بررسی اثرات غیر خطی نوسانات قیمت نفت بر متغیر های اقتصادی کلان ایران با تاکید بر بخش صنعت و معدن ( کاربرد مدل فضا-حالت)

نوع مقاله : علمی

نویسندگان

1 گروه اقتصاد دانشگاه آزاد اسلامی واحد اصفهان(خوراسگان)،ایران

2 دانشجوی دکتری گروه اقتصاد دانشکده اقتصاد دانشگاه آزاد اسلامی واحد اصفهان(خوراسگان)، ایران

3 استادیار ، گروه اقتصاد دانشکده اقتصاد دانشگاه آزاد اسلامی واحد اصفهان(خوراسگان) ایران

4 گروه اقتصاد دانشگاه آزاد اسلامی واحد اصفهان(خوراسگان) ، ایران

چکیده

با توجه به نقش برجسته نفت در اقتصاد ایران، بررسی دقیق تکانه­­های بازار نفت بر روی اقتصاد ایران از اهمیت بالایی برخوردار است. بر اساس نتایج مطالعات مختلف، ارزیابی تابع واکنش آنی با استفاده از الگوی VAR استاندارد، به دلیل تورش متغیرهای حذف شده در الگوی  VAR، به نتایج نادرستی منتهی می‌شود؛ به‌عنوان نمونه می­توان به مشکل معمای قیمت در ادبیات تجربی اشاره کرد. در این مطالعه جهت بررسی دقیق­تر اثرات تکانه­های رشد درآمد نفت بر روی اقتصاد ایران به‌جای مدل  VAR با ضرایب ثابت، با استفاده مدل­های TVP-VAR، اقدام به مدل­سازی اقتصاد ایران برای دوره زمانی 91-1367 شده است، به‌طوری که متغیرهای رشد ارزش افزوده بخش صنعت و معدن، نرخ ارز غیررسمی، نرخ تورم، رشد مخارج مصرف واقعی دولت، رشد واردات واقعی، رشد درآمدهای نفت واقعی و تکانه­های بازار نفت وارد مدل شده‌اند. نتایج حاضر بیانگر تغییر روابط بین متغیرهای فوق در طول زمان است و اثرگذاری شرایط حاکم بر اقتصاد کشور را در نحوه اثرگذاری متغیرهای مدل بر روی یکدیگر نشان می‌دهد.

کلیدواژه‌ها

عنوان مقاله [English]

Analyzing Non-Linear Effects of Oil Price Volatilities on Iran’s Macroeconomic Variables, with Emphasis on Industry and Mine Sector (An Application of State- Space Model)

نویسندگان [English]

  • Majid Sameti 1
  • Kamran Kasraei 2
  • Homayoun Ranjbar 3
  • Sara Ghobadi 4
1 , Associated professor of economics, Department of Economics, Azad Islamic University, Islamic Azad University, Isfahan( khorasgan) Branch, Isfahan, Iran
3 , Assistant professor of economics, Department of Economics, Azad Islamic University, Islamic Azad University, Isfahan( khorasgan) Branch, Isfahan, Iran
4 , Assistant professor of economics, Department of Economics, Azad Islamic University, Islamic Azad University, Isfahan( khorasgan) Branch, Isfahan, Iran
چکیده [English]

With due attention to distinguished role of oil in Iran’s economy, it is important to analyze oil market shocks on Iran’s economy. Based on various studies results and because of eliminated variables bias in VAR models, valuation of impulse response functions led to wrong results; such as price dilemma problem in empirical literature. In this paper, for more exact analyzing the effects of oil income growth shocks on Iran’s economy, we substitute VAR model with constant coefficients by TVP-VAR models during 1988 - 2012 period. So, variables such as industry and mine value added, informal exchange rate, inflation rate, government’s real consumption expenditures growth, real imports growth, real oil income growth and oil market shocks are used in the model. The results show that the relation between variables is time variant and depends on economic situation. Furthermore, real oil revenues shocks have positive effects on real imports and governments real expenditures costs. Beside this, these shocks have negative effects on industry and mine value added and it could be a sign of Dutch disease, and it is not a suitable condition for an economic. So the policy makers should choose a consistent substitute for oil revenues such as tax revenues and policies.

کلیدواژه‌ها [English]

  • Oil price Volatilities
  • VAR model
  • State- Space model
  • Iran

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پژوهشنامه اقتصاد کلان Macroeconomics Research Letter
دوره 11، شماره 22
دی 1395
صفحه 85-104

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سابقه مقاله

  • تاریخ دریافت: 29 دی 1395
  • تاریخ بازنگری: 23 مرداد 1396
  • تاریخ پذیرش: 01 شهریور 1396

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