Document Type : Research Paper

Authors

1 Department of Economics, Economic affairs research institute, Tehran. Iran.

2 Department of Economics, Payame Noor University (PNU), Tehran, Iran.

10.22099/ijes.2023.44948.1870

Abstract

the relationship between oil revenue, exchange rate, and M2 on the CPI and PPI, over time of 2005:1-2022:1, was investigated in Iran with QARDL method used. The results showed that, in the short run, all the variables had an asymmetric effect on the CPI and the PPI. oil revenues, in the long run, from the quantile of 0.05 to the median, the impact of the variable on the inflation would be increased, and then its impact would be decreased. also, in the long run, the effect of the increase on the PPI is greater than the consumer price index. In the long run, the effect of exchange rates on the CPI and the PPI was nonlinear while being symmetric. because from the quantile of 0.2 to 0.8, its effect proportionally increased and then decreased. also, regarding the M2, the results showed that this variable on the CPI and the PPI had an asymmetric effect, in the short run. in this way, from the middle quantile to the quantile of 0.9, its effect was positive and significant, and in the long run, the results confirmed its positive effect on inflation in all quantiles; although, its effect on the PPI was asymmetric.

Keywords

Main Subjects

Article Title [Persian]

شواهدی جدید از اثر درآمدهای نفتی، نرخ ارز و حجم نقدینگی بر CPI و PPI: رهیافت ARDL مبتنی بر چندک

Authors [Persian]

  • روزبه بالونژادنوری 1
  • امیرعلی فرهنگ 2

1 گروه اقتصاد، پژوهشکده امور اقتصادی، تهران، ایران.

2 گروه اقتصاد، دانشگاه پیام نور، تهران، ایران.

Abstract [Persian]

رابطه بین درآمد نفتی، نرخ ارز و M2 بر شاخص‌های قیمت مصرف‌کننده و شاخص مصرف‌کننده، طی سال‌های 2005:1-2022:1، در ایران با استفاده از روش QARDL بررسی شد. نتایج نشان داد که در کوتاه‌مدت تمامی متغیرها تأثیر نامتقارن بر CPI و PPI داشتند. درآمدهای نفتی در بلندمدت از چندک 5/. تا میانه، تأثیر متغیر بر تورم افزایش یافته و سپس تأثیر آن کاهش می‌یابد. همچنین در بلندمدت اثر افزایش بر PPI بیشتر از شاخص قیمت مصرف کننده است. در بلندمدت، اثر نرخ ارز بر شاخص‌های قیمت مصرف‌کننده و PPI، در عین متقارن بودن، غیرخطی بود. زیرا از چندک 0.2 تا 0.8 اثر آن به نسبت افزایش و سپس کاهش یافت. همچنین در مورد M2، نتایج نشان داد که این متغیر بر CPI و PPI در کوتاه مدت اثر نامتقارن دارد. به این ترتیب که از چندک میانی تا چندک 9/. اثر آن مثبت و معنادار بود و در بلندمدت نیز نتایج حاکی از تأثیر مثبت آن بر تورم در تمامی چندک‌ها بود. اگرچه، اثر آن بر PPI نامتقارن بود.

Keywords [Persian]

