انتظارات تورمی

This article utilizes the continuous wavelet transform and its associated tools to provide novel evidence regarding fundamental questions about the Phillips curve in the Iranian economy: slope stability, the role of expectations, and the long-run trade-off. The results indicate that the output gap's impact coefficient on inflation is not constant. Specifically, a positive effect was observed in the short run (2008-2010), while a negative effect was observed in the medium run (2000-2004) and the long run (1995-2004). Inflation expectations positively and significantly influence inflation in both the short and medium runs (2004-2013), but this effect becomes insignificant in the long run. Consequently, the slope of the Phillips curve is deemed unstable: it is negative only in the long run (1995-2004). Therefore, expectations cannot be considered a determining factor for inflation in the long run.

High and volatile inflation rates constitute a significant economic challenge for Iran, particularly in recent years. Diverse perspectives exist among experts regarding the underlying factors and appropriate solutions. This paper presents a unified framework for understanding the causes of inflation in the Iranian economy and outlines corresponding policy recommendations. This framework categorizes inflationary drivers into two distinct groups: long-term and short-term factors. The primary long-term driver, contributing to Iran's persistently higher inflation compared to other nations, is identified as excessive liquidity growth exceeding production growth. This assertion is supported by empirical evidence. Notably, liquidity growth itself is an endogenous outcome of income-expenditure imbalances within the Iranian economy. This disparity manifests as insufficient expenditure growth relative to national income growth at the macroeconomic level. Conversely, short-term inflation fluctuations (around the long-term trend) are primarily influenced by the anchor of inflation expectations (the unofficial exchange rate in the Iranian economy) and the monetary policymaker's response to these fluctuations. Consequently, short-term policy interventions should prioritize minimizing exchange rate volatility around the long-term real exchange rate trend, implementing robust rial governance, and strengthening the central bank's monetary policy framework. Long-term effectiveness necessitates measures such as controlling both the quantity and quality of liquidity, reforming the banking system and addressing unsound banking practices, restructuring the budget to improve the operational balance, reducing excess liquidity, and redefining the nominal anchor.

Numerous studies have been conducted to explore the relationship between unemployment, inflation expectations, exchange rates, and inflation. However, the connection among these factors remains ambiguous, especially in the context of Iran's economy, where the macroeconomic structure and geopolitical situation significantly heighten its importance. In this research, the dynamics of the New Keynesian Phillips Curve, considering the exchange rate, are analyzed over the period from Q1 2000 to Q4 2022 on a seasonal frequency using a Multivariate Continuous Wavelet Transform (MCWT) model across different frequencies (short-term, medium-term, and long-term). According to the findings of this study, the structure of the Phillips Curve does not align with the realities of Iran's economy. Even during periods of economic recession and expansion, a significant relationship between inflation and unemployment is sometimes absent, even in the short term. However, inflation is primarily influenced by inflation expectations and, to a lesser extent, by the exchange rate in the medium and long term. This indicates that if expectations and exchange rates are not managed, they could lead to persistent long-term inflation. Furthermore, due to price stickiness, even with successful management of exchange rates and expectations, a significant reduction in prices may remain elusive.

Exchange rate pass-through (ERPT) and its implications for the various aspects of macroeconomic and price stability are longstanding and much debated issues. In this debate, an underappreciated and unexplored issue is whether inflation expectations act as a channel for the ERPT under an inflation targeting regime. In this study are analyzed the implications of ERPT and other determinants of inflation for inflation expectations. As an empirical framework of analysis and to draw some inferences and conclusions, the Non-linear Autoregressive Distributed Lag (NARDL) model has been used during the period of April 2020 to April 2023. The results show that exchange rate depreciation increases expected price levels, while exchange rate appreciation reduces them. Inflation itself has very significant impact on inflation expectations, which implies that periods of price stability can help to anchor and moor inflation expectations. The other determinants of inflation expectations, including money supply and budget deficit also show considerable impact.

This study aims to investigate the behavior of inflation in relation to money in developed and developing countries, and then by comparing the differences between these two categories, the reasons and documentation necessary for the effect of money on inflation in two groups of developed countries and provide non-developed. 

