شواهدی جدید از رابطه میان رشد پول، تورم و رشد اقتصادی در ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار گروه اقتصاد، پژوهشکده امور اقتصادی، تهران، ایران

2 دکتری علوم اقتصادی، پژوهشگر پژوهشکده امور اقتصادی، تهران، ایران.

چکیده

در پژوهش حاضر به منظور بررسی رابطه میان متغیرهای رشد پول، رشد اقتصادی و نرخ تورم از آزمون علّیت کوانتایل و داده‌های فصلی مربوط به اقتصاد ایران در بازه زمانی 1383:1-1401:2 استفاده شده است. نتایج بدست آمده نشان می‌دهد که در مجموع کوانتایل‌ها، رابطه علّیت دو طرفه میان رشد اقتصادی و تورم وجود دارد. در خصوص رابطه علّیت میان نقدینگی و رشد اقتصادی نیز نتایج نشان می‌دهد که در مجموع کوانتایل‌ها، یک رابطه علّیت یک طرفه میان این دو متغیر وجود دارد؛ به این صورت که این رابطه از نقدینگی به رشد اقتصادی است. همچنین اثر رشد نقدینگی بر رشد اقتصادی در اغلب کوانتایل‌ها به صورت منفی است. به این مفهوم که افزایش رشد نقدینگی باعث کاهش رشد اقتصادی می‌شود. به بیان دیگر شواهد نشان می‌دهد در اقتصاد ایران نگرانی از افزایش نرخ تورم در شرایط ایجاد رشد اقتصادی مشکل قابل توجهی محسوب نمی‌شود. در خصوص بررسی رابطه علّیت میان نقدینگی و تورم نیز نتایج نشان می‌دهد که در مجموع کوانتایل‌ها یک رابطه یک طرفه از حجم نقدینگی به تورم بر قرار است. در خصوص جهت علّیت نیز نتایج نشان می‌دهد که اثر نقدینگی بر تورم به صورت نامتقارن و غیر خطی است. نتایج در خصوص اثر تورم بر رشد نقدینگی نیز به صورت کلی مثبت است. این موضوع تایید‌کننده افزایش نیاز به نقدینگی اقتصاد در شرایط افزایش تورم است.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

New Evidence of the Relationship Between Money Growth, Inflation and Economic Growth in Iran

نویسندگان [English]

  • Roozbeh Balounejad Nouri 1
  • Mozhgan Rafat Milani 2
1 Assistant Professor, Economic Affairs Research Institute, Tehran, Iran.
2 PhD in Economics, Researcher in Economic Affairs Research Institute, Tehran, Iran.
چکیده [English]

