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:: Volume 6, Issue 22 (quarterly journal of fiscal and economic policies 2018) ::
3 2018, 6(22): 69-92 Back to browse issues page
Spillover Effect of Producer and Consumer Inflation and Inflation Uncertainty in the Iranian Economy
Bahare Madanian Mrs
Abstract:   (88 Views)
This study examines the relationship between inflation and inflation uncertainty of producers and consumers using a dynamic model. For this purpose, the monthly producer and consumer price index data is used for the period of 1991 to 2016. Findings of several studies which examine the relationship between inflation and inflation uncertainty with using GARCH models show that the uncertainty of inflation is as one of the factors influencing inflation. In this study, I use the SVM model, which presents a more accurate estimation of uncertainty than the GARCH model. The Granger causality and VAR model was used to analyze the shocks and impulse response function. The results show that there are positive interactions between inflation and inflation uncertainty between producer and consumer indexes. So in order to inflation control policies be more effective, policymakers should set some control policies on the producer inflation
Keywords: inflation uncertainty, stochastic volatility (SV), VAR, impulse response function.
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Type of Study: Research | Subject: Special
Received: 2017/10/12 | Accepted: 2018/10/10
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Madanian B. Spillover Effect of Producer and Consumer Inflation and Inflation Uncertainty in the Iranian Economy. 3. 2018; 6 (22) :69-92
URL: http://qjfep.ir/article-1-735-en.html


Volume 6, Issue 22 (quarterly journal of fiscal and economic policies 2018) Back to browse issues page
فصلنامه سیاستهای مالی و اقتصادی Quarterly Journal of Fiscal and Economic Policies
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