بررسی درجه عبور نرخ ارز بر قیمت واردات در شرایط نااطمینانی محیطی: با تاکید بر تغییرات رژیمی

اقتصاد پولی مالی

مقاله 9، دوره 26، شماره 18، آذر 1398، صفحه 267-292   

نوع مقاله: پژوهشی

شناسه دیجیتال (DOI): 10.22067/pm.v26i17.72743

نویسندگان

زهره اسکندری پور¹؛ مرضیه اسفندیاری^{* 2}

¹دانشگاه سیستان و بلوچستان

²سیستان و بلوچستان

چکیده

چکیده
هدف اصلی این مقاله بررسی درجه عبور نرخ ارز بر قیمت واردات در شرایط نااطمینانی محیطی با تاکید بر تغییرات رژیمی طی دوره زمانی 1352-1395 است. از اینرو از مدل EGARCH و رویکرد چرخشی مارکف استفاده شده است. نتایج حاصل از مدلسازی بی ثباتی ها نشان داد که شوک های منفی و مثبت به صورت نامتقارن در شکل گیری نااطمینانی متغیرهای نرخ ارز، GDP و درآمدهای نفتی نقش دارند. بر اساس نتایج رویکرد مدل چرخشی مارکف نیز، رابطه بین قیمت واردات با متغیرهای بنیادین آن از الگوی دو رژیمی پیروی می کند. بر مبنای نتایج، نرخ ارز، GDP، باز بودن تجاری و قیمت تولید کالاهای وارداتی در خارج تاثیر مثبت و معناداری بر قیمت کالاهای وارداتی دارد. همچنین درجه گذر نرخ ارز با لحاظ نااطمینانی های محیطی در هر دو رژیم بیش از واحد است. نااطمینانی های محیطی جزء ثابت درجه ی گذر نرخ ارز بر قیمت واردات را افزایش می دهند و علاوه بر آن شیب گذر نرخ ارز بر قیمت واردات نیز متاثر از نااطمینانی های محیطی است. در این بین نقش نااطمینانی از GDPدر افزایش شیب گذر نرخ ارز مثبت و نسبت به اثرات نااطمینانی نرخ ارز و درآمدهای نفتی بسیار بزرگ است.

کلیدواژه‌ها

قیمت واردات؛ عبور نرخ ارز؛ نااطمینانی اقتصاد کلان؛ رگرسیون چرخشی مارکف؛ EGARCH

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