Spillover Fluctuations between Inflation and Un(employment) Concerning Different Macroeconomic Sectors in Iran

Document Type: Research Paper

Authors

1 Department of Economics, Semnan University, Semnan, Iran.

2 Department of Economics, Semnan University, Semnan, Iran

Abstract

The main objective of this study is to analyze spillover fluctuations between inflation fluctuation and (un)employment fluctuation in relation to agriculture, industry and services sectors of Iran. In line with this, PANEL in Mean-MGARCH model has been used concerning Iran’s agriculture, industry and services sectors over the period of time from spring 2002 to winter 2016. The results show that inflation fluctuations in each sector would spillover into the next period of all agriculture, industry and services sectors. (Un)employment fluctuations in each sector do not spillover into the next period of that sector or other sectors. The inflation and un(employment) fluctuations (conditional covariance) in each sector spillover into the joint inflation and un(employment) fluctuations of that sector and the other sectors.

Keywords


Article Title [Persian]

سرریز نوسانات بین تورم و بیکاری با توجه به بخش های مختلف اقتصادکلان در ایران

Authors [Persian]

  • اسمعیل ابونوری 1
  • جمال مومیوند 2
1 گروه اقتصاد، دانشگاه سمنان، سمنان، ایران.
2 گروه اقتصاد، دانشگاه سمنان، سمنان، ایران.
Abstract [Persian]

هدف اصلی مطالعه حاضر تحلیل سرریز نوسانات بین تورم و بیکاری(اشتغال) با توجه به بخش های کشاورزی، صنعت و خدمات در ایران بوده است. برای این منظور از الگوی گارچ در میانگین پانلی (Panel Mean in MGARCH) و داده های بخش های کشاورزی، صنعت و خدمات در دوره پاییز 2002 تا زمستان 2016 استفاده کرده ایم. نتایج نشان می دهد که نوسانات تورم در هر بخش بر بخش های کشاورزی، صنعت و خدمات در دوره بعد سرریز می شود. اما نوسانات بیکاری(اشتغال) در هر بخش بر نوسانات همان بخش یا سایر بخش ها در دوره بعد سرریز نمی شود. همچنین نوسانات مشترک تورم و بیکاری (کوواریانس شرطی) در هر بخش بر نوسانات مشترک تورم و بیکاری همان بخش و سایر بخش ها سرریز می شود.

Keywords [Persian]

  • تورم
  • بیکاری
  • الگوی گارچ در میانگین پانلی
  • ایران
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