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تورم، نرخ ارز، مخارج دولت و نقدینگی: اثرپذیر یا اثرگذار؟ شواهدی جدید از رویکرد Tvp-Var-Sv
[Inflation, Exchange Rate, Government Spending, and Liquidity: Effect to or Effect from?New Evidence of TVP-VAR-SV]

Author

Listed:
  • Roudari, Soheil
  • Maghsoodi, Hamidreza
  • Ahmadian- Yazdi, Farzaneh

Abstract

One of the most important problems of Iran’s economy in recent decades is related to inflation and identifying its impacts and effectiveness from its determinants. Therefore, the current research investigates the interrelationship between inflation, exchange rate, current and construction expenditure of the government, and liquidity during 1384:1-1401:4 with seasonal frequency and using the TVP-VAR-SV model. The results show that increasing liquidity concerning covering the purchasing power, increasing social capital, and preventing speculative activities in the asset market is rational. On the other hand, in the current situation, it is better to not remove the subsidy of other basic commodities because it magnifies the results of the increase in current expenses and liquidity on inflation. The other critical point is the passive characteristic of liquidity in Iran’s economy. The result of its impact and effectiveness from other under-estimated indices shows that its impact is lower than its effectiveness from them. As a result, in such a situation, the implementation of a contractionary monetary policy by the central bank cannot be successful to reduce the inflation rate.

Suggested Citation

  • Roudari, Soheil & Maghsoodi, Hamidreza & Ahmadian- Yazdi, Farzaneh, 2024. "تورم، نرخ ارز، مخارج دولت و نقدینگی: اثرپذیر یا اثرگذار؟ شواهدی جدید از رویکرد Tvp-Var-Sv [Inflation, Exchange Rate, Government Spending, and Liquidity: Effect to or Effect from?New Evidence of TVP," MPRA Paper 127037, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:127037
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    References listed on IDEAS

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    1. Ascari, Guido & Fosso, Luca, 2024. "The international dimension of trend inflation," Journal of International Economics, Elsevier, vol. 148(C).
    2. Tai Dang Nguyen, 2019. "Impact Of Government Spending On Inflation In Asian Emerging Economies: Evidence From India, China, And Indonesia," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(05), pages 1171-1200, December.
    3. 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.
    4. Muhammad Akbar, 2023. "Effects of inflation uncertainty and exchange rate volatility on money demand in Pakistan: Bayesian econometric analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1470-1487, April.
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E12 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
    • J21 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Labor Force and Employment, Size, and Structure

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