اثرات سرریز نااطمینانی در اقتصاد ایران (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
هدف: هدف از تحقیق حاضر بررسی اثرات سرریز نااطمینانی در اقتصاد ایران است. بدین منظور نوسانات هر یک از بازارها (نفت، ارز، سهام) در بروز نااطمینانی در فضای اقتصاد ایران مورد بررسی و اثرات سرریز نااطمینانی حاصل از هر بخش به سایر بخش ها برآورد می گردد. روش: یکی از ایرادات وارده بر مد ل های خانواده GARCH آن است که نوسانات مثبت و منفی با اندازه برابر، اثر یکسانی بر ماتریس کوواریانس شرطی دارند، این ویژگی همان اثر تقارن است. اما در عمل ممکن است واکنش اقتصاد به وقایع خوب و بد متفاوت باشد، لذا برای رفع این مشکل از مد ل های ترکیب غیرخطی GARCH با پسوند BEKK استفاده شده است. یافته ها: در تحلیل اثرات GARCH متغیرهای برونزا و ضرایب برآوردی ماتریس Bx می توان دریافت که انتقال نااطمینانی تحریم به بازار آرزو بخش تولید قابل توجه است. به علاوه انتقال تلاطم از سوی رشد درآمد نفت، شاخص تحریم و شاخص بازار پول به سایر بخشهای مورد مطالعه نیز مورد تأیید قرارگرفته است. بر اساس نتایج به دست آمده، سرریز تکانه ها و تلاطم میان بازار سهام، ارز و تولید ناخالص داخلی (به جز از بخش تولید به سمت بازار ارز) دو سویه است. نتیجه گیری: بر اساس نتایج به دست آمده، بیشترین اثر سرریز تکانه های نفت به بخش تولید (184/0) انتقال می یابد، به این معنا که بخش تولید در مقابل تکانه های قیمت نفت نسبت به دو بخش مورد مطالعه دیگر(بازار ارز و سهام) آسیب پذیرتر است و انتقال نااطمینانی قیمت نفت به GDP و بازار ارز قابل توجه است.The Spillover Effects of Uncertainty in Iran's Economy
Objective: Under uncertain conditions in the economy, the process of planning and decision-making as well as policy-making in all economic sectors, including households, enterprises, the government and the financial market, is disrupted, because the possibility of prediction decreases and it becomes difficult for economic actors to realize future visions. In such a situation, economic agents are faced with uncertainty regarding consumption, savings or investment decisions, expenditure-tax policies, laws and regulations, and future interest rates. In other words, decision-making has become difficult for economic agents and makes them hesitate to make decisions in the hope of achieving a more stable position in the future. The purpose of this research is to investigate the spillover effects of uncertainty in Iran's economy. For this purpose, the fluctuations of each of the markets (oil, currency, stocks) in the occurrence of uncertainty in the Iranian economy are investigated and the spillover effects of uncertainty resulting from each sector to other sectors are estimated.Method: In some applications of the ARCH model, conditional variance equations with relatively long intervals are used, which requires determining the structure of the intervals to avoid the problem of negative parameters in the variance, so that a process with a longer memory and a more flexible interval structure can be selected from the ARCH category. To achieve more flexibility, another generalization is proposed as the generalized ARCH (GARCH) process. This has made forecasting in financial markets more complicated. Therefore, nowadays, multivariable models have been developed a lot in order to model the dynamics of returns. Using multivariate time series models has two important advantages. Firstly, it is very effective in identifying the relationship between series, secondly, it will increase the accuracy of forecasting. For example, if the past values of one series influence another series, it is better to use multivariate models. Of course, using systemic or multivariable models instead of single-variable models will bring two important limitations. First, the more parameters that are estimated, the accuracy of the results will decrease and we need more data for the results to be reliable. Second, in many cases, the results do not have a high explanatory power. In multivariate GARCH models, the number of parameters increases drastically with the increase in the dimension of the model, and on the other hand, it is necessary for the variance matrix to be positive definite. Establishing these characteristics by the estimated parameters is not so simple. To estimate the parameters of multivariate GARCH models, the maximum likelihood method is mainly used, although the two-step method is also common. One of the problems with GARCH family models is that positive and negative fluctuations with equal size have the same effect on the conditional covariance matrix, this feature is the symmetry effect. But in practice, the reaction of the economy to good and bad events may be different, so to solve this problem, non-linear GARCH combination models with BEKK extension have been used. Results: Based on the findings of the research, the only variable of GDP excluding oil income has a structural failure during its process in the second quarter of 2011, and other variables are also without structural failure. Based on the criteria for measuring the accuracy of modeling estimations, the VARMAX GARCH-in-Mean Asymmetric BEKK model has provided more accurate results in terms of structural failure. Given that the number of conditional mean and conditional variance-covariance equations depends on the number of endogenous variables; In the current research (due to the presence of three endogenous variables), three equations for the average part and three equations for the variance-covariance part have been designed. In the analysis of the GARCH effects of exogenous variables and estimated coefficients of the Bx matrix, it can be seen that the transfer of the uncertainty of sanctions to the market of the production sector is significant. In addition, the transfer of turbulence from the growth of oil income, sanctions index and money market index to other studied sectors has also been confirmed. Based on the obtained results, the spillover of impulses and turbulence between the stock market, currency and gross domestic product (except from the production sector towards the currency market) is two-way.Conclusion: During the studied period, the most transfer of turbulence from the previous period of the currency market to the current period has occurred in the currency market. Also, in the analysis of GARCH effects of exogenous variables and estimated coefficients, it can be seen that the transfer of oil price uncertainty to real GDP and foreign exchange market is significant. In addition, the transfer of the turbulence resulting from sanctions to the currency market has also been confirmed. The estimated coefficients of the matrix indicate the confirmation of the existence of asymmetric effects of BEKK in the studied variables. Also, a careful examination of the estimated coefficients shows that the reflection of bad news of oil on the turbulence of the production sector and the bad news of sanctions on the turbulence of the stock market has appeared more than other studied sectors.
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