Based on the model presented in this research, the dependent variable interval is present as an explanatory variable in the model, which causes endogeneity in the model. In order to solve the endogeneity problem, the method of estimating generalized moments is used to estimate model parameters. The econometric estimation method that is used in most economic studies to solve the endogeneity problem is to use the two-stage least squares method 2SLS. The necessary condition for using this method is to find a suitable instrumental variable to solve the endogeneity problem; But using this method faces difficulties. The first problem in using this method is the difficulty of finding a suitable instrumental variable and even the limited nature of this type of variable. Also, using this method cannot solve the problem of correlation between explanatory variables and reduce or completely eliminate co-linearity in the model. To solve the problems mentioned in the economic literature, the method of generalized moments of GMM is used. The necessary condition for using the dynamic panel data approach should be the number of sections or cross-sectional units of the research period or time (N>T). Considering the point that in the current research, the time period studied is small compared to the number of countries, so it is appropriate to use the dynamic panel data approach.In the estimation process with the method of generalized moments, after the estimation stage, the validity of the instrumental variables and the over-specificity of the equation should be checked. In this regard, the Sargan test is used. In addition, the self-regression order of the disturbance sentences should be tested. In this regard, first-order differentiation to eliminate fixed effects will be a suitable method if the order of autocorrelation of disturbance sentences is not of the second order. In order to check the order of autocorrelation of disturbance sentences, Arland and Band have proposed the following statistic which has a normal distribution for free. In order to avoid false regression, first the unit root test of function variables is calculated. Before estimating the model, it is necessary to determine the type of data (composite or cross-sectional). In this regard, Limer's F test has been used in economic literature. 

The estimation results for the two groups of countries under investigation show that the type of inflation in the two groups is different from the others, so that in oil-developing countries, the most important variable affecting inflation is inflation expectations, so that for each unit of increase in Inflation expectations in oil developing countries, the rate of inflation increases by 0.55 units, while in developed countries, this rate is 0.13 and does not have a statistically significant effect on the rate of inflation. The analysis of inflation in developed countries indicates that the most important variable affecting it is the interest rate, so that for each unit increase in the interest rate, the inflation rate increases by 1.22 units, while the effect of this variable on the inflation of oil developing countries It is equal to 0.31 units. Investigating the behavior of liquidity in relation to inflation of both investigated groups indicates a significant positive effect on inflation, and the only thing worth mentioning about the effects of liquidity is that the amount of this variable on inflation is greater in oil developing countries than in developed countries, so that For each unit of liquidity growth in oil countries, the rate of inflation increases by 0.10, while for developed countries this rate is 0.04. 

Economic growth is a very important factor in reducing inflation in oil-developing countries and developed countries, and since developed countries pay a lot of attention to economic growth, it is necessary for oil-developing countries to also pay attention to this issue and factors such as the use of effective workforce that will increase economic growth, and also avoid over-reliance on oil income and by increasing the export of other domestic products, have a diverse export portfolio in case of a decrease in income Nafti prevented the expectations of inflation and budget deficit and brought price stability to the economy.The growth of liquidity in both groups of countries causes an increase in inflation, and since in developed countries liquidity is accompanied by high production; It does not lead to an increase in inflation, but in oil developing economies, the growth of oil income causes the economic growth of oil. increase If the government reacts to the increase in inflation by using imports, in the long term it can cause a decrease in economic growth, and if the oil income decreases, it will intensify inflation through liquidity and low economic growth. This study recommends that oil developing countries strictly prevent the application of fixed currency regimes so that oil income does not lead to liquidity changes in the country.The most effective factor on inflation in oil developing countries is inflationary expectations, which should be prevented from applying policies that cause inflationary expectations to increase. In this regard, it is recommended that the government and the central bank identify the factors affecting inflation expectations, such as increasing liquidity, increasing the exchange rate, and make other economic adjustments at appropriate times.: The main purpose of this study is to compare the effects of money supply growth on inflation in oil developing countries and developed countries.

Inflationary expectations in the conventional economics follow a specific pattern that is called rational expectations. This pattern is a standard and comprehensive model used in economic theorizing and modeling. However, according to the evidence of the laboratory economics, the way in which the expectations of economic actors are formed is heterogeneous. In this research, we tried to explain the reason for this heterogeneity by explaining the conception of Allameh Tabatabai's “Etebari Perceptions” and explaining that expectations could be different from the view of the new classic economists. The findings suggest that heterogeneity in expectations is due to the plurality of “Perceptions” caused by the historical and contemporary process of geographical and temporal contexts, and the teaching of the rules related to these “Perceptions” plays an important role in perceiving individuals as correct or inaccurate or rational and irrational has it. However, using rational or irrational interpretations of expectations can be misleading.

