Volume 10, Issue 36 (6-2019)
jemr 2019, 10(36): 7-36 |
Back to browse issues page
Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:
Ebrahimi N, Pedram M, Mousavi M. Estimation of Core Inflation in Iran and Its Provinces Using Space State Model. jemr 2019; 10 (36) :7-36
URL: http://jemr.khu.ac.ir/article-1-1840-en.html
URL: http://jemr.khu.ac.ir/article-1-1840-en.html
1- Alzahra university
2- Alzahra university ,mehdipedram@alzahra.ac.ir
2- Alzahra university ,
Abstract: (4273 Views)
The inflation rate, which measured using consumer price index, can be separated into a combination of two persistent and temporary components. This separating is particularly important in analyzing inflation rate and policies to control it. In fact, without knowing the persistent component of inflation, called core inflation, quantitative targeting of inflation may not be accurate. Core inflation as a more persistent component can be measured stripping out the transitory movements in prices. The understanding of the behavior of the national core inflation rate series needs to understand provincial core inflation since the construction of the former is based on the provincial series. So, the purpose of this paper is the estimation of provincial and national core inflation in Iran. Core inflation is unobservable variable, so it estimated using Space State Model and Kalman Filter. Results show that average core inflation in all of the provinces, as well as Iran, is less than average underlying inflation. The standard deviation of core inflation in some provinces is more than underlying inflation. While core inflation in other provinces, as well as Iran, has more standard deviation as compared to underlying inflation.
Type of Study: Applicable |
Subject:
پولی و مالی
Received: 2019/04/23 | Accepted: 2019/09/1 | Published: 2019/09/24
Received: 2019/04/23 | Accepted: 2019/09/1 | Published: 2019/09/24
References
1. Abbasinejad, H., Komijan, A., Tayebnia, A., & Tashkini, A. (2010). Measuring Core Inflation in Iran (Statistical Approach). Journal of Economic Research, (3), 65-39. In Persian.
2. Apel, M., & Jansson, P. (1999). A parametric approach for estimating core inflation and interpreting the inflation process. Sveriges Riksbank.
3. Bashar, O. H. (2011). Measuring Core Inflation in Bangladesh: An Unobserved Components Approach. Indian Economic Review, 109-129.
4. Bermingham, C. (2010). A critical assessment of existing estimates of US core inflation. Journal of Macroeconomics, 32(4), 993-1007. [DOI:10.1016/j.jmacro.2010.05.003]
5. Bernanke, B. S., & Mishkin, F. S. (1997). Inflation targeting: a new framework for monetary policy?. Journal of Economic perspectives, 11(2), 97-116. [DOI:10.1257/jep.11.2.97]
6. Bryan, M. F., & Cecchetti, S. (1993). Measuring core inflation. NBER Working Paper, (4303). [DOI:10.3386/w4303]
7. Central Bank of Iran (CBI), Consumer Price Index. In Persian.
8. Clark, T. E. (2001). Comparing measures of core inflation. Economic Review-Federal Reserve Bank of Kansas City, 86(2), 5-32.
9. Das, A., John, J., & Singh, S. (2009). Measuring core inflation in India. Indian Economic Review, 247-273.
10. Du Plessis, S., du Rand, G., & Kotzé, K. (2015). Measuring Core Inflation in South Africa. South African Journal of Economics, 83(4), 527-548. [DOI:10.1111/saje.12090]
