The Study of Persistence of Inflation in Iran Using Mean Reversion Model

In this lecture, to study the possibility that inflation rate can follow the Mean-Reversion model and to study its impacts on the structure of Iran economy, we have estimated a model with TGARCH (1, 1) approach for Iran's economy of the monthly period of 1990- 2010 using literature and based on the "Ournestin Uhlenbeck" theoreticalmathematical model. Variables used in this two-factor model are CPI and PPI growth rates. As the same results obtained from OECD countries, the findings of this research revealed that inflation in Iran follows Mean-Reversion model with jump diffusion. Further studies of this research showed that Iran's economy has a propel structure for investing. But since the level of this average is high, uncertainty resulted from instability of inflation rates has become stable and has decreased the consumer's welfare.