بررسی تاثیر متغیرهای کلان اقتصادی بر نرخ ارز با رویکرد پویایی‌های سیستم

نوع مقاله : علمی

نویسندگان

1 دانشجوی دکتری گروه مدیریت مالی، واحد علی‌آباد کتول، دانشگاه آزاد اسلامی، علی‌آباد کتول، ایرانi

2 نویسنده مسئول دانشیارگروه حسابداری و مدیریت، واحد علی‌آباد کتول، دانشگاه آزاد اسلامی، علی‌آباد کتول، ایران

3 استادیارگروه مهندسی مالی، واحد علی‌آباد کتول، دانشگاه آزاد اسلامی، علی‌آباد کتول، ایران

4 دانشیار گروه مدیریت، دانشکده علوم اجتماعی و اقتصادی، دانشگاه الزهرا (س)، تهران، ایران

چکیده

هدف از پژوهش حاضر، تحلیل حساسیت روند و قیمت نرخ ارز نسبت به عوامل اساسی موثر بر آن است. به منظور تحلیل حساسیت نرخ ارز، ابتدا روند تغییرات نرخ ارز با استفاده از روش پویایی‌های سیستم برای دوره زمانی 1383 تا 1401 پیش‌بینی شده و سپس، تاثیر تغییرات عواملی همچون بهره‌وری، پایه پولی، سهم هزینه‌های عمرانی دولت، تحریم‌ها و نرخ بهره بر نرخ ارز مورد ارزیابی قرار گرفته است. بدین صورت که ابتدا تاثیر تغییر هر یک از متغیرها به صورت مجزا بر روند نرخ ارز مورد ارزیابی قرار گرفت و سپس تاثیر تغییر متغیرهای فوق به صورت همزمان، بر روند نرخ ارز بررسی شد. نتایج به دست آمده نشان می‌دهد افزایش یا کاهش هر یک از این متغیرها (بهره‌وری، تحریم، هزینه‌های عمرانی دولت، نرخ بهره و پایه پولی) با فرض ثابت بودن سایر عوامل، نرخ ارز را تحت تاثیر قرار می‌دهد. همچنین نتایج حاکی از آن است که تغییرات همزمان چند متغیر، نرخ ارز را بیشتر از تغییر صرفا یک متغیر تحت تاثیر قرار می‌دهد.

کلیدواژه‌ها


عنوان مقاله [English]

The Effect of Macroeconomic Variables on the Exchange Rate by the System Dynamics Approach

نویسندگان [English]

  • Mohammad Hadi Damiri 1
  • Parviz Saeidi 2
  • Hosein Didehkhani 3
  • Ibrahim Abbasi 4
1 PhD student, Department of Financial management, Aliabad Katoul Branch, Islamic Azad University, Aliabad Katoul, Iran
2 Corresponding Author, Associate professor, Department of Accounting and management, Aliabad Katoul Branch, Islamic Azad University, Aliabad Katoul, Iran
3 Assistant professor, Department of Financial engineering, Aliabad Katoul Branch, Islamic Azad University, Aliabad Katoul, Iran
4 Associate professor, Department of management,, Alzahra University, Tehran, Iran.
چکیده [English]

The purpose of this research was to analyze the sensitivity of the exchange rate trend and prices relative to the underlying factors affecting it. In order to analysis, the sensitivity of the exchange rate, First, the process of exchange rate changes using the dynamics of the system For the period of 2004 to 2022 is predicted And then, the impact of changes in factors such as productivity, the tariff rate on imports The share of government development spending, oil prices, sanctions and interest rates on the exchange rate has been evaluated. first It was separately evaluated the effect of the variation of the variables on the exchange rate trend. Then, variables variations effect simultaneously was examined on the exchange rate trend. The results show that the changes in each of the above factors, with the assumption that other factors are stable, have no significant effect on the exchange rate. But simultaneous variations of several variables significantly affect the exchange rate, and this gives rise to Being a system. In other words, the results of the research indicate that the changes, if only important, can not affect the exchange rate, and these are a set of factors that determine the course of the exchange rate.