Extended Abstract
Purpose: In the literature of macroeconomics and Iranian economy, there is a significant relationship expected to be among economic growth, money supply and inflation. However, regarding the manner and the direction of the causal relationship among these economic variables, various opinions have been expressed, but there is no consensus. In recent decades, various countries in many parts of the world have implemented policies with increasing emphasis on price stability, money supply control and increasing economic growth. In Iran's economy, achieving this goal is considered as one of the most important goals of policy makers and economic planners. Currently, lack of coherence and lack of internal consistency of the government's economic policies and specifically the program of the country's economic administration from the perspective of macroeconomic variables are among the basic challenges of the country's economy.
Methodology: Due to the importance of the issue, the relationships among the variables of economic growth, liquidity volume and inflation rate were investigated through the Granger causality test and with the seasonal data related to Iran's economy in the period of 2004:1-2022:1. In this research, in order to test the quantile-based Granger causality, the ADF test and the quantile autoregressive unit root test (QAR) introduced by Xiao (2004) and Galva (2009) were used.
Findings and Discussion: The results show that there is a two-way Granger causality relationship between economic growth and inflation in total quantiles. It should be noted that these results are not the same in all the quantiles. In the limit quantiles as well as the quantile of [0.55, 0.6], the causality relationship is two-way, but, in the rest of the quantiles, it is one-way. For example, in the middle quantile (0.5), the causality relationship is one-way from inflation to economic growth and, in the 0.35 quantile, it is from economic growth to inflation. In general, it should be noted that the causality relationship from inflation to economic growth is established in more quantiles than the causality from economic growth to inflation. Regarding the direction of causality, the results show that, in all the quantiles, the causality from economic growth to inflation is negative, and the causality from inflation to economic growth is positive in quantiles [0.05-0.75] and negative in rest of them.
Regarding the causal relationship between liquidity and economic growth, the results show that there is a one-way causal relationship between these two variables in total quantiles. This relationship is, thus, from liquidity to economic growth. However, in some quantiles such as the 0.15 or 0.25 quantiles, there is also evidence for a causal relationship from liquidity growth to economic growth. It is noteworthy that, in the initial quantiles [0.05-0.25], the sign of causality is negative in the sense that economic growth can reduce liquidity growth. However, in other quantiles, the effect of economic growth on liquidity growth is positive. Also, the effect of liquidity growth on economic growth is negative in most quantiles. This is in the sense that an increase in liquidity growth causes a decrease in economic growth.
The evidence shows that, in Iran's economy, worrying about the increase in the inflation rate is not considered a significant problem in terms of creating economic growth. Regarding the causal relationship between liquidity and inflation, in all the quantiles, there is a one-way relationship between liquidity volume and inflation. Regarding the direction of causality, the results show that the effect of liquidity on inflation is asymmetrical and non-linear. The results regarding the effect of inflation on liquidity growth are generally positive. This proves the increases need for liquidity of the economy in the conditions of rising inflation.
Conclusion and Policy Implications: In general, in order to save the country from this challenge, an economic stability program must be formulated and implemented. Of course, people's mentality and expectations also play a fundamental role in curbing inflation. Monetary and financial reforms will lead to containment of inflation and economic crisis. The reforms that ultimately lead to the reduction of the inflation rate will be followed by an increase in economic stability and the flourishing of the economy. In this regard, it is necessary for the government and the central bank to achieve key goals such as reducing inflation and increasing the rate of economic growth in order to have a detailed and scientific plan. To achieve this goal, the amount of liquidity should be controlled and inflationary expectations should be reduced by adopting appropriate policies. It is hoped that using the successful experiences of other countries and taking advantage of the results of reliable and strong economic research will significantly decrease the inflation rate in Iran in the next few years, and the country will join the group of more than 100 countries with an inflation rate below five percent.

کلیدواژه‌ها [English]

