تأثیر نااطمینانی نرخ ارز بر تراز تجاری غیرنفتی ایران: رهیافت الگوی تلاطم تصادفی

اقتصاد پولی مالی

مقاله 7، دوره 25، شماره 15، اردیبهشت 1397، صفحه 49-80

نوع مقاله: پژوهشی

شناسه دیجیتال (DOI): 10.22067/pm.v25i16.64262

نویسندگان

بهنام الیاس پور¹؛ محمدطاهر احمدی شادمهری^{* 2}؛ محمدرضا لطفعلی پور¹؛ محمدعلی فلاحی¹

¹فردوسی مشهد

²دانشگاه فردوسی مشهد

چکیده

نرخ ارز از متغیرهای مهم در نظام اقتصادی است و در کشورهایی نظیر ایران که قسمت عمده درآمد دولت از محل عایدات ارزی ناشی از صدور مواد معدنی تأمین می‌شود، تغییر آن، مجموعه‌ای از تغییرات متفاوت و حتی متضاد را در بخش خارجی و داخلی اقتصاد به همراه دارد که برآیند آن می‌تواند عملکرد اقتصاد کشور را تحت تأثیر قرار دهد. این پژوهش به بررسی تأثیر نااطمینانی نرخ ارز واقعی بر تراز تجاری غیرنفتی ایران پرداخته و در این راستا ابتدا شاخص نااطمینانی نرخ ارز واقعی با استفاده از الگوی تلاطم تصادفی استخراج می‌شود. سپس اثر نااطمینانی نرخ ارز بر تراز تجاری غیرنفتی ایران با استفاده از مدل تراز تجاری اصلاح شده رز و یلن و روش هم‌جمعی یوهانسون-جوسیلیوس و داده‌های فصلی دوره زمانی 1368-1394 برآورد می‌گردد. نتایج تحقیق نشان می‌دهد که در بلندمدت نرخ ارز واقعی و نااطمینانی آن تأثیر منفی بر تراز تجاری غیرنفتی ایران دارند؛ بنابراین شرط مارشال-لرنر برقرار نیست. همچنین با توجه به توابع واکنش به ضربه وجود منحنی جی نیز رد می‌شود.

کلیدواژه‌ها

نرخ ارز واقعی؛ تراز تجاری غیرنفتی؛ نااطمینانی؛ مدل تلاطم تصادفی؛ هم‌جمعی

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