The relationship between inflation and inflationary uncertainty has attracted the attention of many theoretical and empirical macroeconomic studies. Despite extensive studies in this field, there is still no consensus regarding the flow of causality between these two variables. In this regard, the current research uses continuous wavelet transform and analysis in the time-frequency domain to provide new insights into the relationship between inflation and its uncertainty in Iran during the period 1991 - 2022. According to the obtained results, the flow of causality between the two variables is not established and the theories related to this issue are not relevant to Iran's economy in the sense that, firstly, economic agents are generally not able to correct their forecast in the face of inflation. And secondly, the monetary authorities do not take necessary measures to stabilize the prices when they rise. In the long run, the causal flow from inflation to inflation uncertainty is established with significant intensity. The interpretation of the results in the dimension of time and its compatibility with the theoretical foundations and conditions of Iran's economy indicates that in the long run, the policymaker, in response to the increase in the general level of prices, has relatively less sensitivity to reducing inflation compared to other goals.

The continuous growth of the price level in Iran indicates the prices trend is rising. Short-term inflation dynamics and cyclical interaction with actual economic variables are central in macroeconomics, especially monetary policy analysis.

 METHODOLOGY

Given the importance of inflation expectations, this study examines how it is formed by considering comparative and rational inflation expectations. Since the relationship between inflation expectations and consumption has an actual application in determining economic policies, this relationship is examined during the period 1367: 1 to 1395: 4 by considering the logarithm of consumption, logarithm of income, and logarithm of inflation as the research variables. All data sets used in this study are first-order, meaning that they only need to be differentiated once to be stationary. Because among the various consumption models, Friedman has played an essential role in introducing expectations into consumption theory and has talked about hot money. His approach has been used in the model. To model invisible variables such as rational inflation expectations, space-state models that allow unobservable variables to be used both in estimating the model and estimating them in the models are used. In this regard, the Kalman-filter algorithm was used, a powerful recursive method for optimal predictions of invisible variables and efficient estimates of the parameters of space-state models based on mathematical hope. The partial adjustment method has been used to model adaptive inflation expectations. For consistent estimation, methods that consider the endogeneity of variables should be used. Also, because the variables of collaborative research are of the same order, if there is no co-integration relationship between them, their differential form should be used. According to Granger's theorem, there will be an error correction if there is a co-integration relationship between the variables. Proving the endogeneity of associations related to expectations in the economic framework and therefore due to the existence, we estimate the error correction model with the GMM method. 

The results show that the effect of rational inflation expectations on long-run consumption in the Iranian economy is positive and significant. Thus, with a one percent increase in expected inflation, consumption will increase about 6 percent, but there is no significant relationship between rational expectations and consumption in the short term. The effect of comparative inflation expectations on consumption is also positive and significant. Thus, a one percent increase in comparative expected inflation will lead to an increase in consumption of 2 percent. Because in the case of comparative expected inflation, a positive relationship between expected inflation and consumption is confirmed, so that the elasticity of consumption to expected inflation is 2%. In other words, a 1% increase in comparative expected inflation will lead to a 2% increase in consumption.  

In the practical aspect of this research, it can be said that since Iran's economy is in a state of stagflation, (1) Managing inflation expectations through an efficient communication framework with economic factors can transform the retrospective pricing system into a futuristic one and reduce the actual costs of deflation. (2) The policymaker should take measures so that the inflation expectations of the society are not intensified because this issue can stimulate inflation by intensifying consumption and increasing its total demand. Then inflation expectations spread in this direction which has happened regularly in recent years. (3) Also, due to the impact of consumption changes on aggregate demand and aggregate demand on corporate investment decisions, the attention of monetary policymakers and the central bank on controlling inflation expectations is needed more than ever due to its direct impact on consumption. In this regard, policymakers should be careful in implementing their policies not to exacerbate inflation expectations. For example, what policies to enforce (or not) and what policies to implement (or not) play a role in forming positive or negative policies destructive inflation expectations. However, in this regard, expert economic advisors should be consulted on any policy. 4- Also, anti-inflation policies that control inflation have a favorable effect on inflation expectations and are therefore recommended.

It is not possible to manage the inflation rate without recognizing the factors affecting it, including how the expected inflation is formed. It is not possible to manage the inflation rate without recognizing the factors affecting it, including how the expected inflation is formed. For this purpose, the annual data of inflation rate, production gap and expected inflation simulation during the years 1357 to 1395 have been used. Based on the model estimation results, in the lower quantities of the inflation rate, the expected inflation using the past inflation rate is statistically more significant and the higher the inflation rate, the better the modeling using the past inflation trend gives better results. In the Iranian economy, which is associated with high levels of inflation, the formation of inflation expectations of economic agents is more compatible with the past inflation trend. Therefore, in order to reduce inflation expectations and achieve low levels of inflation in consecutive years, it is much more important to pay attention to the past inflation trend than the previous inflation rate.

