آزمون خنثایی پول در کوتاه مدت و بلند مدت در اقتصاد ایران با تاکید برتکانه های پولی: کاربردی از رهیافت آزمون کرانه ها

اقتصاد پولی مالی

مقاله 3، دوره 23، شماره 11، آبان 1395، صفحه 46-82   

نوع مقاله: پژوهشی

شناسه دیجیتال (DOI): 10.22067/pm.v23i11.38066

نویسندگان

حسن خداویسی^{* 1}؛ احمد عزتی شورگلی²

¹ِدانشگاه ارومیه

²دانشگاه ارومیه

چکیده

یکی از موضوعات بسیار مهم برای سیاست‌گذاران اقتصادی در سطح کلان، نحوۀ رفتار متغیر ها در بلندمدت و کوتاه مدت در نتیجه تغییر پارامترهای سیاستی می باشد. ازجمله پارامترهای مهم سیاست‌گذاری، ابزارهای سیاست پولی است که این مقاله بر آن تمرکز دارد. در حقیقت یکی از موضوعات مورد بحث در ادبیات اقتصاد نظری، نحوه تأثیر سیاست پولی و شوک‌های پولی بر متغیرهای واقعی است. این پژوهش به بررسی آزمون خنثایی پول و عدم تقارن تکانه های پولی در ایران، با استفاده از داده های فصلی دورۀ زمانی (1369:1-1393:3) می پردازد. الگوی اقتصادسنجی به کارگرفته شده در این مقاله رهیافت آزمون کرانه ها، روش فیلتر هدریک-پرسکات و مدل خود رگرسیون با وقفه های توزیعی است. نتایج حاصل نشان می دهد که پول در بلندمدت در اقتصاد ایران خنثی است، ولی در کوتاه مدت، رشد نقدینگی تولید را تحت تأثیر قرار می دهد. سپس با استفاده از روش فیلتر هدریک-پرسکات، شوک‌های مثبت و منفی پولی و ادوار تجاری اقتصاد ایران تفکیک می شوند. نتایج حاکی از آن است که شوک‌های پولی تأثیر نامتقارنی بر تولید دارد. همچنین اثر شوک‌های پولی بر تولید طی سیکل‌های تجاری نامتقارن است.

کلیدواژه‌ها

خنثایی پول؛ تکانه های پولی؛ رهیافت آزمون کرانه ها؛ مخارج دولت

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