تاثیر نااطمینانی نرخ ارز بر تقاضای پول در ایران

اقتصاد پولی مالی

مقاله 5، دوره 22، شماره 10، دی 1394   

نوع مقاله: پژوهشی

شناسه دیجیتال (DOI): 10.22067/pm.v22i10.36597

نویسندگان

مهدی ادیب پور^{* 1}؛ مریم الهامی²

¹دانشگاه آزاد اسلامی، واحد فیروزکوه

²دانشگاه آزاد اسلامی واحد فیروزکوه

چکیده

هدف پژوهش حاضرT بررسی تأثیر نااطمینانی نرخ ارز حقیقی بر تقاضای پول در ایران طی دورة (1)1367- (4)1387 است. بدین منظور در ابتدا نااطمینانی نرخ ارز حقیقی با استفاده از الگوی ناهمسانی واریانس شرطی تعمیم یافته (GARCH) محاسبه و سپس متغیر مذکور به همراه متغیرهای تولید ناخالص داخلی، تورم (به‌عنوان متغیری برای در نظر گرفتن هزینه فرصت نگه‌داری پول) و نرخ ارز حقیقی وارد تابع تقاضای پول شد. برآورد تابع تقاضای پول با روش تصحیح خطای برداری (VEC) نشان دهنده آن بود که نااطمینانی نرخ ارز حقیقی بر تقاضای پول اثر منفی بر جای گذاشته است؛ به‌عبارت‌دیگر با نوسان بیشتر نرخ ارز حقیقی از میزان تقاضا برای پول داخلی کاسته شده است که وجود رابطه منفی و معنی دار میان تقاضای پول و نرخ ارز حقیقی در اقتصاد ایران، تأییدی بر اثر جانشینی میان این دو متغیر می‌باشد. افزون بر این کشش درآمدی تقاضای پول (M2) نیز مثبت معنادار و رابطه میان تقاضای پول با نرخ ارز حقیقی و تورم نیز به شکل معکوس و معنی‌دار به دست آمد.

کلیدواژه‌ها

تقاضای پول؛ نرخ ارز؛ نااطمینانی نرخ ارز

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