  • Economic growth
  • Inflation
  • Quantity of Money
  • Quantile Causality
Aguiar-Conraria, L. Martins, M.F. & Soares, M.J. (2023). "The Phillips Curve at 65: Time for Time and Frequency". Journal of Economic Dynamics and Control 151: 1-15.
Ahmad, T.(2022). "Investigating the Relationship between Inflation and Economic  Growth: A Case of Pakistan". Acta Pedagogia Asiana 1(1): 1-8.
Abdi Seyedkalai, M. & Taheri Bazkhane, S. (2019). "Reviewing the Relationship between Economic Growth and Inflation in Iran using Time-Frequency Analysis". Iranian Economic Research Quarterly 85: 91-115. (In Persian)
Asna Ashari Amiri, A. Abolhasani Hestiani, A. Ranjbar Fallah, M. Shaygani, B. & Alizadeh Kalagar, A. (2018). "The Effect of the amount of Liquidity on Economic Growth in Iran (with the Time-Variable Parameter Model Approach)". Scientific Research Quarterly of Economic Growth and Development Research 9(35): 15-34. (In Persian)
Asnaashari Amiri, A. Abolhasani Histiani, A. Ranjbar Fallah, M. R. Baglan, D. & Yoldas, E. (2014). "Non-Linearity in the Inflation–Growth Relationship in Developing Economies: Evidence from a Semiparametric Panel Model". Economics Letters 125(1): 93-96.
Ball, L. Mankiw, N. D. & Romer, G. (1991). "The New Keynesian Economics & the Output-Inflation Trade-off". Brooking Papers economic Activity 19.
Bernanke, B.S. & Gertler, M. (1995). "Inside the Black Box: the Credit Channel of Monetary Policy Transmission". Journal of Economic Perspectives 9: 27–48.
Bozkurt, C. (2014). "Money, Inflation and Growth Relationship: The Turkish Case". International Journal of Economics and Financial Issues 4(2): 309-322.
Branson, W. H. (2007). Macroeconomic Theory and Policy, Translated by Shakeri. A. 10th Edition, Ney Publisher (in Persian).
Baddou, M. & Masih, M. (2018). "What Are the Factors that Drive Economic Growth? Evidence from Turkey". Munich Personal RePEc Archive (MPRA) Paper No. 111202, Posted 24 Dec 2021 01:49 UTC.
Bittencourt, M. (2012). "Inflation and Economic Growth in Latin America: Some Panel Time-Series Evidence". Economic Modelling: 29(2): 333-340.
Cooley, T. F. & Hansen, G. D. (1989). "The Inflation Tax in a Real Business Cycle Model". American Economic Review 79(4): 733-48.
Cukierman, A. (2017). "Money Growth and Inflation: Policy Lessons from a Comparison of the US since 2008 with Hyperinflation Germany in the 1920s". Economics Letters 154: 109-112.
Daly, M. & Hobijn, B. (2015). "Why Is Wage Growth So Slow?". Federal Reserve Bank of San Francisco Economic Letter 2015-01, 5 January.
De Gregorio, J. (1992). "The Effects of Inflation on Economic Growth: Lessons from Latin America". European Economic Review 36(2–3): 417-425.
Dayıoğlu, T. & Aydın, Y. (2020). "Relationship between Economic Growth, Unemployment, Inflation and Current Account Balance: Theory and Case of Turkey". https://www.intechopen.com /chapters/73251. DOI: 10.5772/intechopen.93833
Davardizadeh, M., Khodavardizadeh, S. Jani, S. & Khalili, A. (2018). "The Threshold Effect of Inflation on Economic Growth in Developed and Developing Countries: A Panel Soft Transition Regression (PSTR) Model Approach". Quantitative Economics Quarterly 16(1): 49-77 (In Persian).
Ellington, M. & Milas, C. (2019). "Global Liquidity, Money Growth and UK Inflation". Journal of Financial Stability 42: 67-74.
Friedman, M. & Meiselman, D. (1963). "The Relative Stability of Monetary Velocity and the Investment Multiplier in the United States: Some Additional Evidence". Southern Economic Journal 45(4): 1285-1291.
Friedman, M. & Schwartz, A.J. (1963). "A Monetary History of the United States, 1867-1960". New Jersey: Princeton University Press.
Galí, J. & Gertler, M.(2007). "Macroeconomic Modelling for Monetary Policy Evaluation". Journal of Economic Perspectives 21(4): 25-46.
