رابطه غیرخطی نرخ ارز و نرخ تورم در ایران: رهیافت ناپارمتریک کوانتایل بر کوانتایل

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار گروه اقتصاد پژوهشکده امور اقتصادی

2 دانش آموخته دکتری علوم اقتصادی دانشگاه تربیت مدرس و پژوهشگر پژوهشکده امور اقتصادی، تهران، ایران

3 استادیار گروه اقتصاد دانشگاه پیام نور، تهران، ایران

چکیده

پژوهش حاضر آزمون رابطه میان نرخ تورم و نرخ ارز در ایران به عنوان دو شاخص‌ کلیدی عملکرد اقتصاد را هدف قرار داده است. برای این منظور داده‌های ماهانه دوره 1370:1-1402:4 و روش رگرسیونی کوانتایل بر کوانتایل، مورد استفاده قرار گرفته است. نتایج نشان می‌دهد میان دو متغیر، رابطه مثبت، متقارن و غیرخطی وجود دارد و اثر افزایش نرخ ارز بر تورم شدید‌تر از اثر افزایش نرخ تورم بر نرخ ارز است. افزایش تورم موجب افزایش نرخ ارز می‌گردد اما این موضوع در کوانتایل‌های مختلف نرخ ارز یکسان نیست. در کوانتایل‌های پایین نرخ ارز (کوانتایل 0 تا 4/0)، اثر تورم بر نرخ ارز بیشتر از کوانتایل‌ میانه (5/0) می‌باشد. به این صورت که در کوانتایل‌های پایین، ضریب آن در حدود 8/0 و در کوانتایل میانه کمتر از 4/0 است. همچنین در کوانتایل‌های بالاتر از میانه، مجدداً اثر تورم بر نرخ ارز افزایش می‌یابد و بیشترین اثرگذاری آن در کوانتایل‌های بالای نرخ ارز است که این ضریب به بیش از 2/1 می‌رسد. همچنین، اثر افزایش کوانتایل‌های بالای نرخ ارز (4/0 تا 95/0) بر کوانتایل‌های پایین نرخ تورم (0 تا 2/0) شدیدتر از اثرات آن بر کوانتایل‌های بالای نرخ تورم به دست آمده است.

کلیدواژه‌ها

عنوان مقاله [English]

Non-linear relationship between exchange rate and inflation rate in Iran: A nonparametric quantile-on-quantile approach

نویسندگان [English]

  • roozbeh balounejad nouri 1
  • Ameneh Shahidi 2
  • masood saadatmehr 3
1 Assistant Professor, Department of Economics, Economic Affairs Research Institute
2 PhD student of economic sciences of Tarbiat Modares University and researcher of Economic Affairs Research Institute, Tehran, Iran
3 Assistant Professor, Department of Economics, Payam Noor University, Tehran, Iran
چکیده [English]

The current study aims to test the relationship between inflation rate and exchange rate in Iran as two key indicators of economic performance. For this purpose, the monthly data of the period 1370:1-1402:4 and the quantile-by-quantile regression method have been used. The results show that there is a positive, symmetrical and non-linear relationship between the two variables, and the effect of the increase in the exchange rate on inflation is more severe than the effect of the increase in the inflation rate on the exchange rate. An increase in inflation causes an increase in the exchange rate, but this issue is not the same in different quantiles of the exchange rate. In the low quantiles of the exchange rate (quantile 0 to 4/0), the effect of inflation on the exchange rate is greater than in the median quantile (5/0). In this way, in the low quantiles, its coefficient is around 8/0 and in the middle quantile, it is less than 4/0. Also, in the quantiles above the middle, the effect of inflation on the exchange rate increases again, and its greatest effect is in the high quantiles of the exchange rate, where this coefficient reaches more than 2/1. Also, the effect of increasing the high quantiles of the exchange rate (4/0 to 95/0) on the low quantiles of the inflation rate (0 to 2/0) has been more intense than its effects on the high quantiles of the inflation rate.

کلیدواژه‌ها [English]

  • exchange rate
  • inflation
  • purchasing power parity theory
  • quantile-on-quantile regression