کلیدواژه‌ها [English]

  • Sensitivity analysis
  • Exchange rate
  • System dynamics
  • Factors affecting the exchange rate
Adibpour, M. (2016). Measuring the Effect of Exchange Rate Uncertainty on Industrial Corporates Stock Price Index of Tehran Stock Exchange, Iranian Economic Journal. 11(22): 105-131. [In Persian]
Aghaei, M., & Rezagholizadeh, M. (2019). Impact of economic and commercial sanctions on Iran's trade relations and their major trading partners. Journal Management System. Journal of Strategic Studies of Public Policy, 8 (28): 49-68. [In Persian]
Alimohammadi, M. Rostami, M. M, & Feyz Fallah Shams. (2015). Comparison between trading entities and groups in the incidence of magnetic effect on the range at Tehran Stock Exchange, Journal of Financial Knowledge of Securities Analysis. 8(27): 53-68. [In Persian]
Aziz, N. (2008). The role of exchange rate in trade balance: Empirics from Bangladesh. University of Birmingham, UK.‏
Balassa, B.(1964). The Purchasing –Power Parity Dotrine: A Reappraisal. The Journal of Political Economy. 72. 5 84-596.
Beigi, A. Mahdavi, H.(2020). The relationship between exchange rate and Iran's trade balance under uncertainty conditions (nonlinear approach). Journal of Applied Economic Studies of Iran, 8(32), 1-17. [In Persian]
Caporale, G., Ciferri, M. & Girardi, A (2011), "Fiscal shocks and real exchange rate dynamics: Some evidence for Latin America", Journal of International Money and Finance, 30, 709- 723.
Çehreli, C., Dursun, İ., & Barlas, Y. (2017). Modeling and Analysis of the Speculative Dynamics of Currency Exchange Rates: A Case Study from Turkey. In Proceedings of 35th International Conference of System Dynamics Society.‏
Craine, R., Lochstoer, L. A., & Syrtveit, K. (2000). Estimation of a stochastic-volatility jump-diffusion model. Revista de Analisis Economico, 15(1), 61-87.‏
Dash, R. (2018). Performance analysis of a higher order neural network with an improved shuffled frog leaping algorithm for currency exchange rate prediction. Applied Soft Computing, 67, 215-231.‏
Davis, J. T., Episcopos, A., & Wettimuny, S. (2001). Predicting direction shifts on Canadian–US exchange rates with artificial neural networks. Intelligent Systems in Accounting, Finance & Management, 10(2), 83-96.‏
Dornbusch, R. (1976). Expectations and Exchange Rate Dynamics, Journal of Political Economy, 84, 1161–1176.
Ebrahimi, M,. Pedram, M. (2014). The importance and effects of economic variables on exchange rate in case of Iran. Journal of  Economic Development Policy, 2(2): 121-139. [In Persian]
Edison, H, J. William R, M. (1999). Alternative Approaches to Real Exchange Rates and Real Interest Rates: 1974-1990, Journal of Monetary Economics, 31, 165-187.
Eslamibidgoli, Gh.R. Mahmiudi, V. Sobhani, M. (2003). Study the Relationship Between Government Deficit, Liquidity and Inflation in Iran During the Years 57 to 87, Journal of Audit Science. 12(48): 109-132. [In Persian]
Esmaeili Razi, H. Tayebi, K. (2014).  Main Determinants of Iran’s Real Exchange Rate, Through Using Auto Regressive Distributed Lag (ARDL) Approach, Journal of Economic Development Policy. 2(1): 11-40. [In Persian]
Eyler, R. (2007). Economic Sanctions: International Policy and Political Economy at Work, Palgrave Macmillan.
Fartoukzadeh, H. R. (1993). Overview: System Dynamics (3), Journal of Management Knowledge. 20(0). [In Persian]
Hadian, E. Taherifard, E. (1999). The Effect of Changes in Income from Oil Exports on the Real Exchange Rate: Case of Iran, 1360-1376, The Journal of Planning and Budgeting. 4(9):31-45. [In Persian]
Kazerooni, A.L. Feshari, M. Imanpoor, A. (2015). The Impact of Trade Openness on Real Exchange Rate Volatility: The Case of Iran, Iranian Journal of Trade Studies. 15(57): 65-85. [In Persian]
Khajeh Mohammad Lou, A. Khodavaisi, H. (2017). The relationship between the exchange rate, inflation and interest rates under Fisher's theories approach for Iran, Quarterly Journal of Applied Economics Studies. 6(24). 199-221. [In Persian]
 Li, J., Tsiakas, I., & Wang, W. (2015). Predicting exchange rates out of sample: Can economic fundamentals beat the random walk?. Journal of Financial Econometrics, 13(2), 293-341.‏
