پژوهش‌های رشد و توسعه اقتصادی

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لیست داوران 1400

لیست داوران 1399

بررسی رفتار مهمترین متغیرهای کلان اقتصادی بر تلاطمات نرخ ارز در اقتصاد ایران

نوع مقاله : پژوهشی

نویسندگان

1 دانشجوی دکتری علوم اقتصادی، دانشکده اقتصاد، مدیریت و حسابداری دانشگاه یزد، یزد، ایران.

2 دانشیار اقتصاد، دانشکده اقتصاد، مدیریت و حسابداری دانشگاه یزد، یزد، ایران.

چکیده

تلاطمات ارزی به‌دلیل اثرات نامطلوب آن بر عملکرد اقتصادی و به‌طور خاص ثبات اقتصادی بسیار حائز اهمیت است. در این راستا مطالعه حاضر به بررسی رفتار مهم‌ترین متغیرهای کلان اقتصادی بر تلاطمات نرخ ارز در اقتصاد ایران بر اساس داده‌های فصلی 1401-1376 پرداخته است. بدین‌منظور ابتدا جهت شناسایی مهم‌ترین متغیرهای اثرگذار بر تلاطمات نرخ ارز از الگوی رویکرد میانگین‌گیری مدل پویا با ضرایب متغیر در زمان (TVP-DMA) استفاده شده و در گام بعد جهت بررسی اثرات متغیرهای شناسایی شده بر رفتار تلاطمات ارزی از الگوی خود توضیح برداری عامل افزوده ‌شده با پارامترهای متغیر زمانی (TVP-FAVAR) استفاده شده است. نتایج حاصله بیانگر آن است که متغیرهای وقفه تلاطم نرخ ارز، کسری بودجه، نرخ تورم و تحریم‌های اقتصادی مهم‌ترین متغیرهای اثرگذار بر رفتار نرخ ارز در اقتصاد ایران طی دوره مورد بررسی بوده‌اند. در عین حال، نوع و شدت اثرگذاری تکانه‌های هر یک از متغیرهای اقتصادی در بروز تلاطمات ارزی در گذر زمان متفاوت بوده است که این امر ضرورت به‌کارگیری رویکردهای برخوردار از ماهیت پویا را در امر مدل‌‌‌سازی هرچه دقیق‌‌‌تر نوسانات نرخ ارز و به‌دنبال آن پیش‌بینی دقیق‌تر دامنه نوسانات نرخ ارز در دوره‌‌‌های آتی مورد تأکید قرار می‌دهد.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Investigating the Behavior of the Most Important Macroeconomic Variables on Exchange Rate Volatility in Iran's Economy

نویسندگان [English]

  • robabeh khilkordi 1
  • Nezamuddin makiyan 2
  • habib ansarisamani 2

1 Ph.D. Student of Economic Sciences, Faculty of Economics, Management and Accounting, Yazd University, Yazd, Iran.

2 Associate Professor. of Economics, Faculty of Economics, Management and Accounting, Yazd University,Yazd, Iran.

چکیده [English]

Exchange rate volatility is very important because of its adverse effects on economic performance and especially economic stability. In this regard, the present study investigates the behavior of the most important macroeconomic variables on exchange rate fluctuations in Iran's economy based on the quarterly data of 1997-2022. For this purpose, first, to identify the most important variables affecting exchange rate fluctuations, the dynamic model averaging approach model with time-varying coefficients (TVP-DMA) was used, and in the next step, to examine the effects of the identified variables on the behavior of exchange rate fluctuations auto-explanatory vector model augmented with time-varying parameters (TVP-FAVAR) has been used. The results show that the variables of exchange rate volatility, budget deficit, inflation rate and economic sanctions are the most important variables affecting the behavior of the exchange rate in the Iranian economy during the period under review. At the same time, the type and intensity of the impulses of each of the economic variables in the occurrence of exchange rate fluctuations have been different over time, which makes it necessary to use econometric approaches with a dynamic nature in the matter of modeling the exchange rate fluctuations as accurately as possible and then predicting the range more accurately.

کلیدواژه‌ها [English]

  • Exchange Rate Volatility
  • Iranian Economy
  • Auto-Explanatory Vector Model Augmented with Time-varying Parameters
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پژوهش‌های رشد و توسعه اقتصادی
دوره 14، شماره 56
مهر 1403
صفحه 75-55
فایل ها
سابقه مقاله
  • تاریخ دریافت: 25 دی 1402
  • تاریخ بازنگری: 01 خرداد 1403
  • تاریخ پذیرش: 05 خرداد 1403
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