Relationship between CPI and PPI Inflation in Iran: Does Inflation Anchored by Liquidity Growth or Exchange Rate Growth?

Document Type : Research Paper

Authors

1 Faculty of Economics, University of Tehran, Tehran, Iran.

2 Institute for Management and Planning Studies, Tehran, Iran.

Abstract

This study examines how exchange rate growth and liquidity growth impact the relationship between consumer price index “CPI” inflation and producer price index “PPI” inflation in Iran from 2005 to 2023, using monthly data. We employ continuous wavelet transformation to capture the dynamic relationship between CPI and PPI across different frequency bands. Additionally, we use a vector auto-regressive with exogenous variables model to validate our findings and utilized the Granger causality test. In this study, CPI and PPI indices are divided into three categories: CPI and PPI of goods, CPI and PPI of services, and total CPI and PPI, which is the weighted mean of the two priors. Our models are applied separately to each category of CPI and PPI inflation. The results indicate that the relationship between CPI inflation and PPI inflation for goods is stronger and more reliable than for services. Also, we demonstrate how liquidity growth and exchange rate growth contribute to inflation through demand-pull and cost-push mechanisms, respectively. Finally, we highlighted that this relationship is more dependent on exchange rate growth than liquidity growth, particularly in recent years. This indicates that inflation in Iran during the studied period is predominantly driven by cost-push factors rather than demand-pull forces.

Keywords

Main Subjects

Article Title [Persian]

رابطه بین تورم شاخص قیمت مصرف‌کننده و تورم شاخص قیمت تولیدکننده در ایران: آیا تورم با رشد نقدینگی لنگر شده است یا با رشد نرخ ارز؟

Authors [Persian]

  • محمدامین شجاعی نیا 1
  • احمد برکیش 2
  • ابوالمحسن والی زاده 2
1 دانشکده اقتصاد، دانشگاه تهران، تهران، ایران.
2 موسسه عالی آموزش و پژوهش، مدیریت و برنامه‌ریزی، تهران، ایران.
Abstract [Persian]

در دو دهه اخیر مهمترین سوالی که اذهان اقتصاددانان را درگیر کرده است؛ رابطه سه گانه تورم، رشد نرخ ارز و رشد نقدینگی است. برای پاسخ به این سوال در این پژوهش میزان توضیح دهندگی تورم شاخص قیمت مصرف‌کننده (CPI) و تورم شاخص قیمت تولیدکننده (PPI) توسط رشد نرخ ارز و رشد نقدینگی در ایران طی سال‌های 1383 تا 1401 در فرکانس ماهانه بررسی شده است. بدین منظور با استفاده از تبدیل موجک پیوسته(CWT)، رابطه پویا بین این دو شاخص در باندهای فرکانسی مختلف تحلیل شده و سپس اثر رشد نرخ ارز و رشد نقدینگی بر آن کنترل شده است. همچنین به‌منظور اعتبارسنجی یافته‌ها، از مدل خودرگرسیونی برداری با متغیرهای برون‌زا (VARX) و آزمون علیت گرنجر استفاده شده است. شاخص قیمت مصرف‌کننده و قیمت تولیدکننده در سه دسته مجزای کالاها، خدمات و کل (میانگین موزون دو مورد اول) بررسی شده‌اند. نتایج نشان می‌دهد که ارتباط بین تورم شاخص قیمت مصرف‌کننده و تورم قیمت تولیدکننده در بخش کالاها قوی‌تر از بخش خدمات است. همچنین، رشد نقدینگی و رشد نرخ ارز از طریق مکانیسم‌های تحریک تقاضا و فشار هزینه بر تورم تأثیر می‌گذارند. در نهایت، یافته‌ها حاکی از آن است که در سال‌های اخیر، رشد نرخ ارز نقش غالب‌تری نسبت به رشد نقدینگی در شکل‌گیری تورم داشته است، که نشان‌دهنده تأثیر بیشتر عوامل فشار هزینه بر تورم در این دوره است.

Keywords [Persian]

  • تورم شاخص قیمت مصرف کننده
  • تورم شاخص قیمت تولیدکننده
  • رشد نرخ ارز
  • رشد نقدینگی
  • تحلیل موجک پیوسته

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History

  • Receive Date: 05 January 2025
  • Revise Date: 06 February 2025
  • Accept Date: 07 February 2025

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