What is the cause of inflation decrease in Iran after 2013? Some economists believe the cause is the control of the liquidity. But the others believe the cause is the decrease of the demand as well as the expected inflation. Therefore, this study seeks to answer: a) what is the effect of liquidity surplus on the general price increase? b) What is the expected inflation rate in Iran? And c) Can the factors of the demand side cause to decrease inflation? In this regard, Hybrid New Keynesian Phillips curve has been estimated in the Iranian economy during the 1973-2015 period using the generalized method of moments (GMM).The results of the study showed that the liquidity surplus based on M2 has a positive and significant effect on inflation. While the liquidity surplus based on M1 does not have a significant effect on inflation. This suggests that pseudo money, savings deposits and deposits are the main source of inflation. Also, Adaptive and rational expectations have a significant and positive impact on inflation and the effect of Adaptive expectations is higher than rational expectations. The results of the study indicate that the long-term Phillips curve in the Iranian economy is vertical.

Philips curve studies are one of the major issues of macroeconomics and have long been tested in empirical studies. Hybrid New Keynesian Phillips Curve developed by Galí and Gertler, generally believes that in the short-run there is a trade-off between inflation and excess demand due to nominal rigidities, while inflation in the long run is constant at the Non-Accelerating Inflation Rate of Unemployment (NAIRU). By contrast, Gordon in his triangle model assumes the NAIRU to be variable over time. In this regard, the present study, using by Time-Varying Parameter approach tries to create a new insight into the validity of the Philips curve in the Iran's economy. In this way, the data for the period 1960-2016 have been used. Given the conditions of the Iran's economy, the coefficients were estimated at six time points. The results show that the Phillips curve parameters in the Iran's economy are not stable. So that the share of forward-looking expectations in this instability is significant. The coefficients obtained for the output gap showed that in the most years the slope of the Philips curve in the Iran's economy has been positive, and its validity cannot be generally confirmed. Accordingly, it is impossible to make a definite statement about the Phillips curve subordinate form.

The key element in influencing monetary policy is the credibility of the policy, that is, the belief of economic agents in the ability and implementation of it. The existence of a credible central bank will lower inflation rate at a lower cost and makes it easier to keep inflation at a low and stable level. The reaction of inflation expectations to monetary policy changes is the most important source for assessing the credibility of the central bank and the monetary policy situation, which has been emphasized in credibility assessments in the last decade. This study estimates implicit inflationary expectations based on seasonal data of Iran for the period from 1380 to 1394 by the new Keynesian Phillips curve. By using Auto-Regressive Distributed Lag model the response of the implicit inflation expectations to monetary policy variables (the nominal interest rate change and the change in the growth rate of money stock) was measured to assess the credibility of monetary policy and the central bank. The results show that the inflation expectations in the studied period were not significantly affected by monetary policy variables in the short term and in the long run. This means that the declared monetary policy was not considered credible by the economic agents.

From the start of the new round of UN sanctions against Iran to the Lausanne Declaration, certain the political developments occurred (e.g. changes in the government and adoption of an interactive approach to foreign policy). These developments have had their impacts on inflation expectations. Based on the experience and global studies,the market rate of exchange (US dollar), the stock price index and the consumer price index (CPI) are all calculated on a monthly basis and considered as the estimates of inflation expectations.
In this study, we extract the concession function of the economic planner in the context of a conflict economy and on the basis of conflict expectations of Drezner (1999 ), which is a theory of dynamic games. Then, we specify this function on the objective of decreasing the expected inflation. In this regard, three regression models were evaluated separately on the basis of the Autoregressive Integerated Moving Average with an explanationary variable (ARIMAX) and rolling regressions. The results show that inflation with a lag and liquidity have had positive effects on the inflation expectations.
Political developments, including changes in the government and negotiating strategies with different lags have been effective in the reduction of inflation expectations. However, due to the long negotiation process, there would have been unknown changes in inflation expectations.

Iran’s economy is recognizes as a high inflationary country (For near almost all years after Islamic revelation) which is suffered to external shocks such as external conflict interactions (for example war and sanctions) and oil price shocks. Therefore, analysis and estimation of money demand in Iran should consider above issues in order to have efficient money supply policy.
This paper, apply HSE index to estimate the effects of external conflict interactions. Hodrick-Prescott filter has been used to estimate expected inflation. The money demand function of modified Cagan’s is estimated during 1979 to 2013 by ARIMAX and VAR methods. The results show that, expected inflation by 3 lags, has negative effect on money demand but external conflict interactions by two lags and oil price has positive effects on the money demand.

