اثر شوک‏‏های متقارن و نامتقارن نفتی بر شاخص کل قیمتی در بازار بورس اوراق بهادار تهران

اقتصاد پولی مالی

مقاله 2، دوره 21، شماره 8، دی 1393، صفحه 30-61   

نوع مقاله: پژوهشی

شناسه دیجیتال (DOI): 10.22067/pm.v21i8.45852

نویسندگان

علی حسن زاده^{* 1}؛ مهران کیانوند²

¹پ‍‍ژوهشکده پولی و بانکی جمهوری اسلامی ایران

²باشگاه پژوهشگران جوان دانشگاه آزاد اسلامی واحد تهران مرکزی

چکیده

چکیده
با توجه به اهمیت تغییرات قیمت نفت در درآمد‏های نفتی ایران به عنوان یک کشور صادر‏کننده نفت و در نتیجه اثرات آن بر اقتصاد نفتی کشور، هدف این مقاله بررسی اثرات شوک‏‏های نفتی بر تغییرات مهم‏ترین شاخص بورس اوراق بهادار در ایران یعنی شاخص کل قیمتی می‏باشد.
بدین منظور از داده‏های ماهانه از 1370:1 تا 1390:9(1991:4 تا 2011:12) استفاده گردید. برای بررسی رابطه بین قیمت نفت و سهام، علاوه بر متغیر‏های قیمت نفت و شاخص قیمتی سهام، نرخ ارز واقعی و حجم نقدینگی نیز به مدل اضافه شده استهم‏چنین از سه معیار مختلف برای مشخص کردن شوک‏‏های نفتی استفاده شده است: شوک‏‏های خطی، شوک‏‏های موزون شده و شوک‏‏های خالص. تحلیل آماری در قالب مدل‎های سری زمانی شامل گارچ (GARCH) و خود توضیحی(VAR)‌ انجام یافته است.
طبق نتایج به دست آمده، شوک‏‏های نفتی اثر مثبت بر شاخص‏‏های سهام دارند یعنی با افزایش قیمت نفت، شاخص‏‏های سهام نیز افزایش می‏یابند. هم‏چنین نتایج حاکی از آنست که اثر شوک‏‏های پولی بیشتر از شوک‏های نفتی می‏باشد. آزمون اثرات نا متقارن نیز وجود هر گونه اثر نامتقارن نفتی بر شاخص سهام را تایید نمی‏کند.‏

کلیدواژه‌ها

شوک نفتی؛ شاخص بازار بورس؛ سری‏های زمانی

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