نقش بی ثباتی قیمت نفت و نرخ ارز در بدهی دولت به شبکه بانکی: رهیافت مارکوف سویچینگ موجک بنیان

نوع مقاله: علمی - پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد، دانشکده علوم اقتصادی و اداری، دانشگاه مازندران، بابلسر، ایران

2 دانشیار گروه اقتصاد، دانشکده علوم اقتصادی و اداری، دانشگاه مازندران، بابلسر، ایران

3 استاد گروه اقتصاد، دانشگاه سمنان، سمنان، ایران

10.22080/iejm.2020.17370.1715

چکیده

در این پژوهش نقش بی ثباتی نرخ ارز و قیمت نفت در کنار مخارج جاری دولت بر بدهی دولت به شبکه بانکی با استفاده از الگوی چرخشی مارکف طی دوره زمانی 1397-1388 به صورت ماهانه بررسی شده است. برای استخراج نوسانات نرخ ارز، قیمت نفت و مخارج جاری دولت از الگوی تبدیل موجک استفاده شده است. نتایج پژوهش نشان می دهد تاثیر بی ثباتی نرخ ارز در رژیم های مختلف و دوره های زمانی گوناگون متفاوت است به گونه ای که در کوتاه مدت بی ثباتی نرخ ارز در رژیم بالای بدهی دولت به شبکه بانکی تاثیر متفاوتی نسبت به سایر دوره های زمانی دارد. همچنین بی ثباتی قیمت نفت و مخارج جاری دولت در تمامی ادوار و فارغ از رژیم بدهی تاثیر مثبت و معنادار دارند. این نتایج نشان می دهد که شبکه بانکی در راستای اعطای تسهیلات بایستی بی‌ثباتی بازارهای دارایی مختلف و همچنین رژیم بدهی بانکی دولت و افق زمانی را در نظر گیرد و همچنین تا زمانی که وابستگی اقتصاد به درآمدهای نفتی حداقل نگردد، انگیزه استفاده از نوسانات نرخ ارز در کوتاه مدت جهت واکنش به بدهی های دولت به شبکه بانکی می تواندوجود داشته باشد.

کلیدواژه‌ها


عنوان مقاله [English]

Assessing the Effects of Exchange rate and Oil Price Instability on Government Debt to the Banking System: Wavelet-based Markov Switching Model

نویسندگان [English]

  • pegah zarei 1
  • Amirmansour Tehranchian 2
  • Esmaeil Abounouri 3
  • Vahid Taghinezhadomran 2
1 PhD student, Faculty of Economics and Administrative Sciences, Mazandaran University, Babilsar, Iran
2 Associate professor, Department of economics, University of Mazandaran, Babolsar, Iran
3 Professor, Department of Economics,, Semnan University, Semnan, Iran
چکیده [English]

In this research, the role of nominal exchange rate, current government expenditure and oil price volatilities on the government debt to the banking system was investigated by using Markov-Switching model during 1388-1397 monthly. To Extract the volatilities of Variables, we use wavelet transform. the evidence confirm that decomposition levels of variables is 3. The results show that the effect of exchange rate volatility in different regimes and different time periods is different, so that in the short run the exchange rate instability in the high regime of government debt to the banking system has a different effect rather than other time periods.In fact, according to the results, in short run exchange rate volatility in high regime of government debt has positive and signifcant effect on government debt to the banking system. Also, oil price instability and current government expenditure have a positive and significant impact on debt in all periods. These results suggest that the banking system in order to provide facilities should consider the instability of various asset markets and in addition government debt regimes and time horizons. As long as the economy's dependence on oil revenues is not decreased, there will be an incentive to use exchange rate volatility in the short run for decreasing the amount of government debt to banking system.

کلیدواژه‌ها [English]

  • Exchange rate Instability
  • Oil Price Instability
  • Government Debt to Banking System
  • Markov Switching Model
  • Wavelet Transform
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