تأثیر رژیمهای تورمی مختلف بر پویایی تورم و نااطمینانی آن در ایران

This study examines the relationship between inflation uncertainty and price components in general price level. It examines which price components at general price level cause inflation uncertainty, and also which price components are more affected by such uncertainty. The Turkish economy is observed with regard to the time period between January 2003 and September 2011, and inflation uncertainty is obtained by being defined as conditional variance within the inflation process, which itself is estimated according to not only a function of its past values, but also a set of data including money supply, industrial production index, exchange rate, and interest rate. The relationship between price components and inflation uncertainty is analysed, using Granger Causality Test, Impulse Response and Variance Decompositions Analysis. As per the findings, the effect of inflation uncertainty on the price components of general price level, and similarly, the effects of price components of general price level on the inflation uncertainty differ.

This study was an attempt to analyze the dynamic reaction of the exchange market pressure (EMP) to different states of the foreign exchange market and inflation in the Iranian economy during 1988:4-2017:4. To this end, the EMP index was calculated using Edwards’s (2002) and Kumah’s (2007) formulae. By considering inflation as the threshold variable and using Threshold Vector Autoregressive (TVAR) model, the results showed that lagged variables had no significant effects on EMP in a low inflation regime, but inflation had significant effects on EMP in a high inflation regime. The results of using the Markov Switching Vector Autoregressive (MS-VAR) model showed that in EMP and INF equations, the autoregressive coefficients in all lags and in both regimes were significant; this emphasizes the stability of the estimated VAR model. Based on the results of the MS-VAR equations, the results of the Granger Causality Test showed that when the EMP switched to a high regime, the inflation would have a significant impact on the EMP, but in the regimes where the EMP was at a low level, the inflation was not the cause of the EMP. EMP in low inflation regimes could also affect inflation while EMP was not the cause of inflation in high inflation regimes. Therefore, the policymakers should note that increasing EMP, even in low inflation regimes, can lead to pressure on prices. On the other hand, an increase in the foreign reserves causes the EMP to switch to a high regime; then, the inflationary pressures at any level of the inflation rate can exacerbate the exchange market pressure, and policymakers would be unable to control the currency market. Thus, if the EMP is controlled, the effects of inflation on the EMP will be discontinued, and this is a key point for policymakers.

This article examines the relationship between inflation and inflationuncertainty in Iranian economy for the period 1369:1 to 1385:3 .The purpose of this study is to test the hypothesis that inflation uncertainty increases at higher levels of inflation. Analysis of this study is based on the generalized autoregressive conditional heteroscedasticity (which allow the conditional variance of the error term to be time-varying). Since this variance is a proxy for inflation uncertainty, a positive relationship between the conditional variance and inflation would be interpreted as an evidence that inflation uncertainty increases with the level of inflation. Our findings indicate that inflation causes inflation uncertainty as there is a significant positive relationship between inflation and inflation uncertainty. According to this result the role of Central Bank of Iran is so crucial in reducing inflation uncertainty by conducting proper policies.

Investment is seen as one of the most important and influential factors in economic growth and development. It is directly affected by managers' approaches to decision-making because identifying the best investment opportunities to achieve ideal returns is one of the expectations that shareholders and stakeholders have of managers to reduce agency gaps. However, the emergence of managers' overconfident behavior as a foundation for psychological bias can deepen the agency gap due to overestimating project cash flows compared to their real values under inflationary conditions. This study aims to examine the effect of inflation uncertainty on the impact managerial overconfidence has on overinvestment. The statistical population consists of companies listed on the Tehran Stock Exchange (TSE). One hundred five companies were selected as the sample size by systematic removal sampling reviewed in 2011-2018. Due to its dichotomous dependent variable, this study uses probit regression to test the research hypotheses. The results indicated the significant positive effect of CEO overconfidence on overinvestment. It was also noted that inflation uncertainty strengthens the positive effect of CEO overconfidence on overinvestment. Based on these results, the CEO's decisions as a decision-maker in charge of any company, especially under inflationary conditions, can play a substantial role in future corporate investment levels. Thus, with an increase in behavioral bias, it can be assumed that the company will confront grave competitive challenges under economic conditions.

On the real effects of inflation and inflation uncertainty in Mexico

In this paper, we use the Markov switching model, the state-space model with Markov switching heteroskedasticity and the local level model with GARCH(1,1) disturbances to investigate the link between the level of Egyptian inflation and its uncertainty. We use different ways to measure inflation uncertainty. First, we consider it as the variance of unanticipated inflation. Second, we measure it as the unconditional variance of unanticipated changes in inflation. Finally, we measure it by the conditional variance modeled as GARCH effect. We find evidence of a positive effect of inflation level on inflation uncertainty for the three models. By making the distinction between the long run and the short run, we conclude that inflation has a significant positive effect on uncertainty in the short run but no effect in the long run. We state that the cost of inflation is mainly due to the association between higher inflation and higher short-run uncertainty. Reversing the causality link between inflation and its uncertainty, we find that inflation uncertainty has a positive effect on inflation level in the short run but this effect dies out in the long run, which is indicative of a stabilization monetary policy in Egypt. According to the likelihood-based information criteria (Akaike and Schwarz Bayesian criteria), the state-space model with Markov switching heteroskedasticity and the two-state Markov switching model outperform all others.

We examine how the interaction between monetary policy and macroeconomic conditions affects inflation uncertainty in the long-term. The unobservable inflation uncertainty is quantified by means of the slowly evolving long-term variance component of inflation in the framework of the Spline-GARCH model (Engle and Rangel, 2008). For a cross-section of 13 developed economies, we find that long-term inflation uncertainty is high if central bank governors are perceived as less inflation-averse and if the conduct of monetary policy is ad-hoc rather than rule-based.

