عوامل مؤثر بر تلاطمات ارزی در ایران: رهیافت میانگین‌گیری پویا با ضرایب متغیر در زمان (TVP-DMA)

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد، دانشکده اقتصاد، مدیریت و حسابداری دانشگاه یزد

2 دانشیار اقتصاد، دانشکده اقتصاد، مدیریت و حسابداری دانشگاه یزد

10.22075/jem.2024.33093.1911

چکیده

ثبات نرخ ارز و به‌طور کلی بازار ارز از جنبه‌های مختلفی برای اقتصاد ایران حائز نقش و اهمیت ویژه‌ای است، چرا که تلاطمات نرخ ارز تأثیرات گسترده‌ای بر بخش داخلی و خارجی اقتصاد کشور و همچنین احتمال بروز انواع مختلف بحران‌های اقتصادی در محیط اقتصادی کشور به همراه دارد. در این راستا مطالعه حاضر با استفاده از داده‌های فصلی در دوره زمانی (1401-1376)  بر شناسایی مهم‌ترین متغیرهای اثرگذار بر رفتار نرخ ارز متمرکز شده و برای نیل به این هدف نیز ابتدا شاخص تلاطم نرخ ارز در قالب الگوی (GARCH) استخراج گردیده و در گام بعد مهم‌ترین عوامل مؤثر بر رفتار این متغیر اقتصادی در چارچوب الگوی میانگین‌گیری پویا با ضرایب متغیر در زمان (TVP-DMA) شناسایی شده است. یافته‌های این پژوهش حاکی از آن است که بیشترین میزان تلاطمات نرخ ارز در سال‌های پایانی دهه 1390 رخ داده است که در این بین به ترتیب متغیرهای مقدار گذشته تلاطم نرخ ارز، کسری بودجه دولت، نرخ تورم، تحریم‌های اقتصادی، نقدینگی، نااطمینانی سیاست اقتصادی و تورم انتظاری آحاد جامعه نقش محوری را در تغییرات رفتاری نرخ ارز ایفا کرده‌اند.

کلیدواژه‌ها

عنوان مقاله [English]

The Important Factors Affecting Exchange Rate Volatility in Iran: Dynamic Averaging Approach with Time-varying Coefficients (TVP-DMA)

نویسندگان [English]

  • Robabeh khilkordi 1
  • Seyed-nezamuddin Makiyan 2
  • Habib Ansari Samani 2
1 Ph.D. Student, Economics Department, Yazd University
2 Associate Prof., Economics Department, Yazd University
چکیده [English]

The stability of the exchange rate and the foreign exchange market has a special role for Iran's economy from various aspects. This is because exchange rate fluctuations have wide-ranging impacts on both the domestic and foreign sectors of the country's economy, and they also increase the likelihood of various types of economic crises in the country's economic environment. In this context, the present study focuses on identifying the most important variables affecting exchange rate behavior using seasonal data during the period of 1997-2022. In this regard, this study is focused on identifying the most important variables affecting the behavior of the exchange rate volatility. To achieve this goal, the index of exchange rate volatility has been extracted using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Then, considering the extensive changes and transformations that have been occurred in the internal and external situation of the country's economy, the necessity of using dynamic models with variable regression coefficients has been emphasized. Thus, the most important factors affecting the behavior of this economic variable have been identified in the framework of the Time-Varying Parameter Dynamic Model Averaging (TVP-DMA). Findings of this research indicate that the highest amount of exchange rate fluctuations occurred by the end of 2013, in which the variables of the past amount of exchange rate fluctuations, government budget deficit, inflation, economic sanctions, liquidity, uncertainty of economic policy and the expected inflation of pepoles has played a key role in the behavioral changes of the exchange rate, respectively.

کلیدواژه‌ها [English]

  • Exchange Rate Volatility
  • Generalized Autoregressive Conditional Heteroskedasticity
  • Time-varying Parameter Dynamic Model Averaging

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