چکیده:
This paper empirically investigates the relationship between CPI
inflation uncertainty, and private investment in the Iranian economy from
1988 to 2010 by using quarterly data. We employ a bivariate VAR(5)-
GARCH(1,1)-in-mean with diagonal BEKK model to discover in a
unified framework how are the interactions between the variables. In the
model, conditional variance of inflation and private investment are
interpreted as inflation and private investment uncertainties, respectively.
Our empirical finding shows that, 1) there are bidirectional mean
spillovers between inflation and private investment, 2) private investment
uncertainty affects private investment negatively, 3) private investment
uncertainty doesn’t affect inflation, 4) inflation uncertainty affects
inflation positively, and 5) inflation uncertainty affects private investment
negatively, supporting Pindyck (1982, 1988, 1991), Caballero (1991),
Ferderer (1993a), Caballero and Pindyck (1996).
خلاصه ماشینی:
Dynamic Relationship between Inflation Uncertainty and Private Investment in Iran: An Application of VAR-GARCH-M Model Mosayeb Pahlavani• Sahar Bashiri Abstract This paper empirically investigates the relationship between CPI inflation uncertainty, and private investment in the Iranian economy from 1988 to 2010 by using quarterly data.
al, 2004; Abbasinezhad and Jabal Ameli, 2006; Keshavarzian and Ziae Bigdeli, 2006; Shokri et.
al, 2007; Kazerouni and Ebghaei, 2008; Mousavi Jahromi and Zayer, 2008; Rezaei, 2010; among others).
Dahmarde and Bashiri (2012) (as cited in Easterly and Schmidt-Hebbel, 1991) suggested that a competitive and stable macroeconomic environment characterized by low and stable internal and external deficits, low inflation and real depreciation of the exchange rate are conducive to higher growth led by significant private investment.
g. , Zeira (1990), Driver and Moreton (1991), Caballero (1991), Ferderer (1993b), Aizenman and Marion (1993), George and Morisset (1995), Leahy and Whited (1995), Glezakos and Nugent (1997), Caruso (2001), Mazeda Gil (2004), Da Silva Filho (2007), Zelekha (2010) and Fischer (2011).
, 2008; Ahangari and Saadatmehr, 2008; Kazerouni and Doulati, 2008; Esmaeilzadeh Maghari, 2009; Heidari and Hashemi, 2011; among others).
This is in line with the result is in line with Zeira (1990), Driver and Moreton (1991), Ferderer (1993b), Aizenman and Marion (1993), Caruso (2001), Da Silva Filho (2007), Zelekha (2010) and Fischer (2011) among others, where they find a negative relationship between inflation uncertainty and investment for different countries.