مراجع

Abdi Seyyedkolaee, M., Tehranchian, A.M., Jafari Samimi, A. & Gino, F. (2022). Non-linear Response of Inflation: A Real Effective Exchange Rate in Iran, Quarterly. Journal of Quantitative Economics(JQE), 19(1), 53-71. (In Persian)
Achsani, A., Fauzi, A.J. & Abdullah, P. (2010). The relationship between inflation and real exchange rate: comparative study between Asean + 3, the EU and North America. European Journal of Economics, Finance and Administrative Sciences, 18.
Ahmadinezhad Monfared, M. (2010). Inflation & Liquidity Affects on Exchange Rate Overshooting Based on Monetary Approach to Determine Exchange Rate: The Case Study of Iran 1971- 2008, Master's Thesis, Alzahra university, Department of economics. (In Persian)
Aisen, Ari., Manguinhane, E. & Simione, F. (2021). An Empirical Assessment of the Exchange Rate Passthrough in Mozambique.  IMF Working Paper, African department, WP/20/132.
Allor, P. (2020). The effect of monetary policy and inflation on the exchange rate: A case study of Ghana. Journal of Economics and International Finance, 12(4), 151-163.
Balounejad Nouri, R. & Farhang, A.A. (2022). New Evidence of the Effect of Oil Revenues, Exchange Rates and Money Quantile ARDL Approach:Supply on CPI and PPI. Iranian Journal of Economic Studies, 11(1), 103-120. (In Persian)
Ciner, C., Lucey, B. & Yarovaya, L. (2022). Determinants of cryptocurrency returns: A LASSO quantile regression approach. Finance Research Letters, 49, 1-16.
Devia, V. & Fadlib, F. (2022). The Effect of Inflation and Exchange Rate on Macroeconomics in Indonesia. Integrated Journal of Business and Economics, E-ISNN: 2549-3280, P,102-114.
Ellington, M. & Milas, C. (2019). Global liquidity, money growth and UK inflation. Journal of Financial Stability, 42, 1-22.
Galvao, A.F. (2009). Unit root quantile autoregression testing using covariates. Journal of Economics, 152, 165–178.
Ghaderi Moghadam, R., Rafiei Atani, A. & Baran Zahi, V. (2017). Investigating the Relationship between Inflation Rate and Exchange Rate in Iran's Economy (Using Vector Autoregression Method During the Period 2010-2015). Applied Research in Management and Accounting, 3(12),24-36. (In Persian)
Girma, M. (2017). Is there Causal Association between Exchange Rate and Inflation in Africa? A Panel Granger Causality Analysis. Paper for presentation at the Africa Economic Conference, Addis Ababa, 4 to 6 December.
Ha, J., Stocker, M. & Yilmazkuday, H. (2020). Inflation and exchange rate pass-through. Journal of International Money and Finance, 105, 1-21.
Hau, L., Zhu, Hu., Huang, R. & Ma, X. (2020). Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression. Energy, 213, 1-20.
Hufner, F.P. & Schroder, M. (2002). Exchange Rate Pass-Through to Consumer Prices: A European Perspective, ZEW Discussion Papers, 02-20.
Johansen, S. (1995). Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford University Press.
Nigina, Q. (2013). An empirical study of factors affecting inflation in Republic of Tajikistan. Munich Personal RePEc Archive (MPRA), 51888.
Mucuk, M. & Evren, S. (2023). What Drives Inflation in High-inflation Countries? Evidence from Haiti. Sudan, Türkiye and Zambia, Prague University of Economics and Business, 71(2), 238-266.
Khodeir, A.N. (2012). Towards inflation targeting in Egypt: The relationship between exchange rate and inflation. South African Journal of Economic and Management Sciences (SAJEMS),15(3), 325-332.
Kong, Y., Dong, C. & Zhang, Y. (2023). Quantile on Quantile Analysis of Natural resources-growth and geopolitical risk trilemma. Resources Policy, 85, 1-19.
 Liu,  T.Y. & Teng Ma, J. (2023). Exchange rate and inflation between China and the United States: A bootstrap rolling-window approach. Economic Systems, 1, 11-18.
Long, P.D., Hien, Q.H. & Ngoc, T. (2022). Impacts of inflation on gold price and exchange rate in Vietnam: time-varying vs fixed coefficient cointegrations. Asian Journal of Economics and Banking, 6(1), 88-96.
Martinez, R.M. (2021). The Law of One Price and the Purchase Power Parity theory: a review. Jaume Univercity, Bachelor's Degree in Economics.
Meng, L. & Li, J. (2024). Natural resources volatility and geopolitical risk: A novel perspective of oil and mineral rents using quantile-quantile regression for China. Resources Policy, 88,1-15.
Mohammad Esmaeil, M., Maaboudi, R. & Khorsand, M. (2022). Factors Affecting the Inflation Rate in Selected Developing Countries with the TVP-VAR Approach.The Journal of Computational Economics, 1(4),99-128. (In Persian)
