چکیده:
he recent literature on the welfare cost of inflation emphasizes inflation's effects on the dispersion of relative prices. This paper tests three models that predict a relationship between the Relative Price Dispersion (RPD) and facets of inflation such as expected inflation, unexpected inflation, and inflation uncertainty. These are, correspondingly, the Sheshinski-Weiss menu cost model, the Lucas-Barro signal-extraction model, and the Hercowitz-Cukierman extension of the signal extraction model. The results verify the signal extraction model and its extension in Iran. However, there is no evidence of menu cost model.
خلاصه ماشینی:
"Mohammad Ali Kafaie 1 Amir Mohammad Moshref 2 Received: 2011/09/25 Accepted: 2012/02/29 Abstract he recent literature on the welfare cost of inflation emphasizes inflation's effects on the dispersion of relative prices.
This paper tests three models that predict a relationship between the Relative Price Dispersion (RPD) and facets of inflation such as expected inflation, unexpected inflation, and inflation uncertainty.
In this paper we examine and test the effects of different factors (based on signal extraction and menu cost models) on the dispersion of relative prices in Iran’s economy with monthly data for 19 subgroups of Iran’s CPI.
While the signal extraction model of Lucas (1973) and Barro (1976) emphasizes the variability of relative prices is related to unexpected component of inflation, Sheshinski and Weiss (1977) menu cost model insists on the effect of expected inflation as well as unexpected inflation.
Becker (2011) states that in the "classic menu-cost or Lucas-type models, inflation increases RPD, distorts the information content of prices, and, thereby, impedes efficient allocation of resources.
983 The results indicate that the simultaneous effect of inflation on relative price dispersion is highly significant, while some evidence of weaker impacts of previous months can be seen.
In order to verify the symmetric effect of positive and negative unexpected inflation, we generate positive and negative series of unexpected inflation based on the following formulas: / (10) / (11) - Based on the economic theories, we expect positive signs for the variables.
Expected inflation, realized unexpected inflation, and inflation uncertainty have all been proposed to increase Relative Price Dispersion and to obstruct the efficient allocation of resources."