| تعداد نشریات | 24 |
| تعداد شمارهها | 907 |
| تعداد مقالات | 8,106 |
| تعداد مشاهده مقاله | 15,505,992 |
| تعداد دریافت فایل اصل مقاله | 13,153,782 |
Relationship between CPI and PPI Inflation in Iran: Does Inflation Anchored by Liquidity Growth or Exchange Rate Growth? | ||
| Iranian Journal of Economic Studies | ||
| مقاله 7، دوره 12، شماره 2 - شماره پیاپی 24، 2023، صفحه 431-463 اصل مقاله (1.58 M) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22099/ijes.2025.52109.1989 | ||
| نویسندگان | ||
| Mohammad Amin Shojaeenia* 1؛ Ahmad Barkish2؛ Abolmohsen Valizadeh2 | ||
| 1Faculty of Economics, University of Tehran, Tehran, Iran. | ||
| 2Institute for Management and Planning Studies, Tehran, Iran. | ||
| چکیده | ||
| This study examines how exchange rate growth and liquidity growth impact the relationship between consumer price index “CPI” inflation and producer price index “PPI” inflation in Iran from 2005 to 2023, using monthly data. We employ continuous wavelet transformation to capture the dynamic relationship between CPI and PPI across different frequency bands. Additionally, we use a vector auto-regressive with exogenous variables model to validate our findings and utilized the Granger causality test. In this study, CPI and PPI indices are divided into three categories: CPI and PPI of goods, CPI and PPI of services, and total CPI and PPI, which is the weighted mean of the two priors. Our models are applied separately to each category of CPI and PPI inflation. The results indicate that the relationship between CPI inflation and PPI inflation for goods is stronger and more reliable than for services. Also, we demonstrate how liquidity growth and exchange rate growth contribute to inflation through demand-pull and cost-push mechanisms, respectively. Finally, we highlighted that this relationship is more dependent on exchange rate growth than liquidity growth, particularly in recent years. This indicates that inflation in Iran during the studied period is predominantly driven by cost-push factors rather than demand-pull forces. | ||
| کلیدواژهها | ||
| Consumer Price Index Inflation؛ Producer Price Index Inflation؛ Exchange Rate Growth؛ Liquidity Growth؛ Continuous Wavelet Analysis | ||
| مراجع | ||
|
Aguiar-Conraria, L., Azevedo, N., & Soares, M. J. (2008). Using wavelets to decompose the time–frequency effects of monetary policy. Physica A: Statistical mechanics and its Applications, 387(12), 2863-2878. Akcay, S. (2011). The causal relationship between producer price index and consumer price index: Empirical evidence from selected European countries. International Journal of Economics and Finance, 3(6), 227-232. Akdi, Y., Berument, H., Cilasun, S. M., & Olgun, H. (2006a). The relationship between different price indexes: A set of evidence from inflation targeting countries. Statistical Journal of the United Nations Economic Commission for Europe, 23(2-3), 119-125. Akdi, Y., Berument, H., & Cilasun, S. M. (2006b). The relationship between different price indices: Evidence from Turkey. Physica A: Statistical Mechanics and its Applications, 360(2), 483-492. Alemu, Z. G. (2012). Causality links between consumer and producer price inflation in South Africa. Applied Economics Letters, 19(1), 13-18. An, L., & Wang, J. (2012). Exchange rate pass-through: Evidence based on vector autoregression with sign restrictions. Open Economies Review, 23, 359-380. Assenmacher-Wesche, K., & Gerlach, S. (2006). Money at low frequencies. Centre for Economic Policy Research. Assenmacher-Wesche, K., & Gerlach, S. (2008). Interpreting euro area inflation at high and low frequencies. European Economic Review, 52(6), 964-986. Bhattacharya, P. S., & Thomakos, D. D. (2008). Forecasting industry-level CPI and PPI inflation: Does exchange rate pass-through matter?. International Journal of Forecasting, 24(1), 134-150. Blagov, B. (2019). Exchange rate uncertainty and import prices in the euro area. Review of International Economics, 27(5), 1537-1572. Blomberg, S. B., & Harris, E. S. (1995). The commodity-consumer price connection: fact or fable?. Economic Policy Review, 1(3). Bloomfield, D. S., McAteer, R. J., Lites, B. W., Judge, P. G., Mathioudakis, M., & Keenan, F. P. (2004). Wavelet phase coherence analysis: application to a quiet-sun magnetic element. The Astrophysical Journal, 617(1), 623. Caporale, G. M., Katsimi, M., & Pittis, N. (2002). Causality links between consumer and producer prices: some empirical evidence. Southern Economic Journal, 68(3), 703-711. Çitçi, S. H., & Kaya, H. (2023). Exchange rate uncertainty and the connectedness of inflation. Borsa Istanbul Review, 23(3), 723-735. Clark, T. E. (1995). Do producer prices lead consumer prices?. Economic Review-Federal Reserve Bank of Kansas City, 80, 25-25. Colclough, W. G., & Lange, M. D. (1982). Empirical evidence of causality from consumer to wholesale prices. Journal of Econometrics, 19(2-3), 379-384. Cushing, M. J., & McGarvey, M. G. (1990). Feedback between wholesale and consumer price inflation: A reexamination of the evidence. Southern Economic Journal, 1059-1072. Da Rocha Lima Filho, R. I. (2019). Does PPI lead CPI in Brazil?. International Journal of Production Economics, 214, 73-79. Dornbusch, R. (1976). Expectations and exchange rate dynamics. Journal of political Economy, 84(6), 