this research, we study the non-linear inflationary dynamics by the approach of missing money, the estimation of the research model using thresh threshold autoregressive model in the form of two different explanations, the first 1 Values regarding DM are based on own calculations by using Data of monetary components (currencies, demand deposits and time deposits) and interest rate of time deposits which are extracted from economic reports of central bank of IRAN. The coefficients and results of the estimated equations for the first adjustment are as follows; Table 6 It seems that simple liquidity changes (SM) cannot explain the significant part of inflation changes based on the quantity monetary theory during the research period, and a considerable difference is observed in the behavior of these two variables that can be explained in terms of the concept of missing money.

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