خلاصة:
The aim of this study is to examine the nonlinear effects of fiscal and monetary policies on inflation during 1990:3 to 2013:1 based on threshold model. First lag of the liquidity growth is recognized as threshold variable with threshold value estimated at 6.37 percent. In low liquidity growth, the results indicate that inflation expectations and the lagged liquidity growth are the most important determinants of inflation. In high liquidity growth, effects of the variables including liquidity, development and con-current expenditure, exchange rate, budget deficit and inflationary expectations are much stronger than low one. GDP and its lag in both regimes are anti-inflationary as expected. Oil revenues have no inflationary effects in both regimes, so it seems that the effect of oil shocks on inflation is captured by other variables such as exchange rate and money growth. Based on results, it seems that liquidity growth can be considered as the most important factor for regime change in the relationship between inflation and fiscal and monetary policies in the economy. So if economy benefits from the low liquidity regime, it can prevent the inflationary effects of variables like government expenditure or exchange rate and use the opportunity to control inflation expectations. It is recommendable, in low liquidity regime to use fiscal, monetary and exchange rate policies to stimulate production and real sector with low inflationary effects.
ملخص الجهاز:
"Based on results, it seems that liquidity growth can be considered as the most important factor for regime change in the relationship between inflation and fiscal and monetary policies in the economy.
So if economy benefits from the low liquidity regime, it can prevent the inflationary effects of variables like government expenditure or exchange rate and use the opportunity to control inflation expectations.
Over the last forty years, the Iranian economy has experienced several events of critical importance, including the 1979 revolution, the 1980–88 war with Iraq, the 1993 balance of payments crisis, restrictive economic sanctions over the last decade and continuous budget deficit; the relationship between inflation and real and nominal variables is expected to be prone to these shocks.
Indeed, inspired by the economic theories such as money demand, we expect that there is one long run relationship or co-integration among the non-stationary variables: price, liquidity, GDP and possibly exchange rate (all in log level).
Low liquidity growth regimes coincide with quarters that the economy of Iran benefited from more monetary and fiscal discipline, economic reforms, foreign borrowing or changes in international oil prices.
7. Conclusions This study examined the nonlinear effects of fiscal and monetary policies on inflation using TAR model in the economy of Iran based on quarterly data for the period 1992:1 to 2011:4.
Impact of liquidity growth, exchange rate and fiscal variables like con- current and development expenditure and budget deficit on inflation depend on how money is tightened (stand of expansionary or contractionary monetary policy)."