A New Exploration of the Effects of Oil Price Uncertainty and Economic Policy on Inflation: Modeling with Quantile-on-Quantile(مقاله علمی وزارت علوم)
حوزههای تخصصی:
Objective: This study investigates the asymmetric effects of Economic Policy Uncertainty (EPU) and Oil Price Uncertainty (OPU) on inflation in Iran, using the Quantile-on-Quantile (QQ) regression method. Given Iran's oil-dependent economy, the research aims to understand how global and domestic uncertainties impact inflation dynamics, particularly during economic turbulence. Traditional models often neglect the non-linear and heterogeneous effects of uncertainty on inflation, prompting the use of the QQ approach to capture the varying impacts across different quantiles. Methods: The study employs the QQ regression method to analyze the asymmetric effects of EPU and OPU on inflation, using monthly data from 2008 to 2023. The QQ approach is chosen to address the heterogeneity and non-linearity in the relationship between uncertainty and inflation, particularly in the context of Iran's oil-driven economy. Results: The findings reveal significant heterogeneity in inflation responses to uncertainty shocks. At lower quantiles, both EPU and OPU have minimal effects on inflation, indicating that minor changes in uncertainty do not significantly alter inflation rates. However, at higher quantiles—especially during periods of heightened uncertainty—both factors show a more pronounced and positive effect on inflation. Additionally, the QQ analysis indicates that EPU has a more consistent impact on inflation compared to OPU, suggesting that policy-induced uncertainty exerts greater pressure on price levels than oil price volatility. Conclusions: The study highlights the importance of accounting for asymmetric and quantile-dependent uncertainty effects when formulating inflation control policies, as this can help address inflationary challenges in the face of fluctuating global and domestic conditions.