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Inflation Determinants in Low and High Frequencies: An Implication of Spectral Analysis to Iran

Author

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  • Tayebi , Seyed Komail

    (University of Isfahan)

  • Amini , Khaled Mohammad
  • Zamani , Zahra

Abstract

There is no evidence that previous studies, available to Iran's inflation literature, have used spectral methodology to analyze a possible relationship between inflation and its main determinants within a specific period. Accordingly, the present study investigates the effects of money growth, real output growth, output gap and interest rate changes on inflation at low and high frequencies by using seasonal data, Engle' s spectral estimator and Newey-West corrected standard errors over 1974-2006. The results indicate that money growth, output growth and output gap are significant determinants affecting inflation at low frequencies. In addition, at high frequencies, except for money growth, output growth, output gap and interest rate changes have significant and expected effects on inflation in Iran.

Suggested Citation

  • Tayebi , Seyed Komail & Amini , Khaled Mohammad & Zamani , Zahra, 2012. "Inflation Determinants in Low and High Frequencies: An Implication of Spectral Analysis to Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 7(1), pages 119-137, October.
    • Handle: RePEc:mbr:jmonec:v:7:y:2012:i:1:p:119-137
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Inflation; Spectral analysis; Low and High Frequencies;
    All these keywords.

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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