بررسی رفتار غیرخطی بی‌ثباتی مالی در ایران: رهیافت خودرگرسیون برداری ساختاری آستانه‌ای

نوع مقاله : علمی - پژوهشی

نویسندگان

1 گروه اقتصاد، دانشکده اقتصاد و علوم اداری، دانشگاه فردوسی، مشهد، ایران

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

3 نویسنده مسئول، دانشیار گروه اقتصاد، دانشکده علوم اقتصادی و اداری، دانشگاه مازندران، بابلسر، ایران

10.22080/iejm.2021.19481.1786

چکیده

در این پژوهش نقش تکانه‌های مثبت و منفی نرخ ارز، شاخص سهام و قیمت نفت در مقادیر بالا و پایین آستانه شاخص سهام با استفاده از الگوی خودرگرسیون برداری ساختاری آستانه‌ای در دوره زمانی 1397:09-1388:01 به‌صورت ماهانه بررسی شده است. نتایج پژوهش نشان می دهد در مقادیر بالای آستانه شاخص سهام، تکانه مثبت قیمت نفت، تکانه منفی نرخ ارز و همچنین تکانه منفی شاخص سهام می‌توانند باعث کاهش بی‌ثباتی مالی در کشور شوند همچنین در مقادیر پایین‌تر از آستانه شاخص سهام، تکانه مثبت قیمت نفت در بلندمدت و تکانه منفی قیمت نفت در کوتاه‌مدت و میان‌مدت و همچنین تکانه منفی نرخ ارز در کوتاه‌مدت و میان‌مدت و تکانه مثبت شاخص سهام می‌تواند بی‌ثباتی مالی را کاهش دهد. براساس نتایج، تحت هر شرایطی حمایت از بازار سهام نمی‌تواند موجب کاهش بی‌ثباتی مالی در کشور شود. در مقادیر بالاتر از آستانه شاخص بازار سهام (رشد بیش از 8/6 درصدی شاخص در ماه) تکانه‌های مثبت به شاخص سهام موجب افزایش بی‌ثباتی مالی در کشور می‌شود اما در مقادیر کمتر از آستانه می‌تواند عاملی در جهت کاهش بی‌ثباتی مالی در کشور محسوب شود. همچنین بایستی ثبات در بازار ارز کشور شکل بگیرد تا تکانه‌های مثبت ارز سبب افزایش بی‌ثباتی مالی در کشور نشود.

کلیدواژه‌ها


عنوان مقاله [English]

Investigating the Nonlinear Behavior of Financial Instability in Iran: A Threshold Structural Vector Autoregressive Approach

نویسندگان [English]

  • Soheil Roudari 1
  • Pegah Zarei 2
  • Amirmansour Tehranchian 3
1 Economics Department, Economics and administrative sciences Faculty, Ferdowsi University, Mashad, Iran
2 Department, of Economics, Faculty of Economics and Administrative Sciences, University of Mazandaran, Babolsar,, Iran
3 Corresponding author, Associate professor, Department of Economics, University of Mazandaran,, Babolsar, Iran
چکیده [English]

In this study, the role of positive and negative shocks of exchange rate, stock index and oil price in the upper and lower values of the stock index threshold has been investigated by using the threshold structural vector autoregressive model in the period 1388:01-1397:09 on a monthly basis. The results show that in higher values of threshold of stock index, positive oil price shock, negative exchange rate shock and also negative stock index shock can reduce financial instability in the country, also in lower values of threshold of stock index, Positive shock of oil prices in the long run and negative shock of oil prices in the short and medium term, as well as negative shock of exchange rates in the short and medium term and positive shock of the stock index can reduce financial instability. According to the results, under any circumstances, supporting the stock market cannot reduce financial instability in the country. in higher values of threshold of stock index (growth of more than 6.8% of stock market index per month) positive shocks to the stock index increase financial instability in the country, but in lower values of threshold of stock index can be reducing financial instability in the country. Also, foreign exchange market stability should be formed in the country so that positive currency shocks do not increase financial instability in the country.

کلیدواژه‌ها [English]

