خلاصة:
Given the effects of inflation on the decline of household welfare and its impact on production and investment, identifying the factors affecting it in order to adjust inflation and achieve price stability is necessary. Therefore, using the TVP-FAVAR model, which differentiates the fluctuations in factors affecting inflation, we try to identify the effects of different shocks such as liquidity, oil revenues, spot market exchange rates, economic growth, interest rates on bank facilities, budget deficits, inflation uncertainty and unemployment on inflation in Iran. In this study, seasonal data from 1370 to 1394 are used. The results, based on the TVP-FAVAR model, reflect the fact that all variables affecting inflation have a positive effect on this variable. Due to the negative effect of changes in economic growth on inflation rate, especially from 1388 to 1394, the existence of stagflation is confirmed. The shock caused by changes in oil revenues is also an important factor in creating inflation in the economy.
ملخص الجهاز:
Therefore, using the TVP-FAVAR model, which differentiates the fluctuations in factors affecting inflation, we try to identify the effects of different shocks such as liquidity, oil revenues, spot market exchange rates, economic growth, interest rates on bank facilities, budget deficits, inflation uncertainty and unemployment on inflation in Iran.
Although TVP-FAVAR have a high ability in determining factors affecting inflation druing time, however, taking into account a massive number of variables, regardless of the source of shocks, the mechanisms of influence and causal relationships are the shortcomings of this method.
Source: Research Findings Given that in VAR models all variables are considered as endogenous, as a result, (where in this study includes variables such as liquidity, inflation, unofficial market exchange rate, economic growth, annual bank deposit, budget deficit and unemployment rate) represents the variables that are considered as endogenous.
2. 3 Introduction of Research Data The data used in this study are as follows: The liquidity stock Inflation rate based on consumer price index (CPI) Unofficial market exchange rate Economic Growth based on Gross Domestic Product (GDP) The one-year deposit stock Budget deficit based on government fiscal stance 1 Factor-Augmented Time-Varying Parameter VAR Unemployment rate 4 The Results In this study, seasonal data of 1370 to 1394 of the variables mentioned in the previous section are used; the source of all variables is Time Series Database (tsd) of the Central Bank of IR Iran.