بررسی زمان- فرکانس ارتباط میان نوسانات نرخ ارز، تورم و کسری بودجه دولت در اقتصاد ایران

Roudari, Soheil and Jalili, Esmaeil and Tehranchian, Amirmansour (2023): بررسی زمان- فرکانس ارتباط میان نوسانات نرخ ارز، تورم و کسری بودجه دولت در اقتصاد ایران. Published in: Economic Research , Vol. 59, No. 2 (15 November 2024): pp. 231-252.

Abstract

In the present study, the transferring and receiving, as well as the causal relationship of volatilities transmission according to the time-frequency across exchange rate, inflation, and budget deficit in the period of 2006:03-2019:02 (1385:01-1397:12) with a Monthly basis, is investigated using time-varying parameters vector autoregression model in different time-frequencies. The results showed that the main factor in the formation of volatilities in the government budget deficit as well as inflation is the exchange rate, especially if the exchange rate volatilities are long-term, the transmission of volatilities and the net effect of the exchange rate on inflation and budget deficit increases. Also, if exchange rate volatilities continue and lead to inflation and government budget deficits volatilities, in the medium term, budget deficit volatilities will create the basis for transferring volatilities to the exchange rate, and with the increase of exchange rate volatilities, inflation will volatile in the long term intensively. Therefore, the control of exchange rate volatilities in the short term will prevent the increase of inflation and the government budget deficits volatilities, and if the policy maker does not consider this important, in the medium term, the exchange rate will volatile again through the channel of the government budget deficit, and subsequently, the volatilities will be transferred to inflation in the long run severly.

• Item Type: MPRA Paper
• English Title: Investigating the time- frequency relationship between exchange rate, inflation and government budget deficit volatilities in Iran's economy
• Language: Persian
• Keywords: Exchange rate, Inflation, Government Budget Deficits, Time-Frequency, TVP-VAR-BK Model
• Subjects: G - Financial Economics > G0 - General > G01 - Financial Crises; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill

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