11. Eckstein, O. (1981). Core inflation. Prentice Hall.
12. Enders, W. (2008). Applied econometric time series. John Wiley & Sons.
13. Goyal, A., & Pujari, A. K. (2005). Analyzing Core Inflation in India: A Structural VAR Approach.
14. Hamilton, J. D. (1994). Time series analysis (Vol. 2, pp. 690-696). Princeton, NJ: Princeton university press.
15. Harvey, A. C. (1981). Time Series Models, Philip Allan.
16. Hylleberg, S., Engle, R. F., Granger, C. W., & Yoo, B. S. (1990). Seasonal integration and cointegration. Journal of econometrics, 44(1-2), 215-238. [DOI:10.1016/0304-4076(90)90080-D]
17. Kalra, S., & Dzung, B. T. T. (2018). Robust Measures of Core Inflation for Vietnam. Journal of Southeast Asian Economies, 35(2), 293-318. [DOI:10.1355/ae35-2k]
18. Karami, H., Bayat, S. (2013). Evaluating and Comparing the Methods of Measuring Core Inflation in Iran. Journal of Monetary & Banking Research, 6 (17), 83-117. In Persian.
19. Mazumder, S. (2014). The sacrifice ratio and core inflation. Journal of Macroeconomics, 40, 400-421. [DOI:10.1016/j.jmacro.2014.02.002]
20. Mishkin, F. S. (2001). Inflation targeting. An Encyclopedia of Macroeconomics, Edward Elgar, Northampton, Massachusetts.
21. Mishkin, F. S. (2007). Inflation dynamics. International Finance, 10(3), 317-334. [DOI:10.1111/j.1468-2362.2007.00205.x]
22. Nessén, M., & Söderström, U. (2001). Core inflation and monetary policy. International Finance, 4(3), 401-439. [DOI:10.1111/1468-2362.00080]
23. Owyang, M. T., Zubairy, S., & Durham, N. C. (2008). The Regional Variation in the Response to Government Spending Shocks. Federal Reserve Bank of St. Louis, Working Paper.
24. Quah, D., & Vahey, S. P. (1995). Measuring core inflation. The Economic Journal, 105(432), 1130-1144. [DOI:10.2307/2235408]
25. Rezaee, M. N., Mostafavi, M., & Cheshmi, A. (2016). Separating Core Inflation from Temporary Components in Iran Using Kalman Filter. Journal of Economic Research, 16 (60), 51-73. In Persian.
26. Rich, R. W., & Steindel, C. (2007). A comparison of measures of core inflation. Economic Policy Review, 13(3). [DOI:10.2139/ssrn.1072923]
27. Ridhwan, M. M. (2016). Inflation differentials, determinants, and convergence: Evidence from Indonesia subnational data. The Journal of Developing Areas, 50(5), 257-276. [DOI:10.1353/jda.2016.0030]
28. Ridhwan, M. M., de Groot, H. L., Rietveld, P., & Nijkamp, P. (2011). The regional impact of monetary policy in Indonesia, Growth and Change, 45(2), 240-262. [DOI:10.1111/grow.12045]
29. Sohaili, K., Fattahi, SH., & Khorsand, M. (2015). Evaluation of Iran's Fentral Bank Monetary Stategies in Respect to Output Gap and Inflation Deviations: Bootstrap Approach. Journal of Research in Economic Modeling, 6(21), 221-261. In Persian. [DOI:10.18869/acadpub.jemr.6.21.221]
30. Statistical Center of Iran (SCI), Regional Accounts. In Persian.
31. Stock, J. H., & Watson, M. W. (2016). Core inflation and trend inflation. Review of Economics and Statistics, 98(4), 770-784. [DOI:10.1162/REST_a_00608]
32. Tashkini A, Afzali H. (2011). The Optimal Method of Measuring Core Inflation: The Case of Iran. Journal of Economic Research and Policies, (59), 101-1028. In Persian.
33. Wilkinson, G. (2011). The behavior of consumer prices across provinces (No. 2011-2). Bank of Canada Discussion Paper.
34. Zobeiri H. (2017). Investigation the Effect of Exchange rate Gap of Official and Parallel Market on Inflation in Iran (Structural Time Series Approach). The Journal of Economic Modeling Research (JEMR), 7 (26), 167-192. In Persian [DOI:10.18869/acadpub.jemr.7.26.167]
Send email to the article author
| Rights and permissions | |
 | This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License. |
