اندازه‌گیری شاخص نا اطمینانی اقتصادی رسانه‌بنیان با الگوریتم‌های یادگیری ماشین در ایران و تأثیر آن بر نرخ ارز

اقتصاد پولی مالی

مقاله 1، دوره 29، بهار و تابستان 1401 - شماره پیاپی 23، مهر 1401، صفحه 1-46   

نوع مقاله: مقاله پژوهشی

شناسه دیجیتال (DOI): 10.22067/mfe.2022.75682.1175

نویسندگان

حبیب حبیبی نیکجو¹؛ علی چشمی^{* 2}؛ مصطفی سلیمی فر³

¹دانشجوی دکتری علوم اقتصادی دانشگاه فردوسی مشهد

²دانشیار دانشگاه فردوسی مشهد

³استاد دانشگاه فردوسی مشهد

چکیده

چکیده
هدف اصلی مقاله اندازه‌گیری شاخص نا اطمینانی اقتصادی با استفاده از اخبار منتشرشده در شبکه‌های اجتماعی است. این روش اندازه‌گیری با فراگیری استفاده از شبکه‌های اجتماعی اهمیت بالایی پیدا کرده است. در این مقاله، با پایش و تحلیل 3,117,960 خبر از 28 کانال تلگرامی پرمخاطب و اثرگذار ایران، شاخص نا اطمینانی اقتصادی در ایران را از ژانویه 2017 تا دسامبر 2020 اندازه‌گیری شد. برای تحلیل این اخبار از روش‌های «یادگیری ماشین با ناظر» بهره ‌گرفته ‌شد. در مرحله اول 13404 خبر توسط ارزیابان انسانی برحسب اثرگذاری بر نا اطمینانی برچسب‌گذاری شد. سپس با استفاده از چهار الگوریتم («C4. 5» از روش‌های درخت تصمیم، «پرسپترون چندلایه» از روش‌های شبکه عصبی مصنوعی، «لجستیک» از روش‌های تابع‌محور و «بیز ساده» از روش‎‌های بیزی) برچسب‌گذاری کل اخبار انجام شد. شاخص نا اطمینانی اقتصادی به‌صورت شمارشی و بر اساس تعداد اخباری که اثرگذار بر نا اطمینانی اقتصادی هستند، اندازه‌گیری و مقدار این شاخص استاندارد شده و سپس کیفیت شاخص با شواهد تاریخی، برچسب‌گذاری مجدد و مقایسه با شاخص مبتنی بر داده‌های گوگل ارزیابی شد. شاخص محاسبه شده با وقایع مهم دوره مطالعه مانند خروج آمریکا از برجام، تحریم نفتی و بالا گرفتن تقابل آمریکا با ایران در ترور سردار سلیمانی همخوانی دارد. برآورد تأثیر نا اطمینانی اقتصادی رسانه‎‌بنیان بر نرخ ارز با مدل گارچ، اثر مثبت و معنی‌دار این نا اطمینانی را نشان می‌دهد.

کلیدواژه‌ها

نااطمینانی اقتصادی؛ رسانه؛ متن‌کاوی؛ یادگیری ماشین؛ نرخ ارز

مراجع

References

Abrishami, H.; Komijani, A.; Nouri, M., & Memarian, M. (2020). Calculation of uncertainty index based on an Internet search: A case study of the foreign exchange market of Iran. The Journal of Economic Policy, 12(23), 99-131. (In Persian)

Aizenman, J.; & Marion, N. P. (1993). Policy uncertainty, persistence and growth. Review of international economics, 1(2), 145-163. Alexopoulos, M., & Cohen, J. (2015).

The power of print: Uncertainty shocks, markets, and the economy. International Review of Economics & Finance, 40, 8-28.

Arbatli, E. C.; Davis, S. J.; Ito, A., & Miake, N. (2022). Policy uncertainty in Japan. Journal of the Japanese and International Economies, measuring economic policy uncertainty, 1192.

Arshadi, A. (2011). Oil Price Volatility Modeling: A Frame for Measuring Uncertainty Index Using the Arima-Garch Model, Energy Economics Review, 8(30); 205-220. (In Persian)

Bachmann, R., & Bayer, C. (2013). ‘Wait-and-See’business cycles?. Journal of Monetary Economics, 60(6), 704-719.

Bachmann, R.; Elstner, S., & Sims, E. R., (2010). Uncertainty and Economic Activity: Evidence from Business Survey Data. NBER Working Papers 16143, National Bureau of Economic Research, Inc.

