مقایسه تطبیقی عوامل موثر بر تورم در کشورهای گروه7 و اوپک: رویکرد منحنی فیلیپس هایبریدی کینزین جدید

نوع مقاله : پژوهشی

نویسندگان

1 استاد دانشکده علوم اقتصادی و اجتماعی دانشگاه بوعلی سینا، همدان، ایران

2 دانشکده علوم اقتصادی و اجتماعی، دانشگاه بوعلی سینا همدان، همدان، ایران.

3 دانشکده علوم اقتصادی و اجتماعی دانشگاه بوعلی سینا همدان، همدان، ایران.

چکیده

این پژوهش، منحنی فیلیپس هایبریدی کینزین جدید را برای کشورهای اوپک و گروه7، تحلیل و عوامل موثر بر تورم را بررسی می‌کند. بازه زمانی پژوهش، دوره 2017-1995 می‌باشد و برای تخمین داده‌ها، از روش پنل‌وربیزی(Bayesian Panelvar) در نرم‌افزار Matlab استفاده شده است. نتایج حاکیست که شکاف‌تولید، تورم دوره‌های گذشته و تورم انتظاری بر تورم هر دو گروه از کشورها تاثیر دارند. اثر تورم‌انتظاری بر تورم برای کشورهای اوپک و گروه7 در دوره‌های اول مثبت است. اما، این اثر برای کشورهای اوپک پس از مدتی بین می‌رود. ولی در کشورهای گروه7 نه تنها از بین نمی‌رود، بلکه برای برخی بیشتر(ژاپن) و برای برخی منفی(فرانسه) هم می‌شود و ماندگاری بیشتری بر این کشورها دارد. همچنین، اثرشکاف‌تولید برای همه کشورهای اوپک مشابه هست و در دوره‌های اول اثر منفی بر تورم دارد و پس از مدتی بطور کامل اثر آن از بین می‌رود. اما، این متغیر در کشورهای گروه7 در دوره‌های اول تقریبا بر تورم تمامی این کشورها اثر مثبت دارد. اما به تدریج اثر این متغیر برای برخی کشورها افزایشی(ژاپن و آلمان) و برخی منفی(فرانسه، کانادا، آمریکا و ایتالیا) می‌شود. اثر تورم دوره گذشته بر تورم کشورهای عضو اوپک و گروه7 کاملا مشابه هست. بطوریکه در دوره‌های اولیه اثر منفی دارد و به تدریج این اثر از بین می‌رود. بنابراین، این مدل برای همه کشورها موردتایید نیست. همچنین، نتایج نشان داد که مردم در کشورهای گروه7 نسبت به گروه اوپک بیشتر به قیمت انتظاری در پیش‌بینی تورم توجه دارند و افراد کشورهای عضو اوپک بیشتر تورم دوره گذشته را مدنظر قرار می‌دهند.

