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

نوع مقاله : علمی

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

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

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پژوهشنامه اقتصاد کلان Macroeconomics Research Letter
دوره 15، شماره 30
بهمن 1399
صفحه 168-192

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سابقه مقاله

  • تاریخ دریافت: 16 مرداد 1399
  • تاریخ بازنگری: 11 بهمن 1399
  • تاریخ پذیرش: 02 اسفند 1399

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