بررسی اثر بلندمدت نااطمینانی‌های تورم و نرخ ارز بر تولیدات صنعتی در ایران: رویکرد FMOLS و DOLS

نوع مقاله : علمی

نویسنده

استادیار گروه اقتصاد / دانشگاه پیام نور، تهران

چکیده

تورم و نرخ ارز از جمله مهم‌‌ترین متغیرهای اثر‌گذار بر اقتصاد هر کشوری است که در نرخ‌های بالا می‌توانند اثرات زیانباری به دلیل عدم اطمینان از میزان آنها در آینده بر اقتصاد کشور وارد کنند. از اینرو، هدف اصلی مطالعه حاضر، بررسی اثر بلندمدت نااطمینانی‌های تورم و نرخ ارز بر تولیدات صنعتی بوده است. بدین ‌منظور، برای برآورد نااطمینانی‌ها از رویکرد اتورگرسیو شرطی تعمیم ‌یافته (GARCH) استفاده گردید و جهت برآورد و تجزیه و تحلیل مدل از روش‌های حداقل مربعات معمولی کاملاً اصلاح‌ شده (FMOLS) و حداقل مربعات پویا  (DOLS)   برای دوره زمانی 1358 تا 1396 به کار گرفته شد. در ابتدا جهت بررسی آزمون مانایی و جلوگیری از رگرسیون کاذب بین متغیرها،  از آزمون ریشه واحد دیکی فولر تعمیم‌یافته استفاده شد که نتیجه آن  بیانگر مانایی همه متغیرها به جز لگاریتم نااطمینانی تورم بوده که با تفاضل مانا شده است. سپس با استفاده از  آزمون هم‌انباشتگی جوهانسن- جوسلیوس رابطه بلندمدت بین متغیرها ارزیابی شد؛ که بر اساس آن وجود رابطه بلندمدت بین متغیرها مورد تأیید قرار گرفته است. بعلاوه، نتایج به دست آمده بیانگر وجود اثر منفی نااطمینانی تورم و نااطمینانی نرخ ارز بر تولید بخش صنعتی بوده است. مخارج دولتی نیز اثری منفی بر تولیدات صنعتی داشته است. همچنین موجودی سرمایه بخش صنعت و نیروی کار شاغل در بخش صنعت توانسته‌اند منجر به افزایش تولیدات در بخش صنعتی شوند.
 

کلیدواژه‌ها


عنوان مقاله [English]

An Investigation of the Long-Term Impact of Exchange Rate Uncertainty on the Growth of Industrial Production: FMOLS and DOLS Approaches

نویسنده [English]

  • Mohammad Hossein Ehsanfar
Assistant Professor of Economics, Department of Economics, Payam-e-Noor University, Tehran.
چکیده [English]

Inflation and exchange rates are among the most important variables affecting the economy of any country. At high rates, they may have detrimental effects on the country's economy due to uncertainty of their extent in the future. Therefore, the main purpose of this study is to investigate the long-term effect of inflation and exchange rate uncertainties on industrial production. For this purpose, the generalized autoregressive conditional heteroscedasticity (GARCH) approach was used to estimate the uncertainties. In addition, to estimate the model analysis, the Fully Modified Least Squares (FMOLS) and Dynamic Ordinary Least Squares (DOLS) methods were used for the years 1979 to 2017. First, to investigate the stability test and prevent false regression between variables, the generalized Dickey-Fuller unit root test was used, the result of which indicates the stability of all variables except the logarithm of inflation uncertainty. Then, using the Johansen Juselius co-integration test, the long-run relationship between the variables was evaluated, based on which the existence of a long-term relationship between the variables has been confirmed. The results show the negative effect of inflation uncertainty and exchange rate uncertainty on industrial production. Government expenses also had a negative impact on the industrial production. Also, the capital stock of the industrial sector and the labor force working in this sector have been able to increase the production of the industrial sector.

کلیدواژه‌ها [English]

  • Inflation uncertainty
  • exchange rate uncertainty
  • industrial production
  • DOLS
  • FMOLS
 
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