مدلسازی اقتصادسنجی

مدلسازی اقتصادسنجی

پیش بینی بازده دارایی‌های صنعت بیمه ایران: رویکردهای TVP-Graph و BSTS

نوع مقاله : مقاله پژوهشی

نویسندگان
1 استاد، دانشکده علوم اقتصادی و اداری، دانشگاه مازندران، ایران
2 دانشجوی دکتری، دانشکده علوم اقتصادی و اداری، دانشگاه مازندران، ایران
چکیده
صنعت بیمه در پایداری اقتصادی و مدیریت ریسک نقش مؤثری ایفا می‌کند. این پژوهش با هدف پیش‌بینی بازده دارایی‌ها  در صنعت بیمه ایران از مدل ساختاری بیزی بهره گرفته و برای شناسایی متغیرهای کلیدی از مدل TVP-Graph استفاده کرده است. داده‌های سری‌زمانی سال‌های ۱۳۹۰ تا ۱۴۰۳ تحلیل شده‌اند. نتایج نشان می‌دهد که نسبت کفایت سرمایه و اهرم مالی اثرگذارترین عوامل بر ROA هستند، در حالی‌که نرخ بیکاری تأثیر معناداری نداشته است. پیش‌بینی ۲۴‌ماهه نشان‌دهنده پایداری نسبی اما شکننده در عملکرد مالی شرکت‌هاست و سطح بالای عدم قطعیت، ضرورت اقدامات اصلاحی در سیاست‌های مالی و مدیریتی را گوشزد می‌کند.
کلیدواژه‌ها

عنوان مقاله English

Prediction of Asset Returns in Iran's Insurance Industry: TVP-Graph and BSTS Approaches

نویسندگان English

Amir Mansour Tehranchian 1
Ahmad Jafari Samimi 1
mahdi gholamizare 2
1 Professor, Faculty of Economic and Administrative Sciences, University of Mazandaran, Iran
2 PhD Student, Faculty of Economic and Administrative Sciences, University of Mazandaran. Iran
چکیده English

The insurance industry plays a vital role in economic stability and risk management. This study aims to forecast the return on assets (ROA) in Iran’s insurance sector using the Bayesian Structural Time Series (BSTS) model, while identifying key macroeconomic drivers via the TVP-Graph approach. Based on time-series data from 2011 to 2024, findings indicate that capital adequacy and financial leverage are the most influential factors on ROA, whereas unemployment has no significant effect. The 24-month forecast suggests relatively stable yet fragile financial performance, highlighting a high degree of uncertainty and the need for structural and policy reforms.

کلیدواژه‌ها English

Insurance industry
Return on assets
TVP-Graph and BSTS
macroeconomic variables
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