Commodity prices and inflation: an application of structural VAR

被引：4

作者：

Shahrazi, Mahdi ^{[1
]}

Ghaderi, Saman ^{[2
]}

Sanginabadi, Bahram ^{[3
]}

机构：

[1] Golestan Univ, Fac Humanities & Social Sci, Dept Management, Gorgan, Golestan, Iran

[2] Univ Kurdistan, Fac Humanities & Social Sci, Dept Econ, Sanandaj, Iran

[3] Univ Hawaii Manoa, Econ Dept, Honolulu, HI 96822 USA

来源：

APPLIED ECONOMICS | 2023年 / 55卷 / 27期

关键词：

Commodity prices; inflation; structural vector autoregressive (SVAR) model; Iran; PASS-THROUGH; UNIT-ROOT; SHOCKS; VOLATILITY; RESPONSES; COUNTRY; DEMAND; RATES;

D O I：

10.1080/00036846.2022.2108753

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The potential influence of global commodity prices on consumer price inflation has been a concern of researchers and policymakers for decades. Even though a body of literature has investigated such connections, the results are mixed. This study uses a structural vector autoregressive (SVAR) model to investigate the impact of global commodity prices on Iran's inflation over the 2009:1-2018:11 period. We have included commodity price, exchange rate, and stock returns as explanatory variables in our model. Based on the findings of our long-run multiplier matrix the response of inflation to the commodity price shocks is positive and statistically significant. In other words, global commodity prices increase Iranian inflation. Also, the results suggest that the explanatory power of commodity price shocks in inflation fluctuations is higher than those of exchange rate and stock returns in the long run.

引用

页码：3110 / 3120

页数：11

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