کلیدواژه‌ها


 References
Afshari, Z and Bayat, M, (2014), Comparison the predictive power of ARIMA model and hybrid new Keynesian Philips curve of inflation, Journal of financial economics (financial economics and development);8 (26); 11-1[In Persian].
Arruda, E. F., Castelar, I., Neto, N. T., & Santos, C. (2019). Core Inflation, Expectations and Inflation Dynamics in Brazil. International Journal of Economics and Finance, 11(6), 1-1.
Berger, J. and Wolpert, R. (1998), The Likelihood Principle, Institute of Mathematical Statistics, Hayward, Ca., 2nd edition.
Blanchard, O. J., & Galí, J. (2006). A new Keynesian model with unemployment. National Bank of Belgium Working Paper, (92).
Brissimis,S.N.,&Magginas,N.S.(2008).Inflation forecasts and the NewKeynesian Phillips curve. International Journal of Central Banking, 8(June), 1–22.
Canova, F., & Ciccarelli, M. (2004). Forecasting and turning point predictions in a Bayesian panel VAR model. Journal of Econometrics, 120(2), 327-359.
Canova, Fabio and Ciccarelli, Matteo, Panel Vector Autoregressive Models: A Survey (January 16, 2013). ECB Working Paper No. 1507, Available at SSRN: https://ssrn.com/abstract=2201610.
Chadha, B., P. R. Masson, and G. Meredith. 1992. “Models of Inflation and the Costs of Disinflation.”IMF Staff Papers 39 (2): 395–431.
Chowdhury, K. B., & Sarkar , N. (2017). Is the hybrid new Keynesian Phillips curve stable? Evidence from some emerging economies. Journal of Quantitative Economics, 15(3), 427-449.
Christiano, L., Eichenbaum, M., & Evans, C. (2005). Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy, 113(1), 1–45.
Dieppe, A., Legrand, R., & Van Roye, B. (2016). The BEAR toolbox.
Dupuis, D. (2004). The New Keynesian hybrid Phillips curve: An assessment of competing specifications for the United States. Bank of Canada.
Emami K and Olia M.(2012), Estimating Output Gap and the Effects on Inflation Rate in Iran. Journal of Economic Research; 12 (1): 59-85[In Persian].
Fuhrer, J. C. (1997). The (un) importance of forward-looking behavior in price specifications. Journal of Money, Credit, and Banking, 338-350.
Fuhrer, J., & Moore, G. (1995). Inflation persistence. Quarterly Journal of Economics, 110(1), 127–159.
Ghafari F, Naemy Pajoh H. (2012). An Investigation into the Impacts of Internal and External Shocks on Inflation in Iran. Journal of Economic Research and Policies. 2012; 20 (62) :117-142[In Persian].
Gali, Jordi and Gertler, Mark, (1999), Inflation dynamics: A structural economic analysis, Journal of Monetary Economics, 44(2); 195-22.
Gali, Jordi, Gertler, Mark and Lopez-Salido, David, (2001). “European inflation dynamics.” European economic review, 45: 1237-70.
Gordon, R., & Eller, J. (2003). Nesting the New Keynesian Phillips Curve Within the Mainstream Model of US Inflation Dynamics. Germany, CEPR Conference, Berlin.
Genberg, H., & Pauwels, L. L. (2005). An Open‐Economy New Keynesian Phillips Curve: Evidence from Hong Kong. Pacific Economic Review, 10(2), 261-277.
Hervino, A D, 2015, ‘A hybrid model of New Keynesian Philips curve: An application in Indonesia’, Journal of Economics, Business, and Accountancy Ventura, 18(3), pp. 311–6.
Jahani Raeini P, Mortazavi A, Mojahedi M M. (2006), An Analysis of the Impact of Oil Revenues on Iranian Economy A Case Study of Dutch Disease. Journal of Economic Research and Policies; 14 (39 and 40) :104-135[In Persian].
Jalaei, S A and Shirafkan, M, (2009), The effect of monetary policy on the level of unemployment through the analysis of the new Keynesian Philips curve in Iran, Journal of Macroeconomics letter (MRL); 9 (1); 13-36[In Persian].
Jean-Baptiste, F. (2012). Forecasting with the new Keynesian Phillips curve: Evidence from survey data. Economics Letters, 117(3), 811–813.
Jondeu, E., & Le Bihan, H. (2005). Testing for the new Keynesian Phillips curve. Additional international evidence. Economic Modelling, 22(3), 521–550.
Jondeaua, Eric and Bihan, HervéLe, (2003), Testing for the New Keynesian Phillips Curve. Additional international evidence, Economic Modelling, 22(3); 521-550.
Kazerooni, A., Asgharpuor, H., & Nafisi Moghadam, M. (2017). Investigating the Main Determinants of Inflation in Iran: Application of Hybrid New Keynsian Philips Curve Using Quantile Regression. Monetary & Financial Economics, 24(14), 115-134[In Persian].
Koop, G. M. (2003). Bayesian econometrics. John Wiley & Sons Inc.
 Kozicki, S., & Tinsley, P.A. (2002). Dynamic specifications in optimizing trenddeviation macro models. Journal of Economic Dynamics and Control, 26: 1585–1611.
Kozicki, S., & Tinsley, P.A. (2002), Alternative sources of the lag dynamics of inflation.Federal Reserve Bank of Kansas City Working Paper No. 02-12.
