A Study of Relation Between Macroeconomic Variables and Inflation Rate in Iran Using Wavelet Coherency, MODWT Wavelet and Granger Causality Method

Document Type : Research Article

Authors

1 PhD Student of Economics, Department of Economics, Faculty of Economics and Social Sciences, Shahid Chamran University of Ahvaz, Ahvaz, Iran

2 Professor, Department of Economics, Faculty of Economics and Social Sciences, Shahid Chamran University of Ahvaz, Ahvaz, Iran

3 Associate Professor, Department of Economics, Faculty of Economics and Social Sciences, Shahid Chamran University of Ahvaz, Ahvaz, Iran

4 Associate Professor, Department of Economics, Faculty of Economics and Social Sciences, Shahid Chamran University of Ahvaz, Ahvaz, Iran Ahvaz, Ahvaz, Iran.

https://dx.doi.org/10.22084/aes.2022.26524.3481

Abstract

Abstract
Examining Iran’s economic developments over the past five decades shows that Iran’s economy has always had a high inflation rate. Therefore, it is very important to investigate the factors affecting inflation in the country. The purpose of this research is to investigate the relationship between macroeconomic variables including liquidity, monetary base, oil revenues, budget deficit, economic growth and inflation rate in Iran in the period of 1991-2020. For this purpose, the combination of two approaches of maximum overlap discrete wavelet- Granger causality and wavelet coherence based on the continuous wavelet approach has been used. The advantage of using the wavelet approach is that it allows the analysis of variables in two dimensions of time and frequency. The results of the analysis of both approaches showed that in the short term, oil revenues increase inflation. The results of the long-term research showed that the inflation rate increases the growth of liquidity. Finally, in the long term, oil revenues have been the cause of inflation, and in the short term, the inflation rate has been a factor affecting the growth rate of the budget deficit. Analyzing the phase difference in the time series of economic growth and inflation shows that in the long-term economic growth with oil and inflation are out of phase. In other words, economic growth with oil and inflation does not move in the same direction.

Keywords

Main Subjects

References

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Journal of Applied Economics Studies in Iran
Volume 13, Issue 49
May 2024
Pages 9-40

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