بررسی اثرات نامتقارن نرخ ارز حقیقی بر تراز تجاری دوجانبه ایران با شرکای تجاری (منحنی J): کاربرد رویکرد CS-ARDL پانلی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی کارشناسی ارشد اقتصاد، دانشکده اقتصاد، دانشگاه تهران، تهران، ایران

2 استادیار اقتصاد، دانشکده اقتصاد، دانشگاه تهران، تهران، ایران

10.22075/jem.2025.38284.2019

چکیده

این مطالعه به بررسی تأثیر نرخ ارز حقیقی بر تراز تجاری دوجانبه ایران با ۲۶ شریک تجاری طی دوره زمانی 1981 تا 2023 می‌پردازد. با توجه به اینکه وابستگی مقطعی یک مسئله مهم در این متغیرها محسوب می‌شود و شواهد آماری قوی نیز آن را تأیید می‌کنند، از آزمون‌های ریشه واحد و هم‌انباشتگی نسل دوم و همچنین رویکرد ARDL تعمیم‌یافته مقطعی (CS-ARDL) که این وابستگی را لحاظ می‌کنند، استفاده شده است. علاوه بر این، عدم تقارن در واکنش تراز تجاری به تغییرات مثبت و منفی (با مقدار یکسان) نرخ ارز بررسی شده است. نتایج آزمون‌های هم‌انباشتگی وسترلاند نشان می‌دهند که یک رابطه بلندمدت میان تراز تجاری و نرخ ارز حقیقی، درآمد حقیقی شرکای تجاری و درآمد حقیقی ایران وجود دارد. بنابراین، مدل تصحیح خطای مبتنی بر رویکرد CS-ARDL برای برآورد این رابطه بلندمدت و پویایی‌های کوتاه‌مدت با استفاده از برآوردگر میانگین گروهی ترکیبی با اثرات مشترک همبسته پویا (DCCEPMG) برآورد شده است. برآوردها نشان می‌دهند که تغییرات نرخ ارز حقیقی در هر دو افق بلندمدت و کوتاه‌مدت دارای اثرات مثبت و متقارنی بر تراز تجاری هستند؛ به‌گونه‌ای که تضعیف (کاهش ارزش) پول ملی موجب بهبود و تقویت (افزایش ارزش) آن موجب بدتر شدن تراز تجاری ایران می‌شود. بنابراین، اگرچه اثرات بلندمدت با فرضیه منحنی J متقارن سازگاری دارند، اما تعدیلات کوتاه‌مدت این فرضیه را تأیید نمی‌کنند. با این وجود، شرط مارشال-لرنر نه تنها در بلندمدت، بلکه در کوتاه‌مدت نیز برقرار است. افزون بر این، نتایج نشان می‌دهند که در بلندمدت، درآمد حقیقی ایران اثر منفی و درآمد حقیقی شرکای تجاری اثر مثبت و معناداری بر تراز تجاری ایران دارند. یافته‌های این پژوهش بینش‌های مفیدی برای سیاست‌گذاران اقتصادی در راستای تدوین سیاست‌های مؤثر ارزی و تجاری با هدف بهبود تراز تجاری ایران ارائه می‌دهند.

کلیدواژه‌ها

عنوان مقاله [English]

Asymmetric Effects of the Real Exchange Rate on Iran’s Bilateral Trade Balance with Its Trading Partners (J-Curve): An Application of the Panel CS-ARDL Approach

نویسندگان [English]

  • Elahe Ariya Movahed 1
  • Amin Haghnejad 2
1 M.A. Student in Economics, Faculty of Economics, University of Tehran, Tehran, Iran
2 Assistant Professor of Economics, Faculty of Economics, University of Tehran, Tehran, Iran
چکیده [English]

This study investigates the impact of the real exchange rate on Iran’s bilateral trade balance with 26 trading partners over the period 1981–2023. Given the significant presence of cross-sectional dependence among the variables—supported by strong statistical evidence—second-generation panel unit root and cointegration tests, as well as the Cross-Sectionally Augmented ARDL (CS-ARDL) approach, are employed to account for this feature. Furthermore, the potential asymmetry in the trade balance’s response to positive and negative changes in the real exchange rate is examined. Results from Westerlund cointegration tests confirm the existence of a long-run relationship between the trade balance, the real exchange rate, Iran’s real income, and the real income of its trading partners. Accordingly, an error correction model based on the CS-ARDL framework is estimated using the Dynamic Common Correlated Effects Pooled Mean Group (DCCEPMG) estimator to capture both the long-run relationship and short-run dynamics. The estimates reveal that real exchange rate changes have positive and symmetric effects on the trade balance in both the long and short run. Specifically, a depreciation of the domestic currency improves the trade balance, while an appreciation worsens it. Hence, while the long-run results are consistent with the symmetric J-curve hypothesis, the short-run adjustments do not support the J-curve effect. Nevertheless, the Marshall–Lerner condition holds not only in the long run but also in the short run. Furthermore, the findings show that, in the long run, Iran’s real income has a significant negative effect, whereas the real income of its trading partners has a significant positive effect on Iran’s trade balance. The findings of this study provide useful insights for economic policymakers in formulating effective exchange rate and trade policies aimed at improving Iran's trade balance.

کلیدواژه‌ها [English]

  • Real Exchange Rate
  • Bilateral Trade Balance
  • J-Curve
  • Iran
  • Panel CS-ARDL

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