مکانیزم انتقال سیاست پولی در کوتاه مدت و بلندمدت با تکیه بر یک الگوی خودرگرسیون برداری ساختاری در ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری رشته اقتصاد، گروه اقتصاد، واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران

2 دانشیار دانشکده مدیریت و حسابداری، گروه اقتصاد، واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران

3 دانشیار دانشکده مدیریت و اقتصاد،گروه اقتصاد، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران

چکیده

هدف این مقاله بررسی اثرات سیاست پولی از طریق کانال های انتقال پولی(کانال بهره، کانال نرخ ارز، کانال اعتباری وکانال انتظارات) درکوتاه مدت و بلندمدت در طی دوره زمانی 1386Q1 -1396Q4 می باشد.بدین منظور با استفاده از الگوی خودرگرسیون برداری ساختاری (SVAR)اثرات سیاست پولی را از طریق کانال ها مورد بررسی قرار گرفت.  نتایج تجربی حاصل از تخمین روابط بین متغیرها با استفاده از رویکرد SVAR مبتنی بر داده های آماری نشان می دهد که در کوتاه مدت و بلند مدت کانال نرخ ارز موثرترین کانال در انتقال سیاست پولی می باشد به طوری که متغیر انتظارات بیشترین اثرگذاری را هم در کوتاه مدت و هم در بلندمدت بر این کانال دارد، بعد از کانال نرخ ارز،کانال انتظارات و پس از آن کانال اعتبارات و نرخ بهره می باشند که به ترتیب بیشترین تاثیر را درکوتاه مدت و بلندمدت دارد.
در نهایت نیز با بررسی اهمیت نسبی کانال های انتقال پولی نسبت به یکدیگر می توان اشاره کرد که با گذشت زمان اثرگذاری کانال ها تغییر خواهد کرد به طوری که با شوک قیمت ها کانال انتظارات در کوتاه مدت بیشترین تاثیر را دارد،میان مدت حجم پول اثرگذار است و در بلندمدت نیز کانال نرخ بهره موثراست.

کلیدواژه‌ها

عنوان مقاله [English]

Short-term and long-term monetary transmission policy based on structural vector auto regression model in Iran

نویسندگان [English]

  • Mahshid Tabatabaie zavareh 1
  • Beitollah Akbadri Moghaddam 2
  • Farhad Ghaffari 3
1 Ph.D. Student of Economics, Department of Economics, Qazvin Branch, Islamic Azad University, Qazvin, Iran
2 Associate Professor of the Faculty of Management and Accounting, Department of Economics, Qazvin Branch, Islamic Azad University ,Qazvin ,Iran
3 Associate Professor of the Faculty of Management and Economics, Islamic Azad University Science and Research Branch University ,Tehran, Iran،
چکیده [English]

The purpose of this article is to investigate the effects of monetary policy through monetary transmission channels (interest channel, exchange rate channel, credit channel and expectations channel) in the short and long term during the period 1386Q1-1396Q4. For this purpose, using the structural vector autoregression model of the effects Monetary policy was examined through channels. The experimental results obtained by estimating the relationships between variables using the SVAR approach based on statistical data show that in the short and long term, the exchange rate channel is the most effective channel in the transmission of monetary policy, so that the variable of expectations has both the most effect in the short term and long-term on this channel, after the exchange rate channel, there are expectations channel, and after that, credits and interest rate channel, which have the greatest impact in the short and long term, respectively.
Finally, by examining the relative importance of monetary transfer channels to each other, it can be pointed out that with the passage of time, the influence of the channels will change, so that with price shocks, the expectations channel has the greatest impact in the short term, and the medium term of the effective money and the interest rate channel is effective in the long term.

کلیدواژه‌ها [English]

  • Structural vector auto regression model
  • money transfer mechanism
  • money transfer channels

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