پیوندهای مفید
آمار
| تعداد نشریات | 21 |
| تعداد شمارهها | 687 |
| تعداد مقالات | 9,985 |
| تعداد مشاهده مقاله | 70,957,407 |
| تعداد دریافت فایل اصل مقاله | 62,422,657 |
عوامل مؤثر بر تلاطمات ارزی در ایران: رهیافت میانگینگیری پویا با ضرایب متغیر در زمان (TVP-DMA) | ||
| مدلسازی اقتصادسنجی | ||
| مقاله 1، دوره 9، شماره 4 - شماره پیاپی 36، بهمن 1403، صفحه 9-47 اصل مقاله (1.27 M) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22075/jem.2024.33093.1911 | ||
| نویسندگان | ||
| ربابه خیل کردی1؛ سید نظام الدین مکیان* 2؛ حبیب انصاری سامانی* 2 | ||
| 1دانشجوی دکتری اقتصاد، دانشکده اقتصاد، مدیریت و حسابداری دانشگاه یزد | ||
| 2دانشیار اقتصاد، دانشکده اقتصاد، مدیریت و حسابداری دانشگاه یزد | ||
| تاریخ دریافت: 04 بهمن 1402، تاریخ بازنگری: 26 شهریور 1403، تاریخ پذیرش: 28 شهریور 1403 | ||
| چکیده | ||
| ثبات نرخ ارز و بهطور کلی بازار ارز از جنبههای مختلفی برای اقتصاد ایران حائز نقش و اهمیت ویژهای است، چرا که تلاطمات نرخ ارز تأثیرات گستردهای بر بخش داخلی و خارجی اقتصاد کشور و همچنین احتمال بروز انواع مختلف بحرانهای اقتصادی در محیط اقتصادی کشور به همراه دارد. در این راستا مطالعه حاضر با استفاده از دادههای فصلی در دوره زمانی (1401-1376) بر شناسایی مهمترین متغیرهای اثرگذار بر رفتار نرخ ارز متمرکز شده و برای نیل به این هدف نیز ابتدا شاخص تلاطم نرخ ارز در قالب الگوی (GARCH) استخراج گردیده و در گام بعد مهمترین عوامل مؤثر بر رفتار این متغیر اقتصادی در چارچوب الگوی میانگینگیری پویا با ضرایب متغیر در زمان (TVP-DMA) شناسایی شده است. یافتههای این پژوهش حاکی از آن است که بیشترین میزان تلاطمات نرخ ارز در سالهای پایانی دهه 1390 رخ داده است که در این بین به ترتیب متغیرهای مقدار گذشته تلاطم نرخ ارز، کسری بودجه دولت، نرخ تورم، تحریمهای اقتصادی، نقدینگی، نااطمینانی سیاست اقتصادی و تورم انتظاری آحاد جامعه نقش محوری را در تغییرات رفتاری نرخ ارز ایفا کردهاند. | ||
| کلیدواژهها | ||
| تلاطم نرخ ارز؛ الگوی خودرگرسیون واریانس ناهمسانی شرطی تعمیمیافته؛ الگوی میانگینگیری پویا با ضرایب متغیر در زمان | ||
| عنوان مقاله [English] | ||
| The Important Factors Affecting Exchange Rate Volatility in Iran: Dynamic Averaging Approach with Time-varying Coefficients (TVP-DMA) | ||
| نویسندگان [English] | ||
| Robabeh khilkordi1؛ Seyed-nezamuddin Makiyan2؛ Habib Ansari Samani2 | ||
| 1Ph.D. Student, Economics Department, Yazd University | ||
| 2Associate Prof., Economics Department, Yazd University | ||
| چکیده [English] | ||
| The stability of the exchange rate and the foreign exchange market has a special role for Iran's economy from various aspects. This is because exchange rate fluctuations have wide-ranging impacts on both the domestic and foreign sectors of the country's economy, and they also increase the likelihood of various types of economic crises in the country's economic environment. In this context, the present study focuses on identifying the most important variables affecting exchange rate behavior using seasonal data during the period of 1997-2022. In this regard, this study is focused on identifying the most important variables affecting the behavior of the exchange rate volatility. To achieve this goal, the index of exchange rate volatility has been extracted using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Then, considering the extensive changes and transformations that have been occurred in the internal and external situation of the country's economy, the necessity of using dynamic models with variable regression coefficients has been emphasized. Thus, the most important factors affecting the behavior of this economic variable have been identified in the framework of the Time-Varying Parameter Dynamic Model Averaging (TVP-DMA). Findings of this research indicate that the highest amount of exchange rate fluctuations occurred by the end of 2013, in which the variables of the past amount of exchange rate fluctuations, government budget deficit, inflation, economic sanctions, liquidity, uncertainty of economic policy and the expected inflation of pepoles has played a key role in the behavioral changes of the exchange rate, respectively. | ||
| کلیدواژهها [English] | ||
| Exchange Rate Volatility, Generalized Autoregressive Conditional Heteroskedasticity, Time-varying Parameter Dynamic Model Averaging | ||
| مراجع | ||
|
Abdoh, W. M. Y. M., Yusuf, N. H. M., Zulkifli, S. A. M., Bulot, N., & Ibrahim, N. J. (2016). Macroeconomic factors that influence exchange rate fluctuation in ASEAN countries, International Academic Research Journal of Social Science, 2(1), 89-94.
