نااطمینانی تقاضای پول در ایران

نوع مقاله : علمی

نویسنده

استادیار گروه اقتصاد، دانشگاه گنبد کاووس

چکیده

هدف این مطالعه شناسایی و برآورد تقاضای پول با تاکید بر نقش نااطمینانی در ایران است. در این راستا از داده‌های فصلی کشور طی سال‌های Q41389– Q11369 استفاده شده است. از مبانی نظری تابع تقاضای استاندارد که بر اساس آن تقاضای پول تابع میزان درآمد و هزینه فرصت پول است، به عنوان مبنای شناسایی مدل استفاده شده است و سپس با عنایت به اینکه طی دهه‌های گذشته تکانه‌های متعدی بر اقتصاد ایران وارد شده و نااطمینانی را برای تصمیم‌گیران اقتصادی افزایش داده است، در چارچوب مدل تقاضای پول، متغیر نااطمینانی در اقتصاد به مدل اضافه شده است. از تکنیک مدل‌سازیGARCH برای برآورد و محاسبه شاخص نااطمینانی استفاده شده است و برای برآورد مدل تابع تقاضا پول از روش تخمین خودرگرسیون با وقفه‌های توزیعی (ARDL) بهره‌گیری شده است. نتایج تخمین‌ها نشان می‌دهد که تولید ناخالص حقیقی و شاخص ‌نااطمینانی بر تقاضای حقیقی پول تاثیر مثبت و معنی‌داری دارند در حالی‌که نرخ تورم بر تقاضای حقیقی پول تاثیر منفی و معنی‌داری دارد. مضافاً اینکه نتایج مدل‌های تخمین زده شده به تفکیک تقاضای پول حقیقی M1 و تقاضای نقدینگی حقیقی M2 مؤید این است که شاخص نااطمینانی موجب کاهش در تقاضای M1 و افزایش تقاضای M2 می شود.

کلیدواژه‌ها


عنوان مقاله [English]

Uncertainty of Money Demand in Iran (1990-2010)

چکیده [English]

This study aims to examine the impact of uncertainty on the demand for money in Iran form 1990Q1 – 2010Q4. First, I focus on the relation between uncertainty and demand for money with the emphasis of Keynes conception. Using autoregressive distributed lag (ARDL) approach of cointegration. My empirical results indicate that the effect of the GNP and uncertainty index on real money demand is positive and significant while inflation rate on real demand for money is negative and significant. Furthermore, the results of the model estimation indicate that the effect of uncertainty on M1 is negative and insignificant, but the effect of uncertainty on M2 is positive and significant.
 

کلیدواژه‌ها [English]

  • money demand
  • economic uncertainty
  • ARDL
  • Iran
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