  • Financial Instability
  • Stock Index Threshold
  • MIMIC Model
  • THSVAR Model
Afshari, Z., Shirinbakhsh, S., & Ravangard, S. (2014). The Effect of Oil Price Changes on Bank Profitability, Journal of Economic Progress Policy, 2(3), 121-139 [In Persian].
Aghaei, M., Koohbor, M. A., & Ahmadinejad, H. (2018). Financial Stability and Economic Performance: A Case Study of OPEC Member Countries, Journal of Economics and Modeling, 9(2), 29-65 [In Persian].
Amano, R. A., & Van Norden, S. (1998). Oil prices and the rise and fall of the US real exchange rate. Journal of international Money and finance17(2), 299-316.
Anvari, I., Khodapanah, M., & Takband, E. (2018). The Effect of Government Budget Deficit and Banking Credit on Stock Market Size: A Panel Vector Autoregressive Model, Journal of Asset Management and Financing, 6(2), 57-70 [In Persian].
Balke, N. S. (2000). Credit and economic activity: credit regimes and nonlinear propagation of shocks. Review of Economics and Statistics82(2), 344-349.
Basher, S. A., & Sadorsky, P. (2006). Oil price risk and emerging stock markets. Global finance journal17(2), 224-251.
Batuo, M., Mlambo, K., & Asongu, S. (2018). "Linkages between financial development, financial instability, financial liberalization and economic growth in Africa". Research in International Business and Finance45, PP 168-179.
Blot, C., Creel, J., Hubert, P., Labondance, F., & Saraceno, F. (2015). Assessing the link between price and financial stability. Journal of financial Stability16, 71-88.
Brave, S. A., & Butters, R. (2011). Monitoring financial stability: A financial conditions index approach. Economic Perspectives35(1), 22.
Carvallo, O., & Pagliacci, C. (2016). Macroeconomic shocks, bank stability and the housing market in Venezuela. Emerging Markets Review26, 174-196.
Cesa-Bianchi, A., & Rebucci, A. (2017). "Does easing monetary policy increase financial instability?". Journal of Financial Stability30, PP 111-125.
D'Orazio, P. (2019). Income inequality, consumer debt, and prudential regulation: An agent-based approach to study the emergence of crises and financial instability. Economic Modelling82, 308-331.
Fornaro, L. (2015). "Financial crises and exchange rate policy". Journal of International Economics95(2), PP 202-215.
Freedman, C., & Goodlet, C. (2007). Financial stability: what it is and why it matters. Commentary-CD Howe Institute, (256), 0_1.
Gadanecz, B. (2009). i Jayaram, K.(2009). Measures of financial stability–a review. IFC Bulletin31, 365-380.
Gernát, P., Košťálová, Z., & Lyócsa, Š. (2020). What drives US financial sector volatility? A Bayesian model averaging perspective. Research in International Business and Finance51, 101095.
Hansen, B. E. (1996). Inference when a nuisance parameter is not identified under the null hypothesis. Econometrica: Journal of the econometric society, 413-430.
Kang, W., Ratti, R. A., & Yoon, K. H. (2015). The impact of oil price shocks on the stock market return and volatility relationship. Journal of International Financial Markets, Institutions and Money34, 41-54.
Kaufman, G. (1998), Central Bank, Asset Bobbles and Financial Stability, Federal Reserve bank of Chicago, working paper.
Kim, H., Batten, J. A., & Ryu, D. (2020). Financial crisis, bank diversification, and financial stability: OECD countries. International Review of Economics & Finance65, 94-104.
Koong, S. S., Law, S. H., & Ibrahim, M. H. (2017). Credit expansion and financial stability in Malaysia". Economic Modelling61, PP 339-350.
Liu, R., Chen, J., & Wen, F. (2020). The nonlinear effect of oil price shocks on financial stress: Evidence from China. The North American Journal of Economics and Finance, 101317.
Mishkin, F. S. (1999). Global financial instability: framework, events, issues. Journal of economic perspectives13(4), 3-20.
Müller-Plantenberg, N. A. (2010). Balance of payments accounting and exchange rate dynamics. International Review of Economics & Finance19(1), 46-63.
Musa, U., & Jun, W. (2020). Does inflation targeting cause financial instability?: An empirical test of paradox of credibility hypothesis. The North American Journal of Economics and Finance52(C).
Nair, A. R., & Anand, B. (2020). Monetary policy and financial stability: Should central bank lean against the wind?. Central Bank Review.
Partovi, E., & Matousek, R. (2019). Bank efficiency and non-performing loans: Evidence from Turkey. Research in International Business and Finance48, 287-309.
Phan, D. H. B., Iyke, B. N., Sharma, S. S., & Affandi, Y. (2020). Economic policy uncertainty and the financial stability–Is there a relation?. Economic Modelling.
Radivojević, N., Cvijanović, D., Sekulic, D., Pavlovic, D., Jovic, S., & Maksimović, G. (2019). Econometric model of non-performing loans determinants. Physica A: Statistical Mechanics and its Applications520, 481-488.
Rahman, S., & Serletis, A. (2010). The asymmetric effects of oil price and monetary policy shocks: A nonlinear VAR approach. Energy Economics32(6), 1460-1466.
Rose, A. K., & Spiegel, M. M. (2011). Cross-country causes and consequences of the crisis: An update. European Economic Review55(3), 309-324.
Rosengren, E. S. (2011, June). Defining financial stability, and some policy implications of applying the definition. In Keynote Remarks by President of Federal Reserve Bank of Boston at Stanfort Finance Forum, Stanfort University (Vol. 3).
Rubaszek, M., & Uddin, G. S. (2020). The role of underground storage in the dynamics of the US natural gas market: A threshold model analysis. Energy Economics87, 104713.
Salisu, A. A., Isah, K. O., Oyewole, O. J., & Akanni, L. O. (2017). Modelling oil price-inflation nexus: The role of asymmetries. Energy125, 97-106.
Schinasi, M. G. J. (2004). Defining financial stability (No. 4-187). International Monetary Fund.
Sedqi, H. (2012). Exchange Rate Fluctuations, Financial Instability and Optimal Monetary Policy, Journal of Money and Economy, 9, 179-203 [In Persian].
Sikwila, M. N. (2011). Inflation Impact of an Exchange Rate Adjustment: The Case of Zimbabwe. Management, Informatics and Research Design166.
Taghinejad Omran, V., & Haji Babaei, V. (2014). The Effect of Real Exchange Rate Changes on Financial Instability: A Case Study of Selected Developing Countries, Journal of Fiscal and Economic Policy, 2(5), 121-134 [In Persian].
Zarei, P., Tehranchian, A. M., Abonouri, E., & Taghinejad Omran, V. (2020). The Role of Oil Price and Exchange Rate Volatility on Government Debt to the Banking Network: Markov-Switching Wavelet Based Approach. Journal of Macroeconomics Bulletin, 14(27), 309-339 [In Persian].
Zarei, P., Tehranchian, A. M., Abonouri, E., & Taghinejad Omran, V. (2020).  The Effect of Assets Market Fluctuations on Financial Instability in Iran’s Economy: Wavelet Based Markov Switching Approach. Journal of Economics Policies and Researches, 28 (93), 203-232 [In Persian].