Aghamiri, S.M., Damankeshideh, M., & Hadinejad, M. (2021). Investigating the Factors Affecting the Exchange Rate in Iran from the Perspective of Keynesians, Financial Economics (Financial Economics and Development), 15(54), 209-238. (In Persian)
Alshubiri, F. (2022). The impact of the real interest rate, the exchange rate and political stability on foreign direct investment inflows: A comparative analysis of G7 and GCC countries, Asia-Pacific Financial Markets, 29(1), 569-603, DOI: 10.1007/s10690-022-09360-0.
Asrafuzzaman. Roy, A., & Gupta, S. D. (2013). An empirical investigation of budget and trade deficits: the case of Bangladesh. International Journal of Economics and Financial Issues, 3(3), 570-579.
Bigman, D. (2012). Exchange rate determination: Some old myths and new paradigms, European Journal of Business and Management, 14(20), 67-72.
Black, S. W. (2015). The portfolio theory of exchange rates—then and now. Review of International Economics, 23(2), 379-386.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.
Branson. W. H. (2013). Exchange rate dynamics and monetary policy, Institutet för Internationell Ekonomi Stockholm Verfasser.
Britton, A. J.C. (1970). The dynamic stability of the foreign- exchange market, The Economic Journal, 80(317), 91-96.
Catania, L., & Nonejad, N. (2016). Dynamic model averaging for practitioners in economics and finance, The DMA package, arXiv preprint arXiv:1606.05656.
Cevik, S., Harris, R. &Yilmaz, F. (2017). Soft power and exchange rate volatility, International Finance, 20 (3), 271-288.
Coppock, L. & Poitras, M. (2000). Evaluating the Fisher effect in the long-term cross country averages, International Review of Economics and Finance, 9(2), 181-192.
Dangl, T., & Halling, M. (2012). Predictive regressions with time-varying coefficients, Journal of Financial Economics, 106(1), 157-181.
Effiong, E.L. (2014). Exchange rate dynamics and monetary fundamentals: A cointegrated SVAR approach for Nigeria. Global Business Review, 15 (2), 205-221.
Elfadil, N. H. A. E. A., & Ahmed, I. (2019). Exchange rate volatility in Sudan: Does the exchange rate system matter? Journal of Finance, 7(2), 1-24.
Emami Meybodi, M., & Daee Karimzadeh, S. (2022). Investigate the Real Effective Exchange Rate Misalignment in OPEC Member Countries, Quarterly Journal of Economic Research and Policies, 30(104), 269-303. (In Persian)
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica: Journal of the econometric society, 50(4), 987-1007.
Friedman, M. (1968). The role of monetary policy. American Economic Review, 58(1), 1-17.
Gurvich, E., & Prilepskiy, I. (2015). The impact of financial sanctions on the Russian economy, Russian Journal of Economics, 1(4), 359-385.
Hassan, A., Abubakar, M. & Dantama, Y. U. (2017). Determinants of exchange rate volatility: new estimates from Nigeria, Eastern Journal of Economics and Finance, 3(1), 1-12.