Reputation of a monetary’s authority، is an agents believe on his to control of deviation between targeting inflation and observed inflation. On one hand، a Monterey’s authority، can throw agent’s trust to his polices، leading to lower inflation expectations and inflation. But on the other hand، government pressure on the monetary authority to do discretionary monetary policy (such as creation of money and loan، or government decision to deal with unemployment، or decreasing the real value of debts and compensate government budget deficits، mostly in a rescission situation) would lead to higher deviation between targeting inflation and observed inflation. In this survey، in order to test and analysis the reputation of the monetary’s authority، chisel-prone’ credibility and Autoregressive Integrated Moving Average (ARIMA) lin-log models of time series based on the model of Barro and Gorden (1983) have been used by using two tailed of t student، during the years of 1979 to 2009 (end of forth developing plan). The results show that monetary’s authority was not reputational during second، third and fourth developing plan. Also، oil price by one lag، real GDP and unemployment by 3 lags have positive effects and discretionary monetary policy (creation of money and loan) and previous lack of reputation by two lags have negative effects on the reputation of a monetary’s authority.

Cheating policy on monetary economics is performing surprised inflation، (inflation more than expected inflatin). Barro and Gordon (1983)، as the pioneers of cheating policy on monetary economics، in a framework of loss function by using a game reputational model، show that among discretion، rule and cheating policy، cheating is best policy. After that، many studies have done on the legalization of cheating policy. In this paper، by descriptive analysis، we survey the foundation of Barro and Gordon’s model (1983). According to holy Quran and hadith، we show that، instrumental rationality is not acceptable for policy making. As the relationship between governments and people is based on principles of velatat and justice، therefore، cheating policy is forbidden in sharieh of Islam. We then، present an expectation mechanism based on in sharieh of islam and show by this mechanism، both monetary discretion and rule policies would lead more social benefit that the Barro and Gordon’s model (1983). Also، we show that، relaxing enterprises. condition of cheating policy depends on the social expectations of justice، by economic

Inflation is the main problem which should be overcome both by the government and economic agents. The existence of inflation in an economy causes distortion and disequilibrium in the macroeconomic variables in the forms of decreasing growth rate, rising unemployment rate and uneven income distribution and so on. In addition, the uncertainties caused by the high inflation rates, raise the inflation expectations. This paper tries to found out which type of inflation expectations gives the better explanation of current inflation: backward-looking, forward-looking or some combination of the two? Using Generalized Method of Moments (GMM) and annual data over the period 1976-2008, the results of hybrid Philips model show that inflation in Iran is significantly determined by backward-looking inflation expectations, forward-looking inflation expectations, the output gap, exchange rate, and liquidity growth. However, backward-looking inflation expectations are more important than forward-looking expectations. The findings imply that managing inflation expectations, liquidity growth, and exchange rate can complement each other to achieve overall price stability.

Today, policymakers and economists use widely rational expectations (RE) in monetary, financial and regulatory policies to improve their country economic performance. In some of the pertinent models to these policies, expectations have been formed by assuming rationality and full information on economics. Indeed, economic agents have no perfect information about some parameters of these models. These unknown parameters can be estimated in the form rational expectations during learning process. In this research, the impact of government policies on the inflation rate has been modeled on the basis of rational expectations under learning process. Data has been gathered from Central Bank of Iran (CBI) and Iran’s economic development plans over the period 1989-2009. Results show that current inflation in the country originates mainly from economy structure and government policies, so share of public inflationary expectations is negligible. In addition, the learning process in Iran will converge to rational expectations, thus government policies for reducing inflation and increasing employment are inefficient. It is recommended that government adopt unanticipated and sudden policies to be effective its plans.

In this research, the attempt was made to test the existence of the natural rate hypothesis in Iran, by using a Johansson cointegration test. The results do not reveal any long run relationship between inflation and unemployment in Iran for 1340-1386 periods. Because of the time varying nature of NAIRU, the HP filter was applied to estimate the time series of NAIRU. Comparing the NAIRU time series and the actual unemployment rates reveal that, in the period under consideration (except for 1386), the actual unemployment rate was bove NAIRU. The results indicate that, in the long run, the compensatory monetary policy only lead to high inflation rates.Therefore, for catching up to Nairue position. sticking to a monetary rule is required.