نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشکده اقتصاد و علوم اداری، دانشگاه فردوسی مشهد، مشهد، ایران.
2 دانشکده مدیریت و اقتصاد، دانشگاه تربیت مدرس، تهران، ایران.
3 گروه اقتصاد نظری، دانشکده علوم اقتصادی و اداری، دانشگاه مازندران، بابلسر، ایران.
چکیده
کلیدواژه‌ها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
In the present study, the transferring and receiving, as well as the causal relationship of volatilities transmission according to the time-frequency across exchange rate, inflation, and budget deficit in the period of 2006:03-2019:02 (1385:01-1397:12) with a Monthly basis, is investigated using time-varying parameters vector autoregression model in different time-frequencies. The results showed that the main factor in the formation of volatilities in the government budget deficit as well as inflation is the exchange rate, especially if the exchange rate volatilities are long-term, the transmission of volatilities, and the net effect of the exchange rate on inflation and budget deficit increases. In addition, if exchange rate volatilities continue and lead to inflation and volatilities of government budget deficit, in the medium term, budget deficit volatilities will create the basis for transferring volatilities to the exchange rate, and with the increase of exchange rate volatilities, inflation will be volatile in the long term intensively. Therefore, the control of exchange rate volatilities in the short term will prevent the increase of inflation and the government budget deficits volatilities, and if the policymaker does not consider this important, in the medium term, the exchange rate will volatile again through the channel of the government budget deficit, and subsequently, the volatilities will be transferred to inflation in the long run severely.
کلیدواژه‌ها [English]
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