Girdzijauskas, S. Streimikiene, D. Griesiene, I. Mikalauskiene, A. L. & Kyriakopoulos, G. (2022). "New Approach to Inflation Phenomena to Ensure Sustainable Economic Growth". Sustainability 14: 518-532.
Jafari Samimi, A. & Gholizadeh Kenari, S. (2007). "Inflation and Economic Growth in Developing Countries: New Evidence". The Journal of Economic Studies and Policies 9(12): 45-58.
Jha, R. & Dang, T.N. (2012). "Inflation Variability and the Relationship between Inflation and Growth". Macroeconomics and Finance in Emerging Market Economies 5(1): 3-17.
Kaminsky, G. Reinhart, C. & Végh, C. (2005). "When It Rains It Pours: Procyclical Capital Flows and Macroeconomic Policies ”. NBER Chapters, In: NBER Macroeconomics 9: 11-82.
Kremer, S. Bick, A. & Nautz, D. (2009). "Ination and Growth: New Evidence from a Dynamic Panel threshold Analysis". SFB 649 Discussion Paper Humboldt University, Berlin, Germany.
Khataei, M. & Seifipour, R. (2014). "Investigation of Single-digit Inflation Requirements in Iran's Economy". Program and Budget Scientific-Research Quarterly 20(3): 1-18 (In Persian).
Khajeh Mohammadlou, A. & Mani, K. (2021). "Nonlinear Effect of Money Volume on Real Exchange Rate with Emphasis on Interest Rate and Inflation in Iran". Bi-Quarterly Journal of Economic Studies and Policies 8(1): 246- 221. (In Persian).
Khojiani, R. & Nademi, Y. (2017). "Reviewing the Relationship between Production Gap and Inflation for the Iranian Economy Using the Wavelet Transformation Approach". Economic Research Quarterly 18(69): 334-307. (In Persian)
King, R. G. Plosser, C. & Rebelo, S. T. (2002). "Production, Growth and Business Cycles: Technical Appendix, Computational Economics". Society for Computational Economics 20(1-2): 87-116.
Koenker, R. & Bassett, G. (1978). "Regression Quantile". Econometrica 46: 33-49.
Komeyjani, A. & Naghdi, Y. (2009). "Examining the Relationship between Production and Inflation in Iran's Economy (with an Emphasis on Sectoral Production)". Macroeconomics Research Letter 1(32): 99-124. (In Persian).
Kydland, F. E. & Prescott E. (1982). "Time to Build and Aggregate Fluctuations". Econometrica 6(50): 1345–1370.
Malikov, E. Hartarska, V. & Mersland, R. (2020). "Economies of Diversification in Microfinance: Evidence from Quantile Estimation on Panel Data". Finance Research Letters 34: 1-15.
Mousavi, S. H. & Soltani, Sh. (2016). "Analysis of Inflation, Production Growth and Economic Stability in Iran". Economic Research Quarterly (Sustainable Growth and Development) 17(3): 77-99 (In Persian).
Montoriol, G.J. (2015). "Lead Economist Growth without Inflation: What does the Phillips Curve Tell Us". https://www.caixabankresearch.com/en/economics-markets/activity- growth/growth-without-inflation-what-does-phillips-curve-tell-us.
Mukoka, S. (2018). "An Econometric Assessment of the Impact of Inflation on Economic Growth: A Case Study of Zimbabwe Economy". Economics 7(1): 17–22.
Niken, K. Haile, M.A. & Berecha, A. (2023). "On the Nexus of Inflation, Unemployment, and Economic Growth in Ethiopia". Heliyon 9(4): 1-18.
Nyongesa, D. N. Amleg, E. L. & Scholastica, O. (2017). "The Relationship between Inflation and Economic Growth in East African Community Countries". Noble International Journal of Economics and Financial Research 2(12): 152–162.
Ocampo, J.A. & Ojeda-Joya, J. (2022). "Supply Shocks and Monetary Policy Responses in Emerging Economies". Latin American Journal of Central Banking 3(4):1-18.
Orphanides, A.(2003). "The Quest for Prosperity without Inflation". Journal of Monetary Economics 50: 633–663.
Uhlig, H. (2005). "What Are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure". Journal of Monetary Economics 52(2): 381-419.
Park Y. C. (1996). The Level and Variability of Inflation, Output Growth and Money: Cross-Section Empirical Analysis, A Dissertation Presented to the Faculty of Graduate School, University of Missouri- Columbia