  • قیمت نفت
  • نرخ ارز
  • CPI
  • PPI
  • QARDL
Abbass, K., Sharif, A., Song, H., Tayyab Ali, M., Khan, F., & Amin, N. (2022).
Do geopolitical oil price risk, global macroeconomic fundamentals relate
Islamic and conventional stock market? Empirical evidence from QARDL
approach, Resources Policy, 77, 1-19.
Alizadeh Kolagar, S.G., Esnaashari Amiri, A., Pourghorban, M.R. & Ehsanfar,
M.H. (2021). The Effect of Liquidity Volume on Inflation in Iran with Time
varying Parameter Model Approach. Quarterly Journal of Quantitative
Economics, 12(2), 1-23.
Altunöz, U. (2022). The nonlinear and asymmetric pass‐through effect of crude
oil prices on inflation. OPEC Energy Review, 46(1), 31-46.
Anderl, C., & Caporale, G. M. (2023). Nonlinearities in the exchange rate passthrough: The role of inflation expectations. International Economics, 173,
86-101.
Anwar, A., Sharif, A., Fatima, S., Ahmad, P., Sinha, A., Rehman Khan, S.A., &
Jermsittiparsert, K. (2021). The asymmetric effect of public private
partnership investment on transport CO2 emission in China: Evidence from
quantile ARDL approach. Journal of Cleaner Production, 288, 1-15.
Atrkar Roshan, S. (2014). Inflation and Money supply growth in Iran: Empirical
Evidences from Cointegration and Causality. Iranian Economic Review,
18(1), 131-152.
Barakchian,S,M, Barkish,A & Valizadeh,M. (2021). Exchange rate pass-through
in Iran: Exchange rate effects on the consumer price index, Journal of
Economic Research and Policies, 28(96), 33-64.
Camilleri,S.J., Grima,L., & Grima,S. (2019). The effect of dividend policy on
share price volatility: an analysis of Mediterranean banks’ stocks,
Managerial Finance, 45 (2), 348-364, https://doi.org/10.1108/MF-11-2017-
0451
Castro, C., Jiménez-Rodríguez, R., Poncela, P., & Senra, E. (2017). A new look
at oil price pass-through into inflation: evidence from disaggregated
European data. Economia Politica, 34(1), 55-82.
Chen, J., & Zhu, X. (2021). The effects of different types of oil price shocks on
industrial PPI: evidence from 36 sub-industries in China. Emerging Markets
Finance and Trade, 57(12), 3411-3434.
Cho, J. S., Kim, T. H., & Shin, Y. (2015). Quantile cointegration in the
autoregressive distributed-lag modeling framework. Journal of
Econometrics, 188(1), 281-300.
Choi, S., Furceri, D., Loungani, P., Mishra, S., & Poplawski-Ribeiro, M. (2018).
Oil price and inflation dynamics: evidence from advanced and developing
economies. J. Int. Money Finance, 82, 71–96.
Cyrille, S. M., & Christophe, M. (2022). The endogenous money hypothesis:
Empirical evidence from the CEMAC area (1990–2017). Journal of Post
Keynesian Economics, 45(1), 73-99.
Balounejad Nouri et al., Iranian Journal of Economic Studies, 11(1) 2022, 103-120 117
Davidson, P. (2006). Exogenous versus endogenous money: the conceptual
foundations. Complexity, Endogenous Money and Macroeconomic Theory,
Cheltenham and Northampton: Edward Elgar, 141-149.
Deka, A., & Dube, S. (2021). Analyzing the causal relationship between exchange
rate, renewable energy and inflation of Mexico (1990–2019) with ARDL
bounds test approach. Renewable Energy Focus, 37, 78-83.
Deka, A., Cavusoglu, B., & Dube, S. (2022). Does renewable energy use enhance
exchange rate appreciation and stable rate of inflation?. Environmental
Science and Pollution Research, 29(10), 14185-14194.
Dornbusch, R. (1987). Collapsing exchange rate regimes. Journal of Development
Economics, 27(1-2), 71-83.
Edelstein, P., & Kilian, L. (2009). How sensitive are consumer expenditures to
retail energy prices? Journal of Monetary Economics, 56(6), 766-779.
Eita, J. H., Manuel, V., Naimhwaka, E., & Nakusera, F. (2021). The Impact of
Fiscal Deficit on Inflation in Namibia. Journal of central banking theory and
practice, 1, 141-164.
Fenghua Wen, F., Zhang, K., & Gong, X., (2021). The effects of oil price shocks
on inflation in the G7 countries. The North American Journal of Economics
and Finance, 57, 1-15.
Friedman, M. (1970). A theoretical framework for monetary analysis. journal of
Political Economy, 78(2), 193-238.
Garzon, A.J., Hierro, L.A., Recio, H., & Angel, L. (2022). Inflation,oil prices and