Levin, A. T., Onatski, A., Williams, J. C., & Williams, N. (2005). Monetary policy under uncertainty in micro-founded macroeconometric models. NBER macroeconomics annual, 20, 229-287.
Lovell, M. C. (1986). Tests of the rational expectations hypothesis. American Economic Review, 76(1), 110–124.
Łyziak, T. (2019). Do global output gaps help forecast domestic inflation? Evidence from Phillips curves for Poland. International Journal of Forecasting, 35(3), 1032-1041.
Mankiw, N.G, 2000, “The Inexorable and Mysterious Tradeoff Between Inflation and Unemployment”, The Economic Journal, Vol 111, Issue 471, pp 45-61.
Mankiw, N.G. & Ricardo, Reis (2002), Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve, The Quarterly Journal of Economics, 117(4); 1295-1328.
McAdam, P., & Willman, A. (2003). New Keynesian Phillips curves: A reassessment using euro area data,Working Paper 265, European Central Bank.
Medel, C. (2015). Inflation Dynamics and the Hybrid Neo Keynesian Phillips Curve: The Case of Chile.
Medel, C. A. (2017). Forecasting Chilean inflation with the hybrid new keynesian Phillips curve: globalisation, combination, and accuracy.
Medel, C. A. (2018). Forecasting Inflation with the Hybrid New Keynesian Phillips Curve: A Compact-Scale Global VAR Approach. International Economic Journal, 32(3), 331-371.
Mehnatfar U, mikaeelee V. The Evaluation of the Relationship between Inflation and Production Gap in Iran. quarterly journal of fiscal and Economic policies. 2013; 1 (3) :97-116[In Persian].
Meng, C K, 2016, ‘The inflation process and expectations in Singapore’, In Bank of International Settlements (ed), Inflation mechanisms, expectations, and monetary policy, Bank of International Settlements, pp. 335-43.
Mukhtar, T and Yousaf, A, 2014, ‘Inflation dynamics and New Keynesian Philips curve: A reassessment for Pakistan’, Journal of Business & Economics, 6(2), pp. 177–202.
Nakahira, K. (2015). The Hybrid New Keynesian Phillips Curve and Firm-Level Inflation Expectations in Japan. International Journal of Economic Behavior and Organisation, 3(2-1), 60-72.
Nason, J.M., & Smith, G.W. (2008). Identifying the new Keynesian Phillips curve. Journal of Applied Econometrics, 23(5), 525–551.
Paloviita, M., & Mayes, D. (2005). The Use of real-time information in Phillips-curve relationships for the euro area. The North American Journal of Economics and Finance, 16(3), 415–434.
Paloviita, M. (2009). Estimating open economy Phillips curves for the euro area with directly measured expectations. New Zealand Economic Papers, 43(3), 233–254.
Rabanal, P.,&Rubio, J. F. (2005).ComparingnewKeynesianmodels of thebusiness cycle:ABayesian approach. Journal of Monetary Economics, 52, 1151–1166.
Rahmani, T and Amiri H. (2013). Hybrid New-Keynesian Phillips Curve: Evidence from Iran. Journal of Economic Research; 47(1); 91-112.
Rahmani, T., & Amiri, H. (2012). Hybrid New-Keynesian Phillips Curve: Evidence from Iran. Journal of Economic Research, 47 (98): 112-91[In Persian].
Roberts, J. M. (1997). Is inflation sticky?. Journal of Monetary Economics, 39(2), 173–196.
Rudd, J., and K. Whelan. (2005). New Tests of the New-Keynesian Phillips Curve. Journal of Monetary Economics, 52 (6): 1167–81.
Sakurai, H, 2016, ‘The New Keynesian Philips curve in Thailand through two financial crisis’, Asia Economic and Financial Review, 6(4), pp. 90–195.
Samadi A H, Owjimehr S. (2015).The Investigation of Persistency and Inertia of Inflation in Iran: a Comparison of Hybrid Price Stickiness and Information Stickiness Models. The Journal of Economic Modeling Research (JEMR); 5 (19) :41-72[In Persian].
Smets, F., &Wouters, R. (2003). An estimated dynamic stochastic general equilibrium model of the euro area. Journal of the European Economic Association, 1(5), 1123–1175.
Smets, F., & Wouters, R. (2007). Shocks and frictions in US business cycles: A Bayesian DSGE approach. American Economic Review, 97(3), 586–606.
Taghavi. M, Mohseni A, Amiri. H and Pourjovan. A, (2015), A New Test of the Relationship between Inflation and Actual Final Cost: Using the ARDL Approach, Journal of Macroeconomics, 10 (19); 76-53[In Persian].
Takana, Vitarina H, Bata’anisia, Angeline H, Singh, Tarlok, Su, Jen-Je and Sharmab, Parmendra, (2019), Do inflation expectations matter for small open economies? Empirical evidence from the Solomon Islands, Griffith Asia Institute.
Tavakolian, H. (2012). A new Keynesian Phillips curve in a DSGE model for Iran. Journal of Economic Research (Tahghighat-E-Eghtesadi), 47(3), 1-22[In Persian].
Tomfort, A, 2011, ‘The role of inflation expectations’, International Journal on GSTF Business Review, 1(1), pp. 221–6.
Wollmershaeuser, T., & Henzel, S. (2006). The New Keynesian Phillips Curve and the Role of Expectations: Evidence from the Ifo World Economic Survey.