Pesaran, M H. & Evans, R A.(1984). "Inflation, Capital Gains and U.K. Personal Savings: 1953-1981". Economic Journal, Royal Economic Society 94(374): 237-257.
Pourali, M. Rajaei, Y. & Dalmanpor, M. (2023). "Estimation of Economic Growth Model in Selected Developing Countries: Generalized Method of Moments Approach". Financial Economics 17(62): 1-15.
Phelps, E. S. (1967). "Phillips Curves, Expectations of Inflation and Optimal Employment over Time". Economica 34(3): 254–281.
Phillips, A. W. (1958). "The Relation between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom 1861-1957". Economica 25(100): 283-299.
Roshan, A. & Qarahi, R. (2012). "Investigation of the Relationship between Money Supply, General Level of Prices and Economic Growth in Iran During the Post-Revolution Period (1358-1358)". Economic Sciences Quarterly 6(19): 89-109 (In Persian).
Sahabi, B. Soleimani, S. Khezri, S. & Khezri, M. (2012). "The Effects of Liquidity Growth on Inflation in the Iranian Economy: Regime Change Models". Economic Strategy Quarterly 2(4): 1-20. (In Persian)
Sargent, T. J. & Surico. P. (2008). "Monetary Policies and Low-Frequency Manifestations of the Quantity Theory". Discussion Papers 26, Monetary Policy Committee Unit, Bank of England.
Seleteng, M. Bittencourt, M. & Eyden, R. (2013). "Non-Linearities in Inflation–Growth Nexus in the SADC Region: A Panel Smooth Transition Regression Approach". Economic Modelling 30: 49-156.
Shuai, Y. (2002). "The Effect of Money Demand on Capital Stock Monetization". Economic Issue in China 3: 30-35.
Sidrauski, M. (1967). "Rational Choice and Patterns of Growth in a Monetary Economy". American Economic Review 57(2): 534-544.
Stockman, A. (1981). "Anticipated Inflation and Capital Stock in a Cash-in-Advance Economy". Journal of Monetary Economics 8: 387-393.
Snowdon, B. & Vane, H.R. (2005). Modern Macroeconomics (Its Origins, Development and Cerrent State), Cheltenham: Edward Elgare Press.
Soltan Toyeh, M. Miaraskari, M. & Rasaeeian, A. (2012). "Investigating the Relationship between Inflation and Economic Growth in Iran using the Gholtan Linear Regression Model". Journal of Monetary & Banking Research 6(14): 49-68 (In Persian).
Tavakolian, H. & Shahmoradi, A. (2012). "A Study on Nonlinear Relationship between Inflation and Economic Growth in Iran A Markov Switching Approach". Economics Research 12(47): 51-70.
Troster, V. Shahbaz, M. & Uddin, G.S. (2018). "Renewable Energy, Oil Prices, and Economic Activity: A Granger-Causality in Quantiles Analysis". Energy Economics 70: 440-452.
Tiwari, K.A. Oros. C. & Albulescu, C. T. (2014). "Revisiting the Inflation–Output Gap Relationship for France using a Wavelet Transform Approach". Economic Modelling 37: 464–475.
Tiwari, A. K. Olayeni, R. O. Olofin, S. A. & Chang, T. (2019). "The Indian Inflation– Growth Relationship Revisited: Robust Evidence from Time–Frequency Analysis". Applied Economics 51(51): 5559-5576. 
Tobin, J. (1965). "Money and Economic Growth". Econometrica 33: 671-68.
Végh, C. L. Morano, D. & Friedheim, D. Rojas. (2017). "Between a Rock and a Hard Place: the Monetary Policy Dilemma in Latin America and then Caribbean". LAC Semiannual Report (October), World Bank, Washington, DC. 10.1596/978-1-4648-1217-0.
Walsh, C.E. (2010). Monetary Theory and Policy, New York: MIT Press.
Wu, Z. W. (2002). "Unusual Relationship between Money Supply and Prices: Theory and Empirical Study for China". Management World 12: 15-25.
Uddin, G.S. Muzaffar, A.T. Arouri, M. & Sjö, B. (2017). "Understanding the Relationship between Inflation and Growth: A Wavelet Transformation Approach in the Case of Bangladesh". The World Economy 40(9): 1918-1933.
Soltan Toyeh, M. Akbari, M.A. & Rasaeian, A. (2013). "Relationship Between Inflation and Economic Growth in Iran (Rolling Linear Regression)". Jornal of Monetary and Banking Research 6(14): 49-68.