بررسی آثار نامتقارن شوک‌های قیمت نفت و تلاطم نرخ حقیقی ارز بر رشد اقتصادی و تورم در کشورهای منتخب عضو کنفرانس اسلامی: رهیافت EGARCH

اقتصاد و توسعه منطقه ای

مقاله 8، دوره 30، بهار و تابستان25، شهریور 1402، صفحه 250-290   

نوع مقاله: مقاله پژوهشی

شناسه دیجیتال (DOI): 10.22067/erd.2023.72209.1066

نویسندگان

سروالدین فتحی¹؛ مسعود نونژاد^{* 2}؛ هاشم زارع³؛ علی حقیقت³

¹دانشجوی دکتری اقتصاد، دانشکده اقتصاد و مدیریت، واحد شیراز، دانشگاه آزاد اسلامی، شیراز، ایران

²دانشیار گروه اقتصاد، دانشکده اقتصاد و مدیریت، واحد شیراز، دانشگاه آزاد اسلامی، شیراز، ایران

³استادیار گروه اقتصاد، دانشکده اقتصاد و مدیریت، واحد شیراز، دانشگاه آزاد اسلامی، شیراز، ایران

چکیده

چگونگی اثرگذاری نوسانات اقتصادی بر متغیرهای کلان اقتصادی در سیاست‌گذاری حائز اهمیت است. در این مطالعه به بررسی آثار نامتقارن شوک‌های قیمت نفت و تلاطم نرخ حقیقی ارز بر رشد اقتصادی و تورم در دو گروه از کشورهای صادرکننده واردکننده نفت پرداخته‌ایم. برای این منظور از روش داده‌های تابلویی طی دوره 2018-1990 استفاده کرده‌ایم. برای محاسبه شوک‌های قیمت نفت از مدل EGARCH استفاده شده است. نتایج نشان می‌دهد که فرضیه‌های تحقیق مبنی بر اینکه واکنش رشد اقتصادی و تورم نسبت به شوک‌های قیمت نفت در هر دو گروه کشورهای صادرکننده واردکننده نفت نامتقارن است. همچنین نتایج حاصل از آزمون‌ها و برآورد الگوها نشان می‌دهد تلاطم نرخ حقیقی ارز تأثیری منفی و مثبت بر رشد اقتصادی و تورم کشورهای صادرکننده نفت و تأثیری مثبت بر رشد اقتصادی و تورم کشورهای واردکننده نفت دارد.

کلیدواژه‌ها

شوک های قیمت نفت؛ تلاطم نرخ حقیقی ارز؛ رشد اقتصادی؛ EGARCH

مراجع

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