بررسی سرریز تلاطم بین شاخص های قیمت حامل های انرژی و گروه های مختلف کالاها و خدمات مصرفی (با استفاده از مدل VAR-BEKK GARCH) (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
اصلاح قیمت حامل های انرژی، با توجه به نوع حامل ها در مصرف نهایی یا واسطه ای می تواند در تغییر سطح عمومی قیمت ها نقش داشته باشد. برخی از حامل های انرژی که در سبد مصرف نهایی خانوارها قرار دارند، اصلاح قیمت آن ها به طور مستقیم شاخص قیمت مصرف کننده را تغییر می دهد و برخی دیگر از این حامل ها به عنوان کالای واسطه ای برای بنگاه های اقتصادی مورداستفاده قرار می گیرند که اصلاح قیمت آن ها بر شاخص قیمت تولیدکنندگان اثر می گذارد، در نهایت تغییر در شاخص قیمت تولیدکنندگان، می تواند در افزایش قیمت کالاهای تولیدی بنگاه ها مؤثر باشد. هدف اصلی این تحقیق بررسی سرریز تلاطم بین شاخص قیمت حامل های انرژی و شاخص قیمت گروه های منتخب کالاها و خدمات مصرفی است برای این منظور از مدل VAR-BEKK GARCH دومتغیره جهت وابستگی های پویا بین نوسانات متغیرها طی دوره زمانی اردیبهشت ماه 1381 تا فروردین 1395 استفاده شده است. نتایج تحقیق نشان می دهد هر نوع اصلاح یا تعدیل قیمت حامل انرژی علاوه بر تأثیر مستقیم بر سطح عمومی قیمت ها از کانال شاخص قیمت گروه های «کالاها»، «حمل ونقل»، «ارتباطات»، «تفریح و فرهنگ» و «مسکن» نیز منجر به نوسان و تغییرات شاخص کل می گردد. همچنین نتایج حاصل از آزمون انتقال سرایت از گروه های منتخب روی شاخص قیمت حامل های انرژی حاکی از آن است که شاخص قیمت گروه های «خدمات»، «آموزش»، «خوراکی، دخانیات، آشامیدنی»، «حمل ونقل»، «کالاها»، «بهداشت»، «ارتباطات» و «پوشاک» به ترتیب بیشترین انتقال نوسان به شاخص قیمت حامل های انرژی داشته اند.Investigating of Volatility Spillover among Energy Carriers Price Index and Price Index of Various Chosen Groups of Goods and Consumer Services Using VAR_BEKK GARCH Model
Volatility in energy prices is important for both producers and traders. High volatility would also lead to increased demand for storage and thus, to an increase in spot prices and convenience yield. Therefore understanding changes in volatility can help explain changes in other economic variables (Pindyck, 2004b). To accurately measure volatility, it is very important to understand the relationship between energy prices and different goods and services prices, their price determinants, and the underlying factors behind their price fluctuations. Subsidy Reform Plan of energy is one of the most important sections of economic reform plan which led to change in subsidy payment process in Iran. Based on this plan, government transfer payments for energy that was being done to hold down production costs and thus indirectly control the market price are removed and instead, domestic sale prices of gasoline, gas oil, fuel oil, kerosene and LPG and other oil derivatives, considering the quality of carriers and the associated costs (including transportation, distribution, taxes and legal duties) has been determined such that gradually by the end the fifth five-year Economic, Social and Cultural Development of the Islamic Republic of Iran is not Less than 90 percent of the price of delivery on board (FOB) in the Persian Gulf (Feizpour and Sarkar (2015). In 2010, with the beginning of economic reform plan, energy carriers price rose drastically. Since energy is one of the main inputs of production in manufacturing sector, this sector, like other production sectors, encountered input price rise. There are some energy carriers which are in the basket of household final consumption and reforming their prices directly would change the consumer price index and part of these carriers have been used as intermediate goods for enterprises that reforming their prices effect on producers price index, and finally changes in producers price index could influence on the increase in the prices of the producing goods of enterprises. The main purpose of this study is to simultaneously estimate price volatility in energy carriers price and price index of goods and consumer. For this purpose the VAR-BEKK GARCH in two variables is used for investigating of dynamic depencencies between variables fluctuations during the period of April 2002 to March 2016. We followed a multi variable GARCH approach to examine the level of interdependence and the dynamics of volatility between enrgy prices and some goods and services prices to identify and measure volatility spillovers among these variables. This paper used the BEKK model put forward by Engle and Kroner (1995). The BEKK model is suitable to characterize volatility spillovers across markets because it is flexible enough to account for own- and cross-volatility spillovers and persistence between markets (Wu and Li, 2013). To identify more clearly how the energy price and goods and services price volatilities interact, first consider the bivariate BEKK-GARCH model and choose lag length of VAR. The lag length corresponds to the optimal number as determined by the SBIC. Then testing for return spillovers from one market to the other markets is equivalent to testing the significance covariance of GARCH model. research results show that any modification or adjustment in prices of energy carriers in addition to its direct impact on the general price level from other ways such as price index of “goods”, “transportation”, “communication”, “entertainment and culture” and “housing” lead to fluctuation and change in total index. Also the results of the spread transmission test from chosen groups on energy carriers price index suggest that the price index of the groups of “education”, “food,tobacco,beverage”, “transportation”, “goods”, “health”, “communication”, “services”, and “clothing” have had the highest transfer of fluctuation in energy carriers price index respectively.
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