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رابطه غیرخطی نرخ ارز و نرخ تورم در ایران: رهیافت ناپارمتریک کوانتایل بر کوانتایل | ||
مدلسازی اقتصادسنجی | ||
دوره 9، شماره 1 - شماره پیاپی 33، فروردین 1403، صفحه 83-112 اصل مقاله (1009.32 K) | ||
نوع مقاله: مقاله پژوهشی | ||
شناسه دیجیتال (DOI): 10.22075/jem.2024.32336.1888 | ||
نویسندگان | ||
روزبه بالونژادنوری* 1؛ آمنه شهیدی2؛ مسعود سعادت مهر3 | ||
1استادیار گروه اقتصاد پژوهشکده امور اقتصادی | ||
2دانش آموخته دکتری علوم اقتصادی دانشگاه تربیت مدرس و پژوهشگر پژوهشکده امور اقتصادی، تهران، ایران | ||
3استادیار گروه اقتصاد دانشگاه پیام نور، تهران، ایران | ||
تاریخ دریافت: 23 آبان 1402، تاریخ بازنگری: 16 دی 1402، تاریخ پذیرش: 26 دی 1402 | ||
چکیده | ||
پژوهش حاضر آزمون رابطه میان نرخ تورم و نرخ ارز در ایران به عنوان دو شاخص کلیدی عملکرد اقتصاد را هدف قرار داده است. برای این منظور دادههای ماهانه دوره 1370:1-1402:4 و روش رگرسیونی کوانتایل بر کوانتایل، مورد استفاده قرار گرفته است. نتایج نشان میدهد میان دو متغیر، رابطه مثبت، متقارن و غیرخطی وجود دارد و اثر افزایش نرخ ارز بر تورم شدیدتر از اثر افزایش نرخ تورم بر نرخ ارز است. افزایش تورم موجب افزایش نرخ ارز میگردد اما این موضوع در کوانتایلهای مختلف نرخ ارز یکسان نیست. در کوانتایلهای پایین نرخ ارز (کوانتایل 0 تا 4/0)، اثر تورم بر نرخ ارز بیشتر از کوانتایل میانه (5/0) میباشد. به این صورت که در کوانتایلهای پایین، ضریب آن در حدود 8/0 و در کوانتایل میانه کمتر از 4/0 است. همچنین در کوانتایلهای بالاتر از میانه، مجدداً اثر تورم بر نرخ ارز افزایش مییابد و بیشترین اثرگذاری آن در کوانتایلهای بالای نرخ ارز است که این ضریب به بیش از 2/1 میرسد. همچنین، اثر افزایش کوانتایلهای بالای نرخ ارز (4/0 تا 95/0) بر کوانتایلهای پایین نرخ تورم (0 تا 2/0) شدیدتر از اثرات آن بر کوانتایلهای بالای نرخ تورم به دست آمده است. | ||
کلیدواژهها | ||
نرخ ارز؛ تورم؛ نظریه برابری قدرت خرید؛ رگرسیون کوانتایل بر کوانتایل | ||
عنوان مقاله [English] | ||
Non-linear relationship between exchange rate and inflation rate in Iran: A nonparametric quantile-on-quantile approach | ||
نویسندگان [English] | ||
roozbeh balounejad nouri1؛ Ameneh Shahidi2؛ masood saadatmehr3 | ||
1Assistant Professor, Department of Economics, Economic Affairs Research Institute | ||
2PhD student of economic sciences of Tarbiat Modares University and researcher of Economic Affairs Research Institute, Tehran, Iran | ||
3Assistant Professor, Department of Economics, Payam Noor University, Tehran, Iran | ||
چکیده [English] | ||
The current study aims to test the relationship between inflation rate and exchange rate in Iran as two key indicators of economic performance. For this purpose, the monthly data of the period 1370:1-1402:4 and the quantile-by-quantile regression method have been used. The results show that there is a positive, symmetrical and non-linear relationship between the two variables, and the effect of the increase in the exchange rate on inflation is more severe than the effect of the increase in the inflation rate on the exchange rate. An increase in inflation causes an increase in the exchange rate, but this issue is not the same in different quantiles of the exchange rate. In the low quantiles of the exchange rate (quantile 0 to 4/0), the effect of inflation on the exchange rate is greater than in the median quantile (5/0). In this way, in the low quantiles, its coefficient is around 8/0 and in the middle quantile, it is less than 4/0. Also, in the quantiles above the middle, the effect of inflation on the exchange rate increases again, and its greatest effect is in the high quantiles of the exchange rate, where this coefficient reaches more than 2/1. Also, the effect of increasing the high quantiles of the exchange rate (4/0 to 95/0) on the low quantiles of the inflation rate (0 to 2/0) has been more intense than its effects on the high quantiles of the inflation rate. | ||
کلیدواژهها [English] | ||
exchange rate, inflation, purchasing power parity theory, quantile-on-quantile regression | ||
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