SEPARATING CORE INFLATION FROM TEMPORARY COMPONENTS IN IRAN USING KALMAN FILTER

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REZAEE MOGHADDAM NASRIN; MOSTAFAVI MAHDI; CHESHMI ALI

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Journal: ECONOMIC RESEARCH REVIEW Year:2016 | Volume:16 | Issue:60 Page(s): 51-73

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Title

SEPARATING CORE INFLATION FROM TEMPORARY COMPONENTS IN IRAN USING KALMAN FILTER

Author(s)

REZAEE MOGHADDAM NASRIN | MOSTAFAVI MAHDI | CHESHMI ALI | Issue Writer Certificate

Keywords

CORE INFLATIONQ1

STATE-SPACEQ2

KALMAN FILTERQ2

Abstract

Sustaining long-term price stability, even when the central bank does not adopt an explicit inflation targeting policy, is known as the primary objective of monetary policy. Moreover, due to the lags of monetary policy, choosing appropriate measure of inflation is very important. Thus, in many countries, CORE INFLATION is widely calculated as an indicator that clarifies long-term trend of inflation and it is used to predict inflation and also to have an inflation target. The concept of CORE INFLATION and its efficiency in identifying long-term inflation trend can help policy-makers to have a better understanding of inflation components. Inflation in Iran has been influenced by many internal and external shocks. In this study, CORE INFLATION in Iran is estimated by using the KALMAN FILTER in the context of structural time series during the period of 1974-2011. Based on the result, CORE INFLATION is affected by long-run effects of variables such as monetary base and liquidity and it has fluctuations like the measured inflation and the value of CORE INFLATION on average in the period under study is 15 percent.

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APA: Copy

REZAEE MOGHADDAM, NASRIN, MOSTAFAVI, MAHDI, & CHESHMI, ALI. (2016). SEPARATING CORE INFLATION FROM TEMPORARY COMPONENTS IN IRAN USING KALMAN FILTER. ECONOMIC RESEARCH REVIEW, 16(60 ), 51-73. SID. https://sid.ir/paper/67265/en

Vancouver: Copy

REZAEE MOGHADDAM NASRIN, MOSTAFAVI MAHDI, CHESHMI ALI. SEPARATING CORE INFLATION FROM TEMPORARY COMPONENTS IN IRAN USING KALMAN FILTER. ECONOMIC RESEARCH REVIEW[Internet]. 2016;16(60 ):51-73. Available from: https://sid.ir/paper/67265/en

IEEE: Copy

NASRIN REZAEE MOGHADDAM, MAHDI MOSTAFAVI, and ALI CHESHMI, “SEPARATING CORE INFLATION FROM TEMPORARY COMPONENTS IN IRAN USING KALMAN FILTER,” ECONOMIC RESEARCH REVIEW, vol. 16, no. 60 , pp. 51–73, 2016, [Online]. Available: https://sid.ir/paper/67265/en

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