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:: Volume 1, Issue 1 (12-2010) ::
2010, 1(1): 1-28 Back to browse issues page
TFP Growth and Inflation in Iran: A Wavelet Causality Approach
Hamid Abrishami , Mohesn Mehara , Mahdi Nouri , Mohsen Mohaghegh
Abstract:   (12215 Views)

  The aim of this study is to review the causal relations between TFP growth and inflation as one of the attracting issues in Macroeconomic literature. For the first time in Iran, we have used the wavelet decomposition technique to study this relation. Both TFP growth and inflation series between 1960-2006 are decomposed up to three levels. Our analysis of causality relations between all the composed and decomposed series shows that though no statically meaningful effect between original series has been proved, there are some negative relations between decomposed series in first and second level. Moreover, our study reveals some previously unknown spillover effects between various frequencies of both series as explained in paper. Finally, on the basis of relations founded between decomposed series of inflation in different frequencies, we introduce a new instrument to measure the volatility of inflation.

Keywords: Total Factor Productivity. Inflation Rate, Wavelet Analysis, Granger Causality
Type of Study: Applicable | Subject: رشد و توسعه و سیاست های کلان
Received: 2010/08/16 | Accepted: 2013/03/6 | Published: 2013/03/6
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Abrishami H, Mehara M, Nouri M, Mohaghegh M. TFP Growth and Inflation in Iran: A Wavelet Causality Approach. Journal title 2010; 1 (1) :1-28
URL: http://jfm.khu.ac.ir/article-1-57-en.html

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Volume 1, Issue 1 (12-2010) Back to browse issues page
فصلنامه تحقیقات مدلسازی اقتصادی Journal of Economic Modeling Research
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