Isah, K. O., & Ekeocha, P. (2023). Modelling exchange rate volatility in turbulent periods: The role of oil prices in Nigeria. Scientific African, 19, e01520. doi.org/10.1016/j.sciaf.2022.e01520.
Kilicarslan, Z. (2018). Determinants of exchange rate volatility: Empirical evidence for Turkey, Journal of Economics, Finance and Accounting, 5(2), 204-2013.
Koop, G. & Korobilis, D. (2012). Forecasting inflation using dynamic model averaging, International Economic Review, 53(3), 867-886.
Krugman & Obstfeld. (2009). International economics, Pearson Education Inc.
Lal, M., Kumar, S., Pandey, D. K., Rai, V. K., & Lim, W. M. (2023). Exchange rate volatility and international trade, Journal of Business Research, 167, 114156.
Manafi Anvar, V. (2023( Factors Affecting the Changes in the Value of the National Currency and Its Impact on the Competitiveness Index in the Iranian Economy during (1979-2016), Financial Economics Theories, 8(1), 79-93. (In Persian)
Mirchandani, A. (2013). Analysis of macroeconomic determinants of exchange rate volatility in India, International Journal of Economics and Financial Issues, 3, (1), 172-179.
Morana, C. (2009). On the macroeconomic causes of exchange rate volatility. International Journal of Forecasting, 25(2), 328-350.
Mpofu, T. R. (2021). The determinants of real exchange rate volatility in South Africa. The World Economy, 44(5), 1380-1401.
Mwange, A., Kasongola, P., & Meyiwa, A. (2022). An assessment of the effect of mobile money services on the profitability of the banking sector in Zambia, Economics and Business Quarterly Reviews, 5(3), 139-159.
Nasiri, N., & Tayebi, S. K. (2023). The Relationship between Currency Crisis and Capital Control: An Early Warning Model of Currency Crisis, Iranian Economic Research, 27(91), 51-109. (In Persian)
Ogiri, I. H., Nosiri, H. U., & Igoni, S. (2023). Exchange rate volatility and consumer price index in Nigeria: an ARDL analysis, IOSR Journal of Economics and Finance, 14(1), 40-51.
Orudzhev, E. G., & Isazadeh, A. E. (2017). Factors affecting the dynamics of exchange rates and their econometric analysis. Caspian Journal of Applied Mathematics, Ecology and Economics, 5(1), 103-112.
Osuka, B., & Achinihu, J. C. (2014). The impact of budget deficits on macro-economic variables in the Nigerian Economy (1981–2012), International Journal for Innovation Education and Research, 2(11), 164-183.
Pedram, M., Kordbacheh, H., & Mofakhkheri Badinijad, T. (2016). The Effect of Macroeconomic Uncertainty on Bank Lending in Iran, Quarterly Journal of Economic Progress Policy, 4(13), 67-90. (In Persian)
Proti, N. P. (2013). Exchange rate fluctuations-shock in Tanzania: An empirical analysis, Scholarly Journal of Business Administration, 3(1), 12-19.
Rauff, S. A. (2022). Determinants of exchange rate in Nigeria, The colloquium-A multi disciplinary thematic, Policy Journal, 10 (1), 69-82.
Tamunowariye, C., & Anaele, A. (2022). Impact of exchange rate volatility on stock market performance in Nigeria from 1981-2019, International Journal of Business systems and Economics, 13(5), 74-87.
Tombolotutu, A. D., Djirimu, M. A., & Mangun, N. (2023). Exchange rate volatility determinant in Indonesia and Malaysia, Journal of Economics, Finance and Management Studies, 6(4), 1799-1808.
West M. & Harrison, J. (1999). Bayesian Forecasting and Dynamic Models, Second ed., Springer.
Xiong, Q., & Tian, Y. (2015). Legalization of international cooperation and effectiveness of financial sanctions: Explaining the evolution of Iran’s nuclear issue, Asia Pacific contemporary, 1, 98–130. | ||
|
آمار تعداد مشاهده مقاله: 762 تعداد دریافت فایل اصل مقاله: 311 |
||