exchange rates. The Euro’s dampening effect.Journal of Policy Modeling, in
press.
Garzon, A.J., Luis, A., & Hierro, L.A. (2021). Asymmetries in the transmission
of oil price shocks to inflation in the eurozone. Economic Modelling, 105, 1-
22.
Goldberg, L. S., & Campa, J. M. (2010). The sensitivity of the CPI to exchange
rates: Distribution margins, imported inputs, and trade exposure. The Review
of Economics and Statistics, 92(2), 392-407.
Hammoudeh, S., Mensi, W., & Cho, J. S. (2022). Spillovers between exchange
rate pressure and CDS bid-ask spreads, reserve assets and oil prices using the
quantile ARDL model.International Economics, 170, 66-78.
Hashemi,F, Hosseini ,S,Sh, Kiani,H & Farzin,M,R. (2021). Investigating the
Relationship between Inflation and Exchange Rate by Considering the
Foreign Exchange Market Pressure Index and the Degree of Intervention of
the Central Bank, Journal of Econimic Studies and Policies, 7(2), 239-266.
He, Q. (2012). Empirical Research on the Relationship between Chinese Inflation
Level and Macroeconomic Variables. In Advances in Electronic Commerce,
Web Application and Communication, 148, 375-382
Helmy, O., Fayed, M., & Hussien, K. (2018). Exchange rate pass-through to
inflation in Egypt: a structural VAR approach. Review of Economics and
political science. Science Emerald Publishing Limited, 3 (2), 1-18.
118 Balounejad Nouri et al., Iranian Journal of Economic Studies, 11(1) 2022, 103-120
Hoang, T., Thi, V., & Minh, H. (2020). The impact of exchange rate on inflation
and economic growth in Vietnam. Management Science Letters, 10(5), 1051-
1060.
Husaini, D. H., & Lean, H. H. (2021). Asymmetric impact of oil price and
exchange rate on disaggregation price inflation. Resources Policy, 73,
102175.
Husaini, D.H., Puah, C.H., & Lean, H.H. (2019a). Energy subsidy and oil price,
and price behavior. Energy, 171, 1000–1008.
Ibrahim, M. H., & Said, R. (2012). Disaggregated consumer prices and oil price
pass‐through: evidence from Malaysia. China agricultural economic review,
5(1), 285 – 295.
Jiang, Ch., Zhang, Y., Kamran, H.W., & Afshan, S. (2021). Understanding the
dynamics of the resource curse and financial development in China? A novel
evidence based on QARDL model. Resources Policy, 72, 1-20.
Karantininis, K., Kostas, K., & Persson, M. (2011). Price transmission in the
Swedishpork chain: Asymmetric nonlinear ARDL. Paper Presented at the
EAAE 2011Congress: Challenges and Uncertainty.
King, M. (2002). No money, no inflation–the role of money in the economy.
Central Banking, Monetary Theory and Practice: Essays in Honor of Charles
Goodhart-Volume One. Edward Elgar Publishing Limited, 1, p.62.
Koenker, R. (2004). Quantile regression for longitudinal data. Journal of
Multivariate Analysis, 91, 74-89.
Koenker, R., & Bassett, G. (1978). Regression Quantile. Econometrica, 46, 33-
49.
Koenker, R., & Hallock, K. F. (2001). Quantile regression. Journal of economic
perspectives, 15(4), 143-156.
Koondhar, M.A., Aziz, N., Tan, Zh., Yang, Sh., Abbasi, K.R., & Kong, R. (2021).
Green growth of cereal food production under the constraints of agricultural
carbon emissions: A new insights from ARDL and VECM models.
Sustainable Energy Technologies and Assessments, 47, 1-19.
Lacheheb, M., & Sirag, A. (2019). Oil price and inflation in Algeria: A nonlinear
ARDL approach. The Quarterly Review of Economics and Finance, 73, 217-
222.
Lardic, S. & Mignon, V. (2008). Oil prices and economic activity: An asymmetric
co integration approach, Energy Economics, 30(3), 847-855.
Lee, C. W., & Yu, H. Y. (2021). Money supply, inflation and economic growth
in China: An ARDL bounds testing approach. Journal of Applied Finance
and Banking, 11(1), 73-80.
Liu, H. Y., & Chen, X. L. (2017). The imported price, inflation and exchange rate
pass-through in China. Cogent Economics Finance, 5(1), 1-18.
Long, S., & Liang, J. (2018). Asymmetric and nonlinear pass-through of global
crude oil price to China’s PPI and CPI inflation. Economic researchEkonomska istraživanja, 31(1), 240-251.
Balounejad Nouri et al., Iranian Journal of Economic Studies, 11(1) 2022, 103-120 119
Mahdavi Adeli,M, Ghezalbash,A & Daneshnia,M. (2012). The Effect of Oil
