IMPLICIT INFLATION TARGET, ASYMETRIC BEHAVIOR AND RECOGNITION LAGS BY MONETARY AUTHORITIES IN IRAN

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KOMIJANI AKBAR; KHALILI ARAGHI SEYED MANSOUR; ABBASI NEJAD HOSSEIN; TAVAKOLIAN HOSSEIN

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Journal: JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN Year:2014 | Volume:3 | Issue:9 Page(s): 1-23

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Information Journal Paper

Title

IMPLICIT INFLATION TARGET, ASYMETRIC BEHAVIOR AND RECOGNITION LAGS BY MONETARY AUTHORITIES IN IRAN

Author(s)

KOMIJANI AKBAR | KHALILI ARAGHI SEYED MANSOUR | ABBASI NEJAD HOSSEIN | TAVAKOLIAN HOSSEIN | Issue Writer Certificate

Keywords

IMPLICIT INFLATION TARGETQ2

MONETARY POLICYQ2

KALMAN FILTERQ2

MARKOV SWITCHINGQ2

Abstract

This paper studies MONETARY POLICY in Iran based on a modified version of Taylor rule in which monetary base growth rate is determined according to output and inflation deviations from their target values. One of the characteristics of Iranian economy is that there is no explicit inflation target for MONETARY POLICY. Therefore, we assume that the inflation target is known for monetary authorities but not for other agents. Considering this, we first estimate the IMPLICIT INFLATION TARGET using KALMAN FILTERing approach, then using the estimated inflation target, we estimate a MARKOV SWITCHING version of our prposed MONETARY POLICY reaction function in which it is assumed that the parameters switch in two regims of recession and expansion. The results show that except the first 3 years of the sample period, MONETARY POLICY has correctly recognized the state of economy but this recognision has been with delay.

Cites

NONLINEAR ASSESSMENT OF MONEY DEMAND FUNCTION AND ESTIMATING THRESHOLD LEVEL OF INFLATION IN IRAN, 1973-2011

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APA: Copy

KOMIJANI, AKBAR, KHALILI ARAGHI, SEYED MANSOUR, ABBASI NEJAD, HOSSEIN, & TAVAKOLIAN, HOSSEIN. (2014). IMPLICIT INFLATION TARGET, ASYMETRIC BEHAVIOR AND RECOGNITION LAGS BY MONETARY AUTHORITIES IN IRAN. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, 3(9), 1-23. SID. https://sid.ir/paper/226466/en

Vancouver: Copy

KOMIJANI AKBAR, KHALILI ARAGHI SEYED MANSOUR, ABBASI NEJAD HOSSEIN, TAVAKOLIAN HOSSEIN. IMPLICIT INFLATION TARGET, ASYMETRIC BEHAVIOR AND RECOGNITION LAGS BY MONETARY AUTHORITIES IN IRAN. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN[Internet]. 2014;3(9):1-23. Available from: https://sid.ir/paper/226466/en

IEEE: Copy

AKBAR KOMIJANI, SEYED MANSOUR KHALILI ARAGHI, HOSSEIN ABBASI NEJAD, and HOSSEIN TAVAKOLIAN, “IMPLICIT INFLATION TARGET, ASYMETRIC BEHAVIOR AND RECOGNITION LAGS BY MONETARY AUTHORITIES IN IRAN,” JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, vol. 3, no. 9, pp. 1–23, 2014, [Online]. Available: https://sid.ir/paper/226466/en

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