Baker, S. R.; Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The quarterly journal of economics, 131(4), 1593-1636.

Bateman, B. W. (1996). Keynes's uncertain revolution. University of Michigan Press.

Bauer, M.; Lakdawala, A., & Mueller, P. (2019). Market-based monetary policy uncertainty. WBS Finance Group Research Paper.

Baum, C. F.; Caglayan, M., & Talavera, O., (2010). On the Sensitivity of Firms’ Investment to Cash Flow and Uncertainty. Oxford Economic Papers, 62 (2), 286–306.

Beckert, J. (1996). What is sociological about economic sociology? Uncertainty and the embeddedness of economic action. Theory and society, 25(6), 803-840.

Bernanke, B. S., (1983). Irreversibility, Uncertainty, and Cyclical Investment. The Quarterly Journal of Economics, 98 (1), 85–106.

BINDER, C. (2017). Measuring uncertainty based on rounding: New method and application to inflation expectations. Journal of Monetary Economics, 90 (2017) 1–12.

Bloom, N.; Floetotto, M.; Jaimovich, N.; Saporta‐Eksten, I., & Terry, S. J. (2018). Really uncertain business cycles. Econometrica, 86(3), 1031-1065.

Bloom, N., (2007). Uncertainty and the Dynamics of R&D. AMERICAN ECONOMIC REVIEW, 250-255.

Bloom, N., (2009). The impact of uncertainty shocks. Econometrica, 77 (3), 623–685.

Bontempi, M. E.; Frigeri, M., Golinelli, R., & Squadrani, M. (2021). EURQ: A New Web Search‐based Uncertainty Index. Economica.

Bouri, E., & Gupta, R. (2021). Predicting Bitcoin returns: Comparing the roles of newspaper-and internet search-based measures of uncertainty. Finance Research Letters, 38, 101398.

Bürgi, C., & Sinclair, T. M. (2021). What does forecaster disagreement tell us about the state of the economy?. Applied Economics Letters, 28(1), 49-53

Cascaldi-Garcia, D.; Sarisoy, C.; Londono, J. M.; Rogers, J. H.; Datta, D.; RT Ferreira, T., & Zer, I. (2020). What is certain about uncertainty? International Finance Discussion Paper, (1294).

Claveria, O. (2021). On the aggregation of survey-based economic uncertainty indicators between different agents and across variables. Journal of Business Cycle Research, 17(1), 1-26.

Davidson, P. (1991). Is probability theory relevant for uncertainty? A post Keynesian perspective. Journal of Economic Perspectives, 5(1), 129-143.

De Bruin, W. B.; Manski, C. F.; Topa, G., & Van Der Klaauw, W. (2011). Measuring consumer uncertainty about future inflation. Journal of Applied Econometrics, 26(3), 454-478.

Glas, A. (2020). Five dimensions of the uncertainty–disagreement linkage. International Journal of Forecasting, 36(2), 607-627.

Gupta, R.; Subramaniam, S.; Bouri, E., & Ji, Q. (2021). Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities. International Review of Economics & Finance, 71, 289-298

Han, J.; Kamber, M., & Mining, D. (2006). Concepts and techniques. Morgan Kaufmann, 340, 94104-3205.

Jones, P. M.; Olson, E. (2013). The Time-Varying Correlation between Uncertainty, Output, and Inflation: Evidence from a DCC-GARCH Model. Economics Letters, 118(1), 33–37.

Keynes, J. M. (2007). A treatise on probability. Cosimo, Inc.

Keynes, J. M. (1936). the general theory of employment, interest andmoney. Palgrave Macmillan, London.

Knight, Frank H. (1921). Risk, Uncertainty and Profit. University of Illinois at Urbana-Champaign's Academy for Entrepreneurial Leadership Historical Research Reference in Entrepreneurship.

Lahiri, K.; Peng, H., & Sheng, X. S. (2022). Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity. In Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling. Emerald Publishing Limited.

Lawson, T. (1985). Keynes’ economics: methodological issues. Croom Helm, London

Lawson, T. (1988). Probability and uncertainty in economic analysis. Journal of post Keynesian economics, 11(1), 38-65.

Leduc, S., & Zheng, L. (2016). Uncertainty shocks are aggregate demand shocks. Journal of Monetary Economics. 82, 20–35.

Leduc, S., & Zheng, L. (2016). Uncertainty shocks are aggregate demand shocks. Journal of Monetary Economics, 82, 20–35.

