متغیرهای کلان اقتصادی مؤثر بر تورم مواد غذایی در ایران: رویکرد TVP-VAR (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
هدف مطالعه حاضر بررسی اثر متغیرهای کلان اقتصادی بر تورم مواد غذایی در ایران بود. بدین منظور، از داده های فصلی دوره زمانی 1380 تا 1399 و مدل خودرگرسیون برداری با ضرایب متغیر در طول زمان (TVP-VAR) استفاده شد. نتایج به دست آمده از برآورد مدل TVP-VAR نشان داد که اثر متغیرهای کلان اقتصادی بر تورم مواد غذایی در طول زمان متغیر است. بر اساس این نتایج، نرخ رشد اقتصادی بر تورم مواد غذایی اثر منفی دارد و این اثر منفی در طول زمان افزایش می یابد. از سوی دیگر، تورم مواد غذایی نسبت به یک انحراف معیار تکانه (شوک) در نرخ رشد نقدینگی و نرخ بهره اثر مثبت نشان داده و این اثر پایدار بوده است. نتایج، همچنین، نشان داد که با افزایش نرخ ارز، تورم مواد غذایی نیز افزایش می یابد و این اثر در طول زمان با افزایش مواجه شده است. البته، افزایش سرمایه گذاری به کاهش تورم مواد غذایی منجر شده و اثر منفی آن در طول زمان افزایشی است. این نتیجه دارای اهمیت است که افزایش تورم مواد غذایی در یک نقطه از زمان اثر افزایشی پایدار بر تورم مواد غذایی در دوره های آتی دارد. از این رو، پیشنهاد می شود که با بهبود زیرساخت های تولید محصولات غذایی از جمله زیرساخت های فناوری در بخش کشاورزی، ذخیره سازی و صنایع تبدیلی، از افزایش تورم مواد غذایی و اثرات پویا و پایدار آن بر امنیت غذایی و سلامت جامعه جلوگیری شود.Macroeconomic Determinants of Food Inflation in Iran: TVP-VAR Approach
Introduction: Inflation is one of the major economic problems in developing countries as well as emerging economies. Therefore, ensuring stable prices is always one of the main goals of the monetary authorities and indeed the government. Meanwhile, inflation is particularly important in the food sector, because the vital and constant human need for food increases the vulnerability of low-income people and makes them face a serious challenge in meeting their life needs. Factors affecting food inflation can be examined from two viewpoints: structuralists and monetarists. Structuralists believe that real impulses in certain sectors of the economy cause price increases in that sector, and this issue is especially important in developing countries. According to this view, factors such as the elasticity of the supply of agricultural products, currency restrictions, wages and high prices in the food sector result in inflation and its sustainability. On the other hand, monetarists believe that monetary policies cause inflation in various sectors, including the food sector. These policies are carried out in order to regulate the value of money, control the interest rate and influence the level of inflation and social employment. In general, monetary policies can have direct and indirect effects on food inflation in a country by adjusting factors such as interest rates, currency value, and the amount of money in circulation. Azamzadeh Shooroki & Khalilian (2010) investigated the effect of monetary policies on the food price index in Iran using the ARDL model. The results of this study also showed that there was a long-term relationship between monetary policy variables and the food price index, and the food price index had a positive relationship with the interest rate, liquidity and exchange rate. Ghahremanzadeh et al. (2016) investigated the effect of macroeconomic variables on food inflation in Iran using the Structural Vector Error Correction Model (SVECM). The results of this study showed that in the long term, the added value shock of the agricultural sector had a negative and significant effect and the amount of money had a positive and significant effect on food inflation. In his study, De Haan (2020) examined the effect of monetary policies on inflation and expected inflation. In this study, using an econometric model, it was shown that both people's information and monetary policies could affect expected inflation. Accordingly, this study would be able to fill this research gap by using the vector autoregression approach with time-varying coefficients known as Time-Varying Parameter Vector Auto-Regression (TVP-VAR) model and provide policy makers with practical results of dynamic changes in the effect of macro variables on food inflation. Therefore, this study aimed at investigating the impact of macroeconomic variables on food inflation. Macroeconomic variables considered in the model of this study included economic growth rate (Pishbahar & Baghestani, 2014), interest rate, liquidity growth and investment (Ismaya & Anugrah, 2018) and exchange rate.Materials and Methods: One of the methods that is used more recently in economic literature is the TVP-VAR model. The difference between this model and the models of fixed VAR coefficients is that it allows changes in the parameters over time and has the ability to flex the coefficients according to changes in conditions, structural