کانال های انتقال آثار سیاست های پولی بر تورم در اقتصاد ایران با رویکرد مارکوف سوئیچینگ خودتوضیح برداری (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
مکانیسم انتقال پولی، چگونگی واکنش اقتصاد به یک سیاست پولی را توصیف می کند. سیاست پولی مهم ترین سیاست های اقتصادی هر کشور است. هدف از این مطالعه، بررسی اثربخشی نقش کانال های نرخ ارز، سهام، اعتباری و قیمت مسکن بر تورم طی دوره ۱۳۹۶-۱۳۵۷ در اقتصاد ایران است. برای این منظور از مدل مارکوف سوئیچینگ خودتوضیح برداری که قابلیت زیادی در لحاظ کردن تغییرات ساختاری دارد، استفاده می شود. برای داده های تحقیق نیز از تورم، حجم پایه پولی، شاخص قیمت زمین، شاخص قیمت سهام، نرخ ارز غیررسمی و مانده تسهیلات اعطایی به بخش خصوصی استفاده شده و تمامی داده ها از بانک مرکزی جمع آوری شده اند. نتایج تحقیق حاکی از این است که در رژیم یک کانال اعتباری و در رژیم دو کانال قیمت مسکن و کانال قیمت سهام بیشترین نقش را در انتقال آثار پول بر تورم داشته اند. نهایتاً اقتصاد ایران به طور متوسط ۳.۶۳ دوره (سال) در رژیم یک قرار دارد ۴.۰۲ دوره (سال) در رژیم دو قرار دارد که حاکی از پایداری تورم در رژیم دو در اقتصاد ایران است.Channels of Transmition the Effects of Monetary Policies on Inflation in Iran's Economy by Using Markov Switching Vector Autoregressive Approach
Extended abstract
1- INTRODUCTIO
In order to have an effective monetary policy, it is necessary for the monetary authorities to have sufficient information about the effect, the channels of start the effect, the duration of the effect and the time when the effect of the monetary policy effect peaks. Therefore, it is necessary to examine the intersection of credit channel, housing price channel, stock price channel and exchange rate channel in the nonlinear transmission mechanism of monetary policy on inflation in the Iranian economy. It has a structure in different regimes and the data of the central bank are used during the years1978-2017.
2- THEORETICAL FRAMEWORK
Monetary policy is a set of actions that the central bank (monetary authority) through monetary instruments affect many economic goals such as price stability, exit from recession, stimulation of economic growth and increasing employment. This effect of monetary policy on the set goals and improvement in macroeconomic performance will indicate the efficiency of monetary policy. Central banks, as monetary policy makers in most countries of the world, seek the effectiveness of their monetary policies and to better understand the structures governing their economic environment in order to implement appropriate and timely policies and put economic variables on the path of growth and development. In this regard, how to formulate monetary policy and use monetary instruments is of particular importance in macroeconomics.
3- METHODOLOGY
A novel feature of the Markov switching model is that the regime change mechanism in this model depends on a status variable. in other words, the recent value of the state variable just depends on the its value in previous periods. to calculate the unconditional probabilities in a model that include two regimes indicate the probability of being in each regime, we can consider the possibility of changing the parameters in different regimes, the linear VAR model transforme the MSVAR model:
4- RESULTS &DISCUSSION
The role of the exchange rate channel in transferring money to inflation is positive in both regimes, meaning that it increases inflation. Given the structure of the Iranian economy and due to the high dependence on the price of finished products of domestic production to imported capital goods, it seems that the exchange rate will play a dominant role in determinayion the fate of inflation in the Iranian economy.
The role of housing price channel in transferring money to inflation in regime one increases inflation and negative effects on monetary policy in Iran’s economy, while in regime two, housing price channel in transferring money to inflation has played the largest share in reducing inflation.
The role of corporate credit channel in transferring money to inflation in the regime has a greater share than the second regime in transferring money to inflation. As a result, in economic policies, special attention should be paid to the inflationary effects if the granted facilities.
Stock price channel, support of the stock market should be one of the main priorities of officials. Because in the Iranian economy, which is always involved in high inflation, the stock market without inflationary effects can increase investment to increase production.
5-CONCLUSIONS & SUGGESTIONS
According to our results, it is suggested that to control inflation, policymakers should pay special attention to changes in currency price. At the same time, the policymaker can reduce the dependence of the country's industry on the import of capital goods and strengthen domestic financial instruments, such as the return on bank deposits, stock exchanges, etc. To strengthen other transfer channels so that it can rely on other channels to control inflation.
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