نوع مقاله : مقاله پژوهشی
نویسندگان
گروه اقتصاد، دانشگاه سمنان، سمنان، ایران.
چکیده
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.
کلیدواژهها
References
Alogoskoufis, G., & Smith, R. (1991). The Phillips Curve: The persistence of inflation and the Lucas critique: Evidence from exchange-rate regime. American Economic Review, 81,1254-1275.
Altavilla, C., & Ciccarelli, M. (2010). Inflation forecasts, monetary policy and unemployment dynamics: Evidence from the US and the Euro Area. Economic Modelling, 27, 237–253.
Bhattarai, K. (2016). Unemployment inflation trade-off in OECD countries. Economic Modelling, 58, 98-113.
Blanchard, O. (2016). Phillips Curve: Back to the 60s. American Economic Review, https://www.aeaweb.org/webcasts/2016/Economy.php
Bollerslev, T., Ray, Y., & Kenneth, F. (1992). ARCH modeling in Finance: A review of the theory and empirical evidence. Journal of Econometrics, 52, 5-59.
Brunner, K., Meltzer, A., & Mcguire, G. (1976). The Phillips Curve and labor markets. Carnegie- Rochester Conferences in Public Policy, North Holland, Amsterdam.
Cermeno, R., & Grier, K. (2001). Modeling GARCH processes in panel data: Theory, simulations and examples. Working Paper, 3, Department of Economics, University of Oklahoma, Norman.
Cermeno, R., & Grier, K. (2006). Conditional heteroscedasticity and cross-sectional dependence in panel data: An empirical study of inflation uncertainty in the G7 countries. Contributions to Economic Analysis, 274, 259 – 277.
Cermeno, R., & Eugenia, S. (2015). Are flexible exchange rate regimes more volatile? Panel GARCH evidence for the G7 and Latin America. Review of Development Economics, 19(2), 297–308.
Cermeno, R., Pires, P., & Curto, P. (2017). Sovereign bond markets and financial volatility dynamics: Panel-GARCH evidence for six Euro area countries. Finance Research Letters, 21,107–114.
Christiano, L. J., & Fitzgerald, T. J. (2003). The band-pass filter, International Economic Review, 44, 435–465.
Donayre, L., & Panovska, I. (2018). U.S. wage growth and nonlinearities: The roles of inflation and unemployment. Economic Modelling, 68, 273-292.
Engle, R. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987-1007.
Erfani, A., Samiei, N., & Sadeghi, F. (2016).Estimating the hybrid New Keynesian Phillips Curve for economy of Iran.The Economic Research, 16 (1), 95-119.
Fisher, S. (1977). Long-term contracts, rational expectations, and the optimal money supply rule. Journal of Political Economy, 85, 191–205.
Friedman, M. (1968). The Role of monetary policy. American Economic Review, 58, 1-17.
Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46, 1351- 1371.
Holden, S. (2005). Monetary regimes and the co-ordination of wage setting. European Economic Review, 49, 833–843.
Hosseini, S. & Gholizadeh, H. (2010). Review of inflation and unemployment in Iranian economy. Iranian Journal of Economic Research, 43, 23-54.
Islam, F., Hassan, K., Mustafa, M., & Rahman, M. (2003). The empirics of U.S. Phillips Curve: A revisit. American Business Review, 20(1), 107-112.
Islam, F., Shahbaz, M., & Shabbir, M. S. (2011). Phillips curve in a small open economy: A time series. Exploration of North Cyprus, 2, 83-97.
Keshavarz Haddad, Gh., & Babaei, A. (2011). Modeling the turbulence of cash outputs in Tehran Stock Exchange using panel data and the GARCH model. Financial Research Journal, 13, 31-79.
King, R. G., & Watson, M. W. (1994). The Postwar U.S. Phillips Curve: A revisionist econometric history. Carnegie-Rochester Conference Series on Public Policy, 41, 157-219.