failures and cyclical changes; therefore, it will bring more accurate results. The initial VAR model introduced by Sims (1980) was one of the important models for investigating the relationship between various economic variables using shock-reaction functions. Results and Discussion: In order to test the unit root, considering the seasonality of the investigated data, the HEGY test was used to check the reliability of the variables. Based on the seasonal unit root test of HEGY, for all variables, despite the intercept elevation and the trend, the null hypothesis of the existence of a seasonal unit root is rejected and therefore, the seasonal data used in this study are at a stable level. The results of the graphs related to the estimation of the coefficients of macroeconomic variables and food inflation in the model make it clear that the coefficients are not the same over time and for all cases except for investment and food inflation itself, different parameters are found during the studied time period. In other words, these results confirm that relying on constant parameters over time obtained from the usual VAR approach in such a case has the ability to estimate only the average of the changes of the variables affecting food inflation. This issue highlights the importance of using the TVP-VAR model in analyzing the impact of macroeconomic variables on food inflation. After estimating the model and testing the parameters, point shock reaction analysis (shock reaction analysis at different points in time) was used to investigate the dynamic effects of macroeconomic variables on food inflation. In general, three intervals with different lengths were chosen to reflect the short-term, medium-term and long-term response changes of the dependent variable and the independent variable. The noteworthy point in this graph is that although this self-motivated positive influence decreases from the second period onwards, it does not disappear. This result is consistent with the steady increase in food inflation in Iran's economy during the period under review. The relationship between investment and inflation can occur through two supply and demand channels, the first channel leads to an increase in inflation and the second channel leads to its decrease. The important point is that according to the findings of this study, the positive effect of the exchange rate increase on food inflation has an upward trend and does not disappear over time. The consequences of the increase in the exchange rate on the increase in the price of imported goods, as well as creating incentives for food exports, can be among the reasons for this issue.Conclusion and Suggestions: According to the literature on the subject, among the key variables affecting food prices are economic growth, exchange rate, interest rate, investment and liquidity growth. Therefore, this study aimed at investigating the effect of these macroeconomic variables on food inflation. For this purpose, seasonal data from 2001 to 2020 and the TVP-VAR model were used. The results showed that the effect of estimated parameters on the food inflation was varied over time; therefore, the results obtained from the TVP-VAR model are superior to other economic models that do not consider the dynamics of coefficients. Among the advantages of this method is the possibility of point analysis of impact reaction. The study results showed that economic growth had a negative effect on food inflation, and this confirms the contribution of economic growth to increasing food production and supply. Based on this, it is suggested that the improvement of food production infrastructures, including technology infrastructures in agriculture, storage and processing industries, should be taken into consideration by policymakers. This issue can be emphasized according to the results of this study on the effect of increasing investment on reducing food inflation in the long term. On the other hand, the results showed that an increase in interest rates also would lead to an increase in food inflation. The root of this issue can also be traced to the high share of financial costs in the food production and supply sector. Based on this, it is suggested that the policy makers provide access to food producers, including farmers and industries active in food production, to low-interest credits and capital. Finally, this result is important that the increase in food inflation at one point in time has a stable increasing effect on food inflation in future periods. Therefore, the policy maker should be aware of the impact of macroeconomic variables on food inflation and give it double priority considering its dependence on food security and community health.
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