Since the 2008-09 global financial crisis, both emerging and developed economies have encountered increased economic uncertainty. Despite substantial research on macroeconomic uncertainties, there remains a significant gap in understanding asymmetric causal relationships between inflation uncertainty and economic growth in inflation-targeting emerging markets. This study addresses this gap by exploring both symmetric and asymmetric causality between inflation uncertainty and economic growth in selected countries: Brazil, Bulgaria, Czech Republic, Greece, India, Korea, Mexico, Russia, and Türkiye. Asymmetric causality tests are crucial as they offer a more nuanced view of how inflation uncertainty and economic growth impact each other in distinct ways, which is vital for enhancing macroeconomic stability and policy effectiveness. The research employs the ARMA-GARCH model to estimate inflation uncertainty and applies both symmetric and asymmetric causality tests. The findings reveal a unidirectional causality from inflation uncertainty to economic growth in Brazil and Bulgaria, and from economic growth to inflation uncertainty in Russia and Türkiye. Furthermore, asymmetric shock analysis shows that negative shocks in inflation uncertainty lead to negative shocks in economic growth in Russia and Korea, while positive shocks in inflation uncertainty correspond with positive shocks in economic growth in India. These insights can help policymakers in emerging markets develop more effective monetary policies. Future research should include a broader range of countries and additional macroeconomic variables to validate these findings and explore inflation uncertainty dynamics further.

L'objectif des auteurs est de tester l'hypothese que l'incertitude entourant l'inflation s'accroit lorsque le taux d'inflation augmente. Ils fondent leur analyse sur l'utilisation de modeles autoregressifs conditionnellement heteroscedastiques generalises (GARCH), lesquels permettent a la variance conditionnelle du terme d'erreur de fluctuer dans le temps. Comme cette variance constitue une approximation de l'incertitude entourant l'inflation, la detection d'une relation positive entre elle et l'inflation viendrait etayer l'hypothese examinee.

The effect of economic uncertainty on narrow money demand and its stability in New Zealand: An empirical investigation

This study analyses the dynamics of inflation and inflation uncertainty in Pakistan, while inflation has been disaggregated into food inflation and non-food inflation from July 1998 to March 2018. The study follows two step procedure, an ARMA-GARCH model is used in the first step with the generated conditional variance used as measure of inflation uncertainty, while Granger causality test is performed in the second step to find the relationship between the variables. Mean equation of inflation, food inflation, and non-food inflation show that past inflation has significant effect on current inflation, while variance equation shows high persistence of inflation. Unidirectional causality exists from inflation to inflation uncertainty as well as from food inflation to food inflation uncertainty and supports the Friedman-Ball hypothesis. Monetary authorities have to adopt price stability as the primary objective, while core inflation has to be taken as a target of monetary policy, instead of headline inflation.

ABSTRACTThe impact of dollarization on domestic economic performance, and the welfare implications of high inflation in an inflation targeting environment, have remained a matter of much concern for policymakers in recent years. This study investigates the effects of dollarization on inflation and inflation uncertainty in Ghana for the period January 1990 to December 2017. We apply the exponential Generalized Autoregressive Conditional Heteroskedasticity model together with impulse response and Granger causality tests to explore how dollarization affects the behavior of inflation for the pre-inflation targeting period (January 1990 – May 2007) and post-inflation targeting period (June 2007 – December 2017). The results indicate that dollarization has not played a significant role in the volatility of inflation in Ghana. Also, inflation Granger causes dollarization in both the pre- and post-inflation targeting regimes. Finally, there is a bidirectional causal relationship between inflation and inflation uncertainty following the adoption of inflation targeting monetary policy. We conclude that, although inflation targeting has not presented a significant impact on inflation volatility, it has affected the relationship between inflation and inflation uncertainty in Ghana. The dynamics of inflation volatility and asymmetries present crucial implications which are discussed to guide policymaking.

The authors constructed a time series of monthly inflation uncertainty in Turkey from 1960 to 1998 using GARCH models and investigated the link between inflation and inflation uncertainty using Granger tests. The authors found strong statistical support that inflation significantly raised inflation uncertainty in Turkey over the full sample period and three subsamples. The evidence on the effect of inflation uncertainty on average inflation is mixed and depends on the time period examined. An analysis of the political conditions and the record of macroeconomic policy making in Turkey between 1960 and 1998 reveal institutional and political factors that can help explain the empirical results.

The aim of this study is to analyse the impact of inflation uncertainty on the volatility of benchmark interest rate which is the market indicator. In this context, the interest rate of two-year government bonds, which shows general interest rate in the economy and which occurs as a result of the preferences of decision-making units in the money market is considered as a basic variable. Inflation uncertainty is derived from Consumer Price Index (CPI) depending on Friedman’s Approach and is used as an explanatory variable. Because the use of benchmark interest rate includes the knowledge regarding the behaviour of the market decision-making units to inflation and inflation uncertainty, the results obtained are of great importance with regards to the policy proposals. In this study, the effect of inflation uncertainty on the volatility of benchmark interest rate is examined by the volatility and structural break models for the period of 2005:M4-2016:M11. The findings of the study have shown that there is a causal relationship from inflation uncertainty to interest rates between 2005:4 and 2006:5. Additionally, a causal relation from interest rates to inflation uncertainty is observed in the periods of 2013:3 and 2015:12-2016:9.

The effects of inflation uncertainty on firms and the macroeconomy