برآورد حباب قیمتی در بازار ارز ایران با استفاده از الگوی فضای حالت غیرخطی: کاربردی از فیلترکالمن نقطه سیگما (SPKF)

اقتصاد پولی مالی

مقاله 1، دوره 25، شماره 16، آبان 1397، صفحه 33-50   

نوع مقاله: پژوهشی

شناسه دیجیتال (DOI): 10.22067/pm.v25i15.54315

نویسندگان

سعید راسخی^{* 1}؛ میلاد شهرازی²؛ زهرا میلاعلمی²

¹دانشگاه مازندران

²مازندران

چکیده

به طور کلی، کشف صحیح حباب‎های قیمتی دارایی‏ها به دلیل نااطمینانی در شناسایی دقیق عوامل بنیادین و تصادفی بودن آنها پیچیده و دشوار است. به ویژه، اگر حباب‏ها ذاتی بوده و به بنیادها وابسته باشند، تصریح صحیح معادله حباب دشوارتر می‏شود. بسیاری از روش‎هایی که تاکنون جهت آزمون حباب‏های قیمتی به کار گرفته شده‎اند، به دلایل مختلفی مورد انتقاد قرار گرفته‎اند. در این راستا، مطالعه حاضر با تشکیل یک الگوی فضای حالت غیرخطی از تکنیک فیلتر کالمن نقطه سیگما (SPKF) برای اندازه‌گیری حباب‎های قیمتی در بازار ارز غیررسمی ایران در بازه زمانی 1394:06-1381:01 استفاده کرده است. نتایج نشان می‏دهد که‏ بخش قابل توجهی از تغییرات نرخ ارز در این دوره زمانی، به خصوص در دهه 1390، به دلیل تشکیل حباب‎های قیمتی بوده است. در این چارچوب، بیشترین سهم حباب‌ها در تغییرات نرخ ارز نیز مربوط به ماه مهر سال 1391 بوده است، به طوری‎که حدود 61 درصد از افزایش نرخ ارز در این ماه در مقایسه با ماه قبل به حباب قیمتی نسبت داده شده است. به علاوه، در سال 1394، حباب‏های نرخ ارز بسیار ناچیز و ارزش بازاری نرخ ارز نزدیک به ارزش بنیادی آن بوده است.

کلیدواژه‌ها

حباب‏های قیمتی؛ مدل فضای حالت غیرخطی؛ فیلتر کالمن نقطه سیگما (SPKF)؛ بازار ارز؛ ایران

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