اثرات نامتقارن بازار سرمایه بر رشد اقتصادی ایران در دهه 1390: رویکرد داده های ترکیبی با تواتر متفاوت

اصغرپور, حسین; شهریاری, محمدسالار; حقیقت, جعفر; حاتم راد, سامان; حیدری, منصور

doi:10.30473/egdr.2023.67962.6712

نوع مقاله : پژوهشی

نویسندگان

¹ استاد اقتصاد مالی دانشگاه تبریز.

² دانشجوی دکتری مهندسی کامپیوتر دانشگاه تبریز، تبریز، ایران.

³ استاد اقتصاد مالی دانشگاه تبریز، تبریز، ایران.

⁴ دانشجوی دکتری اقتصاد مالی دانشگاه تبریز، تبریز، ایران.

⁵ دانشجوی دکتری اقتصاد پولی دانشگاه تبریز، تبریز، ایران.

https://doi.org/10.30473/egdr.2023.67962.6712

چکیده

یکی از مشکلات مهم در بررسی رشد اقتصادی، همسان‌سازی تواتر متغیرهای موثر بر تولید است که این رویکرد منجر به از دست رفتن اطلاعات متغیرهای توضیحی که تواتر بالایی نسبت به رشد اقتصادی دارند، می‌شود. در مطالعه حاضر سعی شده است با استفاده از روش میداس و میداس ور به بررسی تاثیر بازده بازار بورس اوراق بهادار تهران بر رشد اقتصادی ایران طی دوره 1390 تا 1400 در قالب داد‌های فصلی و ماهانه پرداخته شود. نتایج حاصل از برآوردها دلالت براثرات نامتقارن بازده‌ بازار سهام بر رشد اقتصادی ایران دارد. به طوری که در ماه‌اول فصول که تعداد رونق بازار سهام زیاد بوده است، بازده سهام تاثیر بسیار زیاد مثبت و معنی دار بر رشد اقتصادی داشته است که این تاثیر مثبت با افزایش تعداد رکود در ماه‌های سوم کاهش یافته و در ماه دوم هر فصل که تعداد رکود در بازار سهام زیاد بوده است،بازده سهام تاثیر منفی و معنی دار بر رشد اقتصادی ایران داشته است. همچنین یافته های تجربی دلالت بر این دارد که شدت تاثیرگذاری بازده سهام در دوره های رکود قوی‌تر از دوره های رونق بوده است. از این رو، مهمترین توصیه سیاستی تحقیق حاضر این است که به منظور افزایش رشد اقتصادی، لازم است سیاستگذاران اقتصادی با اتخاذ سیاست‌های مناسب زمینه را برای رشد و توسعه بازار سهام و افزایش بازدهی آن فراهم نموده و از بروز رکود و طولانی‌تر شدن آن در بازار سهام جلوگیری کنند.

کلیدواژه‌ها

موضوعات

رشد اقتصادی

عنوان مقاله [English]

Asymmetric effects of Stock Market on Iran's economic growth: Midas and Mixed frequncy-VAR approach

نویسندگان [English]

Hossein Asgharpur ¹
Mohammad-Salar Shahryari ²
Jaafar Haghighat ³
Saman Hatamerad ⁴
mansour heydari ⁵

¹ Professor of Faculty of Economics and Management, University of Tabriz, Tabriz, Iran.

² Ph.D. Candidate in Computer Engineering, University of Tabriz, Tabriz, Iran.

³ Professor of Faculty of Economics and Management، University of Tabriz, Tabriz, Iran.

⁴ Ph.D. Candidate in Financial Economics, University of Tabriz, Tabriz, Iran.

⁵ Ph.D. Student in Monetary Economics, University of Tabriz, Tabriz, Iran.

چکیده [English]

One of the important problems in examining economic growth is equating the frequency of variables affecting production, which approach leads to the loss of information on explanatory variables that have a high frequency compared to economic growth. In this study, by using the MIDAS and MIDAS-VAR method, the effect of Tehran Stock market performance on the economic growth of Iran during the period of 2011 to 2021 has been investigated for quarterly and monthly data. The results of the estimates indicate the in the first month of the seasons when the number of stock market booms was high, stock returns had a very positive and significant impact on economic growth. This positive effect decreased with the increase in the number of recessions in the third months and in the second month of every quarter when the number of recessions in the stock market was high, and this had a negative effect on economic growth. Also, the empirical findings indicate that the intensity of the influence of stock returns was stronger in periods of recession than in periods of prosperity. Therefore, the most important policy recommendation of the current research is that in order to increase economic growth, it is necessary for economic policy makers to provide the basis for the growth and development of the stock market and increase its efficiency by adopting appropriate policies, and also prevent recession and its prolongation in the stock market.

کلیدواژه‌ها [English]

Stock market
Economics growth
Mixed frequncy data

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پژوهش‌های رشد و توسعه اقتصادی

اثرات نامتقارن بازار سرمایه بر رشد اقتصادی ایران در دهه 1390: رویکرد داده های ترکیبی با تواتر متفاوت

مراجع

مراجع

دوره 14، شماره 55
تیر 1403
صفحه 33-15

اثرات نامتقارن بازار سرمایه بر رشد اقتصادی ایران در دهه 1390: رویکرد داده های ترکیبی با تواتر متفاوت

مراجع

مراجع

دوره 14، شماره 55تیر 1403صفحه 33-15

دوره 14، شماره 55
تیر 1403
صفحه 33-15