Price Changes on Some of the Main Iranian Macroeconomic Variables,
Journal of Iranian Energy Economics, 1(3), 131.
McCandless, G.T. & Weber, W.E. (1995). Some monetary facts. Federal Reserve
Bank of Minneapolis Quarterly Review, 19(3), 2-11.
Mohammadipour,A, Salmanpour Znouz ,A & Fakhrhosseini,S,F (2020). The
Effect of Shocks in Monetary Base and Government Oil Revenues on the
Iranian Economy Using Dynamic Stochastic General Equilibrium Model,
Journal of Economic Growth and Development Research, 10(39), 93-112.
Nguyen, V.B. (2015). Effects of fiscal deficit and money M2 supply on inflation:
Evidence from selected economies of Asia, Journal of Economics, Finance
and Administrative Science, 20(38), 49-53,
Özen, E., Özdemir, L., & Grima, S. (2020). The Relationship between the
Exchange Rate, Interest Rate and Inflation: The Case of Turkey1. Scientific
Annals of Economics and Business, 67(2), 259-275.
Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the
analysis of level relationships. Journal of applied econometrics, 16(3), 289-
326.
Prasertnukul, W., Kim, D., & Kakinada, M. (2010). Exchange rates, price levels,
and inflation targeting: Evidence from Asian countries. Japan and the World
Economy, 22(3), 173-182.
Rosnawintang, R., Tajuddin, T., Adam, P., & Pasrun, Y. P. (2021). Effects of
crude oil prices volatility, the internet and inflation on economic growth in
ASEAN-5 countries: A panel autoregressive distributed lag approach.
International Journal of Energy Economics and Policy, 11(1), 15.
Ryczkowski, M. (2021). Money and inflation in inflation-targeting regimes–new
evidence from time–frequency analysis. Journal of Applied Economics,
24(1), 17-44.
Salah, A., Nusair, S.A., & Olson, D. (2022). Dynamic relationship between
exchange rates and stock prices for the G7 countries: A nonlinear ARDL
approach. Journal of International Financial Markets, Institutions and
Money, 78, 1-24.
Sek, S. K. (2022). A new look at asymmetric effect of oil price changes on
inflation: Evidence from Malaysia. Energy & Environment,
0958305X221077336.
Sek, S. K., Teo, X. Q., & Wong, Y. N. (2015). A comparative study on the effects
of oil price changes on inflation. Procedia Economics and Finance, 26, 630-
636.
Sek, S.K. (2017). Impact of oil price changes on domestic price inflation at
disaggregated levels: Evidence from linear and nonlinear ARDL modeling.
Energy, 130, 204-217
Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric
cointegration and dynamic multipliers in a nonlinear ARDL framework.
120 Balounejad Nouri et al., Iranian Journal of Economic Studies, 11(1) 2022, 103-120
In Festschrift in honor of Peter Schmidt (pp. 281-314). Springer, New York,
NY.
Tahsili ,H. (2022). The Impact of Exchange Rate Shock on Inflation in Iran's
Economy: Application of the Threshold Vector Autoregression Model,
Iranian Journal of Economic Research, 27(91), 257-285.
Thompson, A., & Thompson, H. (2021). Six decades of inflation and money
demand. Journal of Economics and Finance, 45(2), 240-251.
Usupbeyli, A., & Ucak, S. (2020). The effects of exchange rates on CPI and PPI.
Business and Economics Research Journal, 11(2), 323-334.
Walsh, C. (2003). Speed limit policies: the output gap and optimal monetary
policy. American Economic Review, 93(1), pp.265-278.
Wen, F., Zhang, K., & Gong, X. (2021). The effects of oil price shocks on inflation
in the G7 countries. The North American Journal of Economics and Finance,
57, 101391.
Widarjono, A. (2019). Asymmetric oil price pass-through to disaggregate
consumer prices in emerging market: Evidence from Indonesia. International
Journal of Energy Economics and Policy, 2019, 9(6), 310-317 .
Zafar, S., & Khan, M. A. (2022). Global Oil Prices and Exchange Rate: Evidence
from the Monetary Model. The Journal of Asian Finance, Economics and
Business, 9(1), 189-201.
Zakaria, M., Khiam, SH., & Mahmood, H.,2021. Influence of oil prices on
inflation in South Asia: Some new evidence. Resources Policy, 71, 1-18.
Zhu, D. (2021). Challenges of Milton Friedman’s Contributions: A Perspective of
Behavioral Economics. European Journal of Business and Management
Research, 6(5), 1-3.