King, R. G., & Watson, M. (1997). Testing long-run neutrality. Federal Reserve Bank Richmond Economy, 83, 69–101.
Layard, R., & Nickell, S. (1986). Unemployment in Britain. Economica, 53, 121–169.
Layard, R. & Nickell, S., (1990). Is unemployment lower if unions bargain over employment? Quarterly Journal of Economics, 3, 773–787.
Lee, L. (2010). The link between output growth and volatility: Evidence from a GARCH model with panel data. Economics Letters, 106, 143 -145.
Lucas, R. E. (1973). Some international evidence on output inflation trade-offs. American Economic Review, 63 (3), 326–334.
Lucas, R. E. (1976). Econometric policy evaluation: A critique. Carnegie-Rochester Conference Series on Public Policy, 1, 19-46.
Lucas, R. E., & Rapping, L. A. (1969). Real wages, employment and inflation. Journal of Political Economy, 77(5), 721–754.
Mohammadi, T., Abounori, A., & Mohammadnejad, R. (2015). The causal analysis of relationship between inflation rate and unemployment in Iran (the case study of Philips curve). Journal of Management System (Financial Economic and Development), 30, 29-46.
Mortensen, D. T., & Pessaries, C. A. (1994). Job creation and job destruction in the theory of unemployment. Review of Economic Studies, 61 (3), 397–415.
Mohseni, M., & Jouzaryan, F. (2016). Examining the effects of inflation and unemployment on economic growth in Iran (1996-2012). Procedia Economics and Finance, 36, 381 – 389.
Orrenius, P., & Kumar, A. (2016). A closer look at the Phillips curve using state-level data. Journal of Macroeconomics, 47, 84-102.
Pesaran, H., Yongcheol, S., & Richard, J. (2000). Structural analysis of vector error correction models with exogenous I (1) variables. Journal of Econometrics, 97, 293-343.
Phelps, E. S. (1967). Phillips curve, expectation of inflation, and optimal inflation over time. Economica, 34, 254-281.
Phelps, E. S. (1968). Money-wage dynamics and labor-market equilibrium. Journal of Political Economy, 76, 678–710.
Phillips, A. W. (1958). The relationship between unemployment and the rate of change of money wage rates in the United Kingdom. Economica, 25, 258-299.
Rahmani, T., & Amiri, H. (2011). Estimation of New Phillips Keynesian Curve in Iran using coagulation approaches and VAR. Journal of Economic Research and Policy, 59, 81- 100.
Rahmani, T., Amiri. H., & Rafaee, M. (2012). Extracting the New Phillips Keynesian Curve and analyzing pricing models. Journal of Economic Modeling, 3, 1-20
Rezaiefar, R., Zare, M., & Mohammadi, R. (2015). The Study of the relationship between inflation and unemployment in rural areas of Iran: The application of Philips curriculum of New Classics. Quarterly Journal of Economic Development Research, 17, 63-82.
Safdari, H., Hosseiny, A., Farahani, V., & Jafari, G. R. (2016). A picture for the coupling of unemployment and inflation. Physica, 444, 744-750.
Samuelson, P. A. & Solow, R. M. (1960). Analytical aspect of anti-inflation policy. American Economic Review, 50(2), 177-194.
Sargent, T. J., & Wallace, N. (1975). Rational expectations, the optimal monetary instrument, and the optimal money supply rule. Journal of Political Economy, 83 (2), 241–254.
Sorensen, J. (1991). Political uncertainty and macroeconomic performance. Economics Letters, 37, 377–381.
Svensson, L. E. O. (1997). Inflation forecast targeting: Implementing and monitoring inflation targets. European Economic Review, 41 (6), 1111–1146.
Tobin, J. (1972). Inflation and unemployment. American Economic Review, 62 (1), 1–18.
Vonhagen, J., & Hofmann, B. (2004). Macroeconomic implications of low inflation in the euro area. North American Journal of Economics and Finance, 15, 5–2.
)