The Co-movement between Output and Prices: Evidence from Iran
سال انتشار: 1394
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 246
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شناسه ملی سند علمی:
JR_IJBDS-7-1_005
تاریخ نمایه سازی: 30 خرداد 1400
چکیده مقاله:
This paper employs a multivariate dynamic conditional correlation GARCH model, which is developed by Engle (۲۰۰۱, ۲۰۰۲), to detect the timing and nature of changes in the comovement between Iranian output and prices for the periods after Iran–Iraq war , known as imposed war . The results showed that there is a weak correlation between output and prices after imposed war and varies periodically and changes from positive to negative after imposed war and changes from negative to positive again after ۲۰۰۹ crisis in Iran. We conclude that there is a contagion effect of the price index on output. The predominantly negative output-price co-movement suggests that the overall price level was typically countercyclical rather than procyclical. These findings imply the presence of aggregate supply versus aggregate demand shocks and sticky prices. Supply shocks are the main causes of stagflation. To solve the problem of stagflation, governments must adopt policies to push out the aggregate supply curve
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