1161-1176. Frankel, J., Parsley, D., & Wei, S. J. (2012). Slow pass-through around the world: a new import for developing countries?. Open Economies Review, 23, 213-251. Friedman, M. (1970). The counter-revolution in monetary theory. In Explorations in Economic Liberalism: The Wincott Lectures (pp. 3-21). London: Palgrave Macmillan UK. Funashima, Y. (2017). Time-varying leads and lags across frequencies using a continuous wavelet transform approach. Economic Modelling, 60, 24-28. Galı, J., & Gertler, M. (1999). Inflation dynamics: A structural econometric analysis. Journal of monetary Economics, 44(2), 195-222. Gang, F. A. N., Liping, H. E., & Jiani, H. U. (2009). CPI vs. PPI: Which drives which?. Frontiers of Economics in China, 4(3), 317-334. Ghazali, M. F., Yee, O. A., & Muhammad, M. Z. (2008). Do producer prices cause consumer prices? Some empirical evidence. International Journal of Business and Management, 3(11), 78-82. Goupillaud, P., Grossmann, A., & Morlet, J. (1984). Cycle-octave and related transforms in seismic signal analysis. Geoexploration, 23(1), 85-102. Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: journal of the Econometric Society, 424-438. Granger, C. W., & Lin, J. L. (1995). Causality in the long run. Econometric theory, 530-536. Gürkaynak, R. S., Levin, A. T., Marder, A. N., & Swanson, E. T. (2006). Inflation targeting and the anchoring of inflation expectations in the western hemisphere. Documentos de Trabajo (Banco Central de Chile), (400), 1. Hudgins, B., Parker, P., & Scott, R. N. (1993). A new strategy for multifunction myoelectric control. IEEE transactions on biomedical engineering, 40(1), 82-94. Hung, H. F., & Thompson, D. (2016). Money supply, class power, and inflation: Monetarism reassessed. American sociological review, 81(3), 447-466. Ito, T., & Sato, K. (2007). Exchange rate pass-through and domestic inflation: A comparison between East Asia and Latin American countries. Research institute of Economy, Trade and Industry, RIETI Discussion Papers, 7040. Khan, K., Su, C. W., Tao, R., & Chu, C. C. (2018). Is there any relationship between producer price index and consumer price index in the Czech Republic?. Economic research-Ekonomska istraživanja, 31(1), 1788-1806. Loh, L. (2013). Co-movement of Asia-Pacific with European and US stock market returns: A cross-time-frequency analysis. Research in International Business and Finance, 29, 1-13. Lu, X., Guo, K., Dong, Z., & Wang, X. (2017). Financial development and relationship evolvement among money supply, economic growth and inflation: a comparative study from the US and China. Applied Economics, 49(10), 1032-1045. Martinez, W. O., Caicedo, E. G., & Tique, E. J. (2013). Exploring the Relationship between the CPI and the PPI: The Colombian Case. International Journal of Business and Management, 8(17), 142. Monfared, S., & Akin, F. (2017). The relationship between exchage rates and inflation: the case of Iran. European Journal of Sustainable Development, 6(4). Nasir, M. A. (2020). Forecasting inflation under uncertainty: The forgotten dog and the frisbee. Technological Forecasting and Social Change, 158, 120172. Nicholson, W. B., Matteson, D. S., & Bien, J. (2017). VARX-L: Structured regularization for large vector autoregressions with exogenous variables. International Journal of Forecasting, 33(3), 627-651. Ocran, M. K. (2010). Exchange rate pass-through to domestic prices: The case of South Africa. Prague Economic Papers, 4, 291-306. Posen, A. (2011). The soft tyranny of inflation expectations. International Finance, 14(3), 541-566. Sims, C. A. (1980). Macroeconomics and reality. Econometrica: journal of the Econometric Society, 1-48. Shahbaz, M., Awan, R. U., & Nasir, N. M. (2009). Producer & consumer prices nexus: ARDL bounds testing approach. International Journal of Marketing Studies, 1(2), 78. Su, C. W., Fan, J. J., Chang, H. L., & Li, X. L. (2016). Is there causal relationship between money supply growth and inflation in China? Evidence from quantity theory of money. Review of Development Economics, 20(3), 702-719. Sun, J., Xu, J., Cheng, X., Miao, J., & Mu, H. (2023). Dynamic causality between PPI and CPI in China: A rolling window bootstrap approach. International Journal of Finance & Economics, 28(2), 1279-1289. Svensson, L. E. (2000). Open-economy inflation targeting. Journal of international economics, 50(1), 155-183. Tiwari, A. K. (2012). An empirical investigation of causality between producers' price and consumers' price indices in Australia in frequency domain. Economic Modelling, 29(5), 1571-1578. Tiwari, A. K., Mutascu, M., & Andries, A. M. (2013). Decomposing time-frequency relationship between producer price and consumer price indices in Romania through wavelet analysis. Economic Modelling, 31, 151-159. Tiwari, A. K., Suresh, K. G., Arouri, M., & Teulon, F. (2014). Causality between consumer price and producer price: Evidence from Mexico. Economic Modelling, 36, 432-440. Torrence, C., & Compo, G. P. (1998). A practical guide to wavelet analysis. Bulletin of the American Meteorological society, 79(1), 61-78. Wimanda, R. E., Turner, P. M., & Hall, M. J. (2011). Expectations and the inertia of inflation: The case of Indonesia. Journal of Policy Modeling, 33(3), 426-438. | ||
|
آمار تعداد مشاهده مقاله: 380 تعداد دریافت فایل اصل مقاله: 400 |
||