Nogueira, R.P. (2006). Inflation targeting and the role of exchange rate pass-through. Econ. Apl. 11(2), 1-22.
Olivera, J.G. )1964(. On Structural Inflation And Latin-American 'Structuralism, Oxford Economic Papers. Oxford University Press, 16(3), 321-332.
Ozkan, O., Haruna, R.A., Adewale ALOLA, A., Ghardallou, W. & Usman,. (2023). Investigating the nexus between economic complexity and energy-related environmental risks in the USA: Empirical evidence from a novel multivariate quantile-on-quantile regression. Structural Change and Economic Dynamics, 65, 382-392.
Parab, P. (2022). Exchange rate pass-through in India. Indira Gandhi Institute of Development Research. Mumbai, Working Papers 2022-012.
Pourkazemi, M.H., Delfan, M. & Biravand, A. (2016). Designing a Warning System for Hyperinflation for Iran’s Economy. Journal of  Economic Research and Policies,23(76), 145-166. (In Persian)
Ramos-Herrera, M.C. & Rivero, S.S. (2023). Economic growth and deviations from the equilibrium exchange rate. International Review of Economics & Finance, 86(3),764-786.
Ringwald, L. & Zörner, T. (2023). The money-inflation nexus revisited. Journal of Empirical Finance, 73, 1-17.
Saboori Deilami, M.H., Bashiri, S. & ValiBeigi, H. (2022). Comovement of exchange rate and price indicators in Iran: An Application of Economic Physics in the Study of Mutual Relationships. The Journal of Economic Studies and Policies Semi-Annual, 8(2- 16), 83-108. (In Persian)
Safi, I. & Mashal, N. (2020). Exchange Rate Pass-through Effect on Inflation in Afghanistan, Da Afghanistan Bank, Monetary Policy Department,Research Unit.
Sim, N. & Zhou, H. (2015). Oil Prices, US Stock Return, and the Dependence Between Their Quantiles. Journal of Banking & Finance, 55,1-8.
Snowdon, B. & Vane, H.R. (2008). Modern Macroeconomics: Its Origins, Development and Current State, Cheltenham, UK and Northampton, MA, USA: Edward Elgar. 807.
Sun, Y., Gao, P., Ali Raza, S., Shah, N. & Sharif, A. (2023). The asymmetric effects of oil price shocks on the world food prices: Fresh evidence from quantile-on-quantile regression approach. Energy, 270,1-19.
Tahsili, H. (2022). The Impact of Exchange Rate Shock on Inflation in Iran's Economy: Application of the Threshold Vector Autoregression Model. Iranian Journal of Economic Research, 27(91),257- 285. (In Persian)
Tang, Shi., Ma, Y. & Altuntaş, M. (2022). Natural resources volatility, political risk and economic performance: Evidence from quantile-on-quantile regression. Resources Policy, 78, 1-16.
Tavakoli, A., Firoozeh, N. & Karimi, F. (2015). The Effect of Exchange Rate Fluctuations on Economic Growth and Inflation; 1961-2009. Journal Of Development Economics and Planning, 4(1), 1-19. (In Persian)
Tayebi, K., Nasrollahi, Kh., Yazdani, M. & Malek Hosseini, H. (2015). Analysis of the Effect of Exchange rate pass-through on Inflation in Iran (1991-2012). Journal of Economic Research، 20(63), 1-36. (In Persian)
Taylor, J.B. (2000). Low inflation, pass-through, and the pricing power of firms. European Economic Review, 44(7), 1389-1408.
Urbanovsky, T. (2016). The Effect of Inflation Differential on the Nominal Exchange Rate: The Case of USA and Canada, Proceedings of the 15th International Conference on Finance and Banking, Opava. Silesian University, 422-430.
Vafaei, R. (2012). Evaluate the Relationship Between Exchange Rate and Inflation with Emphasis on Exchange System in Iran, Master's Thesis. Alzahra university, Department of economics. (In Pershian)
Valogo, M.K., Duodu, E., Hadrat, Y. & Baidoo, S.T. (2023). Effect of exchange rate on inflation in the inflation targeting framework: Is the threshold level relevant?. Research in Globalization, 6, 1-50.
Xiao, Z. (2009). Quantile cointegrating regression. J. Econom. 150, 248–260.
Zakaria, F.D. (2016). Determinants of Inflation: Evidance from Asean-5 Countries, Master of Economics. Universiti Utara Malaysia.
Zamani, Elnaz. (2013). Interactive Effects of Inflation on the Exchange, Master's Thesis. Azad Islamic University Of Yazd. (In Persian)
Zhang, W., Bakhsh, S., Ali, K. & Anas, M. (2024). Fostering environmental sustainability: An analysis of green investment and digital financial inclusion in China using quantile-on-quantile regression and wavelet coherence approach. Gondwana Research, 128, 69-85.
Zubair, A., Okorie, G. & Sanusi, A.R. (2013). Exchange Rate Pass-Through to Domestic Prices in Nigeria: An Empirical Investigation, Central Bank of Nigeria. Economic and Financial Review, 51(1), 1-22.

فایل ها

هم رسانی

ارجاع به این مقاله

آمار