Lei, C.; Lu, Z., & Zhang, C. (2015). News on inflation and the epidemiology of inflation expectations in China. Economic Systems, 39(4), 644-653.

Lucas, R. E. & Gillman, M. (2012).  Expectations and the Neutrality of Money. In Collected Papers on Monetary Theory (pp. 1-24). Harvard University Press.

Lucas, R. E., & Prescott, E. C. (1971). Investment under Uncertainty. Econometrica, 39(5), 659–681.

Lucas, R. E., & Sargent, T. J. (Eds.). (1981). Rational expectations and econometric practice (Vol. 2). University of Minnesota Press.

Ludvigson, S.; Sai Ma, C., & Serena, N. (2021). Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?. American Economic Journal: Macroeconomics, 13 (4): 369-410.

Machina, M. J. (1987). Choice under uncertainty: Problems solved and unsolved. Journal of Economic Perspectives, 1(1), 121-154.

Manski, C. F. (2010). When consensus choice dominates individualism: Jensen's inequality and collective decisions under uncertainty. Quantitative Economics, 1(1), 187-202.

Manski, C. F. (2013). Public policy in an uncertain world. Harvard University Press.

Manski, C. F. (2015). Communicating uncertainty in official economic statistics: An appraisal fifty years after Morgenstern. Journal of Economic Literature, 53(3), 631-53.

Marcus, A. A. (1981). Policy Uncertainty and Technological Innovation. The Academy of Management Review, 6 (3), 443–448.

Menger, K., & Shubik, M. (2015). The role of uncertainty in economics. In Essays in Mathematical Economics, in Honor of Oskar Morgenstern (pp. 211-232). Princeton University Press.

Mikolov, T.; Chen, K.; Corrado, G., & Dean, J. (2013). Efficient estimation of word representations in vector space, preprint arXiv: 1301. 3781.

Moore, A. (2017). Measuring economic uncertainty and its effects. Economic record, 93(303), 550-575.

Rich, R. W.; Song, J., & Tracy, J. S. (2012). The measurement and behavior of uncertainty: evidence from the ECB Survey of Professional Forecasters. FRB of New York Staff Report, (588).

Rodrik, D. (1991). Policy Uncertainty and Private Investment in Developing Countries. Journal of Development Economics, 36 (2), 229–242

Rossi, B., &Tatevik Sekhposyan. (2015). Macroeconomic uncertainty indices based on nowcast and forecast error distributions. American Economic Review, 105 (5), 650–55.

Sahinoz, s.; Erdogan Cosar, E. (2018). Economic policy uncertainty and economic activity in Turkey, Applied Economics Letters

Sakhi, F.; Mohammadi, M., & Mohammadi, H. (2018). The effects of exchange rate volatility on foreign agricultural trade in Iran. Journal of Agricultural Economics Researches, 37(10), 21-40. (In Persian)

Samuelson, PA. (1969). Classical and neoclassical theory. Penguin Books, London.

Shokri, M.; Barghi, M..; Motafaker Azad, M., & Salmani Bishak, M. (2020). Investigating the Impact of Economic Sanctions and Exchange Rate Uncertainty on FDI in Iran: A Fuzzy Approach. Journal of Economics and Modeling, 11(3), 33-59. (In Persian)

Smith, A. (2010). The Wealth of Nations: An inquiry into the nature and causes of the Wealth of Nations. Harriman House Limited.

Tobback, E.; Naudts, H.; Daelemans, W.; de Fortuny, E. J., & Martens, D. (2018). Belgian economic policy uncertainty index: Improvement through text mining. International journal of forecasting, 34(2), 355-365.

Topçu, G., & Oran, J. (2021). Measuring economic policy uncertainty in Turkey. International Journal of Econmic Policy in Emerging Economies, 14(3), 288-305.

Walras, L. (1896). Éléments d'économie politique pure, ou, Théorie de la richesse sociale. F. Rouge.

Williamson, O. E. (1993). Calculativeness, trust, and economic organization. The journal of law and economics, 36(1, Part 2), 453-486.

Wu, X.;  Kumar, V.; Quinlan, J. R.; Ghosh, J.; Yang, Q.; Motoda, H., & Steinberg, D. (2008). Top 10 algorithms in data mining. Knowledge and information systems, 14(1), 1-37.

Zamanian, G., & Behrad Amin, M. (2015). Effect of Exchange Rate Uncertainty on the Import Demand of Iran Application of Ardl and Egarch Methods. Quarterly Journal of Applied Economic Studies of Iran, 3(12), 129-148. (In Persian)