تاثیر آستانه‌ای و غیرخطی متغیرهای اسمی و حقیقی بر تورم: رویکرد خودرگرسیونی آستانه‌ای

نوع مقاله : مقاله پژوهشی

نویسندگان

1 گروه اقتصاد، دانشکده اقتصاد، دانشگاه تهران

2 دانشجوی دکتری اقتصاد دانشکده اقتصاد دانشگاه تهران

چکیده

در این مطالعه با اتخاذ الگوی خود رگرسیون آستانه‌ای به بررسی رفتار غیرخطی ‌و آستانه‌ای متغیرهای اسمی و حقیقی بر تورم مبتنی بر  داده‌های فصلی دوره‌ی 1393:4-1369:2 پرداخته شده‌است. رشد نقدینگی به عنوان متغیر آستانه انتخاب و مقدار 57/5 درصد (28/22 درصد سالانه) به عنوان حد آستانه این متغیر برآورد می‌شود. در رژیم رشد نقدینگی پایین، انتظارات تورمی و نرخ ارز به عنوان مهمترین عوامل تعیین کننده تورم در اقتصاد ایران شناسایی می‌شوند. به علاوه در این رژیم سطح قیمت‌ها رابطه تعادلی بلندمدت خود را با دیگر متغیرهای حقیقی و اسمی از دست می‌دهد. در رژیم رشد نقدینگی بالا، انتظارات تورمی، رشد نقدینگی و نااطمینانی تورمی مهم‌ترین عوامل تعیین‌کننده تورم به حساب می‌آیند. به علاوه انحراف سطح قیمت‌ها از رابطه تعادلی بلندمدت عامل بسیار با اهمیتی در شتاب تورمی بوده، به طوری که تورم به این شکاف به شدت واکنش نشان می‌دهد. تولید ناخالص داخلی و وقفه آن در هر دو رژیم اثرات ضد تورمی دارند و این اثرات در رژیم پایین بیشتر محسوس است و درآمدهای نفتی در هر یک از رژیم‌ها تاثیرات با اهمیتی بر تورم نداشته است.

کلیدواژه‌ها


عنوان مقاله [English]

The Threshold and Nonlinear Effect of Real and Nominal Variables on Inflation: the TAR Approach

نویسندگان [English]

  • Mohsen Mehrara 1
  • Mohsen Behzadi Sofiani 2
1 Department Economics, Faculty of Economics, University of Tehran
2 Ph.D. Candidate in Economics, Faculty of Economics, University of Tehran
چکیده [English]

The aim of this study is to examine the nonlinear behavior of nominal and real variables on inflation based on seasonal data for the period 1990:3-2014:1 using TAR model. Liquidity growth recognized as threshold variable and rate of 5.57 percent (22.28 percent per year) as the threshold value. In the regime of low liquidity growth, inflationary expectations and the exchange rate fluctuations are the most important determinants of inflation in the economy. In addition, price levels in the low regime lost its long-run equilibrium relationship with other nominal and real variables. In high liquidity growth regime, inflationary expectations, liquidity growth and inflationary uncertainty are considered as the most important determinants of inflation. In addition, the price level deviation from long-run equilibrium relationship is an important factor in the inflationary acceleration, so inflation reacts to this gap rapidly. GDP and its lag in the both regimes is anti-inflationary and this impact is much stronger in low regime and oil revenues in each regime has no such an inflationary effects.

کلیدواژه‌ها [English]

  • Inflation
  • Inflationary Regimes
  • Threshold regression
  • Nonlinear Model
  • TAR Model
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