اثر نا اطمینانی نرخ ارز بر تقاضای واردات کشورهای عضو منا

اقتصاد و توسعه منطقه ای

مقاله 10، دوره 21، شماره 8، بهمن 1393   

نوع مقاله: مقالات پژوهشی

شناسه دیجیتال (DOI): 10.22067/erd.v21i8.43936

نویسندگان

مهدی بهراد امین^* ؛ غلامرضا زمانیان

چکیده

چکیده
نرخ ارز همواره به‌عنوان یک متغیر کلیدی و مهم اقتصادی در سیاست گذاری‌ها قلمداد می‌شود. علاوه بر این، بعد از به کارگیری نظام نرخ ارز شناور در دهه هفتاد میلادی، نوسانات و نا اطمینانی نرخ ارز و اثرات آن بر تجارت بین‌الملل نیز موردتوجه محققین واقع شد. اگرچه بیشتر مدل‌های تجارت استدلال می‌کنند که نوسانات نرخ ارز، نا اطمینانی و ریسک را افزایش می‌دهد و درنتیجه موجب کاهش جریان‌های تجاری ازجمله واردات می‌شود؛ بااین‌حال، برخی از مطالعات دیگر خلاف آن را نشان می‌دهند. مطالعه حاضر اثر نا اطمینانی نرخ ارز واقعی بر تقاضای واردات پنج کشور منتخب از کشورهای عضو منا، طی دوره زمانی 2012- 1980 را با استفاده از داده های سالانه موردبررسی قرار داده است. مدل EGARCH برای تولید لگاریتم سری‌های واریانس GARCH (تخمین نا اطمینانی نرخ ارز) و روش داده‌های تابلویی با اثرات تصادفی برای برآورد مدل استفاده‌شده است. نتایج، حاکی از اثر منفی متغیر نا اطمینانی نرخ ارز واقعی بر واردات واقعی در بلند مدت است. در بلند مدت، افزایش در نا اطمینانی نرخ ارز واقعی می‌تواند تراز تجاری کشور را از طریق کاهش تقاضای واردات بهبود بخشد، اما درعین‌حال ممکن است تولیدات صنعتی در اثر کاهش واردات کالاهای سرمایه‌ای و واسطه‌ای آسیب ببیند؛ بنابراین ازدیدگاه سیاستی، تثبیت نرخ ارز مؤثر واقعی از طریق نرخ‌های ارز اسمی عمده، ضروری به نظر می‌رسد.
کلید واژه ها: نا اطمینانی نرخ ارز، ای گارچ (EGARCH)، واردات، داده های تابلویی.

طبقه‌بندی JEL : F11، F14، F17، F31

کلیدواژه‌ها

نا اطمینانی نرخ ارز؛ ای گارچ (EGARCH)؛ واردات؛ داده های تابلویی

مراجع

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