Spillover Fluctuations between Inflation and Un(employment) Concerning Different Macroeconomic Sectors in Iran

Abstract

The main objective of this study is to analyze spillover fluctuations between inflation fluctuation and (un)employment fluctuation in relation to agriculture, industry and services sectors of Iran. In line with this, PANEL in Mean-MGARCH model has been used concerning Iran's agriculture, industry and services sectors over the period of time from spring 2002 to winter 2016. The results show that inflation fluctuations in each sector would spillover into the next period of all agriculture, industry and services sectors. (Un)employment fluctuations in each sector do not spillover into the next period of that sector or other sectors. The inflation and un(employment) fluctuations (conditional covariance) in each sector spillover into the joint inflation and un(employment) fluctuations of that sector and the other sectors.