Manafianvar, V. Khodadadkashi, F. Biabani, J. Pasban, F. (2015). Factors Affecting Changes in Real Exchange Rate and Its Influence on Competitiveness Index in Iranian Economy, Quanterly Journal of Financial Economics. 9(32): 1-23. [In Persian]
Meadows, D. H., & Wright, D. (2008). Thinking in systems: a primer Chelsea Green Publishing. White River Junction VT.‏
Montiel, L.E. (1999), Exchange Rate Misalignment: Concepts and Measurement for Developing Countries.Oxford University Press, World Bank, pp. 497–538.
Moosa, I., & Burns, K. (2013). The monetary model of exchange rates is better than the random walk in out-of-sample forecasting. Applied Economics Letters, 20(14), 1293-1297.‏
Naghi Mosleh Shirazi, A. Hashem Moosavihaghighi, M. Pashootanizadeh, H. (2018). Simulation of Model Changes by Exchange Rates and Gold Price on the Tehran Stock Exchange Performance with System Dynamics Approach, Journal Management System. 7(25): 17-38. [In Persian]
Nasrollahi, Kh. Moghadasfar, S. Mostolizadeh, M. (2012). Determining the Equilibrium Rate of the Currency and the Effect of Its Deviations from the Real Rate on the Four Sectors of the Iranian Economy, Economic Journal. 13(9 &10): 5-22. [In Persian]
Nili,F. Moab, R. Barkchiyan, S, M. (2013). Explain the changes in the monetary base and government spending in Iran,  Banking & monetary research: 1 (17): 6-16. [In Persian]
Oyewale, A. M. (2013). Evaluation of artificial neural networks in foreign exchange forecasting. American Journal of Theoretical and Applied Statistics, 2(4), 94-101.‏7
Rasehki, S. Montazeri, M. Pashazanos, P.(2015). Asymmetric nonlinear response of the trade balance to real exchange rate changes: A case study of Iran, Journal of Financial and Economic Policy 2 (8):41-62. [In Persian]
Razzak W, A. Nadal, D, F. (1999). Nominal Exchange Rates and Nominal Interest Rate Differntials, IMF Working Paper, 99 (141), 41- 60.
Rogoff, k. Meese, R, A. (1983). Empirical Exchange Rate Models of the Seventies; Do They Fit out of Sample?, Journal of International Economics, 14, 73-97.
Sepahvand, E. Niroomand, R. Zare Mehrjerdi, M.R. (2015). Effective Factors in Iran Exchange Rate, Journal of Economic Development Research.4(16): 23-42. [In Persian]
Shahhoseini, S. Rezaei, A. (2017). Forecast of the official exchange rate in Iran Using the ARIMA Autoregressive model Along with the intervention factors and compare it with Random step model, Quarterly Journal of Modern Economics and Trade. 12(1): 51-80. [In Persian]
Sharif Azadeh, M. Haghighat,A. (2005). The effective determinants of exchange rates in Iran, Journal of Future Studies Management. 17(3): 31-43. [In Persian]
Shirazi, H. Nasrollahi, Kh. (2014). Monetary Models and Exchange Rate Forecast in Iran: From Theory to Empirical Evidences, Quarterly Journal of Fiscal and EconomicPolicies. 1(4): 5-24. [In Persian]
Steil, B. Litan, R,E. (2006). Financial Statecraft, New Haven, CT: Yale University Press.
Stephen, M (2009), "Exchange Rate Pass-through and Monetary Policy : How Strong is The Link?", Bank of CanadaWorking Pape
    Tayebi, S, K. Sadeghi, A. (2017). The effects of international sanctions and other affecting factors on exchange rate in Iran,Journal ofEconomic research 52 (3): 641-661. [In Persian]
  Tayebi, S, K. Smaeili razi, H. (2011). The effect of partial productivity on the real effective exchange rate in the Iranian economy (Balasa-Samuelson test), Journal of Economic Research 47(2): 41-60.[In Persian]
Vartabian Kashani, H. (2014). The Analysis of Exchange Rate Volatilities During (2010-2012), Quarterly Journal of Fiscal and Economic poilicies. 1(4):131-154. [In Persian]
Valian, H. Abdoli, M.R. Kabosi, M. (2013). Investigating the relationship between interest rate and exchange rate on the basis of the Fisher's International Theory of Economics in Iran, Quanterly Journal of Financial Economics.7(22): 91-114. [In Persian]
Yarmohammadi, M. Mahmoudvand, R. (2016). Exchange RatePrediction Using Singular Spectrum Analysis, Quarterly Journal of Applied Economics Studies. 5(18): 133-146. [In Persian]
Yong, Y. L., Lee, Y., Gu, X., Angelov, P. P., Ngo, D. C. L., & Shafipour, E. (2018). Foreign currency exchange rate prediction using neuro-fuzzy systems. Procedia computer science, 144, 232-238.‏