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بررسی زمان- فرکانس ارتباط میان نوسانات نرخ ارز، تورم و کسری بودجه دولت در اقتصاد ایران
[Investigating the time- frequency relationship between exchange rate, inflation and government budget deficit volatilities in Iran's economy]

Author

Listed:
  • Roudari, Soheil
  • Jalili, Esmaeil
  • Tehranchian, Amirmansour

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.

Suggested Citation

  • Roudari, Soheil & Jalili, Esmaeil & Tehranchian, Amirmansour, 2023. "بررسی زمان- فرکانس ارتباط میان نوسانات نرخ ارز، تورم و کسری بودجه دولت در اقتصاد ایران [Investigating the time- frequency relationship between exchange rate, inflation and government budget deficit," MPRA Paper 126799, University Library of Munich, Germany, revised 07 Feb 2024.
    • Handle: RePEc:pra:mprapa:126799
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    References listed on IDEAS

    as
    1. Esat Durguti & Nexhat Kryeziu & Emine Gashi, 2020. "How Does the Budget Deficit Affect Inflation Rate-Evidence from Western Balkans," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 9(1), pages 01-10, January.
    2. Asadi, Mehrad & Roubaud, David & Tiwari, Aviral Kumar, 2022. "Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness," Energy Economics, Elsevier, vol. 109(C).
    3. Jozef Baruník & Tomáš Křehlík, 2018. "Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk," Journal of Financial Econometrics, Oxford University Press, vol. 16(2), pages 271-296.
    4. Khalid Mehmood & Sajjad Ahmad & Tariq Mehmood & Muhammad Mohsin & Muhammad Ishfaq, 2022. "Does Laffer Curve Exist in Tax Structure of Pakistan? A Threshold Regression Analysis," Journal of Economic Impact, Science Impact Publishers, vol. 4(1), pages 145-149.
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    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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