Inflation Determinants in Low and High Frequencies: An Implication of Spectral Analysis to Iran

Seyed Komail Tayebi (), Khaled Mohammad Amini () and Zahra Zamani ()
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Seyed Komail Tayebi : University of Isfahan

Journal of Money and Economy, 2012, vol. 7, issue 1, 119-137

Abstract: There is no evidence that previous studies, available to Iran's inflation literature, have used spectral methodology to analyze a possible relationship between inflation and its main determinants within a specific period. Accordingly, the present study investigates the effects of money growth, real output growth, output gap and interest rate changes on inflation at low and high frequencies by using seasonal data, Engle' s spectral estimator and Newey-West corrected standard errors over 1974-2006. The results indicate that money growth, output growth and output gap are significant determinants affecting inflation at low frequencies. In addition, at high frequencies, except for money growth, output growth, output gap and interest rate changes have significant and expected effects on inflation in Iran.

Keywords: Inflation; Spectral analysis; Low and High Frequencies (search for similar items in EconPapers)
JEL-codes: C20 E31 (search for similar items in EconPapers)
Date: 2012
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