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- Type of Document: M.Sc. Thesis
- Language: Farsi
- Document No: 47146 (44)
- University: Sharif University of Technology
- Department: Management and Economics
- Advisor(s): Nili, Masoud; Madanizadeh, Ali
- Abstract:
- The present study aims to calculate the core inflation percentage using a SVAR model. Core inflation which is defined in policy-making, includes that component of measured inflation that has no (medium- to) long-run impact on real output but rather includes monetary and demand shocks. To this end, the VAR model is defined with 4 endogenous variables, namely production, inflation, money supply and exchange rate in addition to 2 exogenous variables, which are dummy (due to attracting the uneven behavior of exchange rate) and energy prices. Core inflation is produced using the results of the model estimation and the monetary and demand shocks. The results show that the core inflation usually aligns the inflation but does not exactly match it. So core inflation can explain the inflation procedure by deleting the temporary fluctuations. Hence, core inflation reports a section of inflation which can be employed as the base for policy-making and prediction. In other words, when inflation is kept low by secondary factors, as in the 1380s, the core inflation is higher, then inflation jumps are observed in this period due to inflation accumulation. The policy result of this research shows that if inflation increases due to factors other than core inflation, like increased energy prices, it is expected that it returns to core inflation amount
- Keywords:
- Core Inflation ; Structural Vector Autoregressive (SVAR)Model ; Vector Autoregressive Model ; Inflation Jump
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