بررسی درجه عبور نرخ ارز بر شاخص قیمت مصرف کننده در ایران با استفاده از رویکردهای بیزین

نوع مقاله : علمی

نویسندگان

1 دانشگاه تبریز

2 دانشگاه پرتلند

چکیده

هدف اصلی این تحقیق بررسی عوامل مهم اقتصادی اثرگذار بر درجه عبور نرخ ارز بر شاخص قیمت مصرف کننده(CPI) ایران ‌طی دوره 1372 تا 1399 است. برای این منظور، سعی شده است ابتدا با استفاده از دو روش میانگین گیری بیزین(BMA) و میانگین حداقل مربعات وزنی(WALS) عوامل مهم موثر بر عبور نرخ ارز و ترتیب اهمیت این متغیرها در ایران تعیین شود، همچنین از الگوریتم جنگل تصادفی(RF) نیز برای تعیین اهمیت و رتبه بندی عوامل شناسایی شده استفاده شده است.
نتایج حاصل از روش های BMA و WALS دلالت براین دارد که متغیرهای اندازه دولت، سطح توسعه یافتگی، نااطمینانی اقتصادی و شرایط اقتصادی از مهمترین عوامل کلان اقتصادی تاثیرگذار بر عبور نرخ ارز به شمار می روند.با توجه به یافته‌های تحقیق، به منظور کنترل آثار افزایش نرخ ارز بر قیمت مصرف کننده(عبور نرخ ارز)، کاهش اندازه دولت،کنترل نااطمنیانیهای اقتصادی، بهبود شرایط اقتصادی و ارتقای سطح توسعه یافتگی یک ضرورت اجتناب ناپذیر در ایران بوده و از مهمترین توصیه های سیاستی این پژوهش برای کنترل اثرات افزایش نرخ ارز بر شاخص قیمت مصرف کننده در ایران است

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Investigating the Exchange Rate Pass-Through to the Consumer Price Index in Iran using BAYSIAN approaches

نویسندگان [English]

  • Hossein Asgharpur 1
  • mansour heydari 1
  • saman hatamerad 1
  • Bahram Adrangi 2
1 University of Tabriz
2 portland university
چکیده [English]

The main purpose of this research is to investigate the important economic factors affecting the exchange rate pass-through to the Consumer Price Index (CPI) of Iran during the period 1993 to 2020. In this regard, by using the two methods of Bayesian model averaging (BMA) and weighted average least squares (WALS), which have been widely considered in recent years, the important factors affecting the exchange rate transition and the order of importance of these variables in Iran are determined, as well as, Random Forest (RF) algorithm has been used to determine the importance and ranking of identified factors.
The results of BMA and WALS methods indicate that the variables of government size, level of development, economic uncertainty, and economic conditions are among the most important macroeconomic factors affecting the exchange rate. According to the research findings, controlling the effects of the exchange rate increase on consumer prices (exchange rate pass-through), reducing the size of the government, controlling economic uncertainties, improving economic conditions, and improving the level of development is an inevitable necessity in Iran, Therefore, The most important policy recommendations of this research are to control the effects of the exchange rate increase on the consumer price index in Iran

کلیدواژه‌ها [English]

  • Exchange Rate Pass-Through
  • Bayesian Model Averaging
  • Weighted-Average Least Squares
  • Random Forest regressor

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پژوهشنامه اقتصاد کلان Macroeconomics Research Letter
دوره 17، شماره 36
دی 1401
صفحه 39-65

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  • تاریخ دریافت: 21 آبان 1402
  • تاریخ بازنگری: 13 آذر 1402
  • تاریخ پذیرش: 24 آذر 1402

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