THE RELATIONSHIP BETWEEN INFLATION – OUTPUT VOLATILITY IN IRAN

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HAGHIGHAT ALI; PIRAEE KHOSROW; DANESHNIA MOHAMMAD

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Journal: Monetary and Financial Economics Year:2011 | Volume:1 | Issue:1 Page(s): 17-35

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Title

THE RELATIONSHIP BETWEEN INFLATION – OUTPUT VOLATILITY IN IRAN

Author(s)

HAGHIGHAT ALI | PIRAEE KHOSROW | DANESHNIA MOHAMMAD | Issue Writer Certificate

Keywords

INFLATION RATEQ2

OUTPUTQ3

INFLATION RATE VOLATILITYQ2

OUTPUT VOLATILITYQ2

EXPONENTIAL GENERALISED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY (EGARCH) MODELQ2

Abstract

Inflation has always been an economic problem and different solutions have been proposed to control it. Although it is said that "higher OUTPUT lowers INFLATION RATE" but it is true when other factors are constant. This study searches the answer to the following question: "what is the effect of INFLATION RATE and OUTPUT in a case that INFLATION RATE and OUTPUT growth has a volatility trend?" To this aim we use seasonal data on Iran’s gross domestic product and consumer price index from spring1975 to summer 2008 and an exponential generalised autoregressive conditional heteroskedasticity (EGARCH) model to show volatility the variables.The results of this study show that there is an autoregressive conditional heteroskedasticity (ARCH) process in the OUTPUT growth and INFLATION RATE. We also find that the INFLATION RATE and OUTPUT volatility increase INFLATION RATE and the OUTPUT volatility higher OUTPUT growth. The hypothesis that the INFLATION RATE volatility lowers OUTPUT growth can not be accepted.

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APA: Copy

HAGHIGHAT, ALI, PIRAEE, KHOSROW, & DANESHNIA, MOHAMMAD. (2011). THE RELATIONSHIP BETWEEN INFLATION – OUTPUT VOLATILITY IN IRAN. JOURNAL OF MONETARY & FINANCIAL ECONOMICS, 1(1), 17-35. SID. https://sid.ir/paper/379051/en

Vancouver: Copy

HAGHIGHAT ALI, PIRAEE KHOSROW, DANESHNIA MOHAMMAD. THE RELATIONSHIP BETWEEN INFLATION – OUTPUT VOLATILITY IN IRAN. JOURNAL OF MONETARY & FINANCIAL ECONOMICS[Internet]. 2011;1(1):17-35. Available from: https://sid.ir/paper/379051/en

IEEE: Copy

ALI HAGHIGHAT, KHOSROW PIRAEE, and MOHAMMAD DANESHNIA, “THE RELATIONSHIP BETWEEN INFLATION – OUTPUT VOLATILITY IN IRAN,” JOURNAL OF MONETARY & FINANCIAL ECONOMICS, vol. 1, no. 1, pp. 17–35, 2011, [Online]. Available: https://sid.ir/paper/379051/en

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