بررسی اثرات نامتقارن عدم اطمینان قیمت نفت بر سرمایه‌گذاری شرکت‌ها

نوع مقاله : علمی

نویسندگان

1 دانشیار گروه اقتصاد، دانشگاه مازندران، بابلسر، ایران

2 هیات علمی دانشگاه مازندران

3 دانشگاه مازندران

چکیده

با توجه به جایگاه نفت در اقتصاد کشورهای غنی از منابع نفتی، عدم اطمینان ناشی از تغییرات قیمت آن یکی از منابع مهم ریسک و نااطمینانی است که تصمیمات مربوط به سرمایه‌گذاری شرکت‌ها را تحت تأثیر قرار می‌دهد.با توجه به این که صنایع محصولات شیمیایی دارای نقش مهمی در توسعه اقتصادی کشور بوده و نیز از تحولات سایر بازارها نظیر بازار نفت تاثیر می پذیرند، در این مطالعه اثرات نامتقارن عدم اطمینان قیمت نفت برنت بر سرمایه گذاری شرکت های گروه محصولات شیمیایی در بورس اوراق بهادار تهران طی دوره زمانی 1400-۱۳۸۹ مورد بررسی قرار گرفته است. مدل‌سازی تحقیق بر اساس الگوهای پانل پویا و محاسبه نا اطمینانی قیمت نفت به روش گارچ صورت گرفته است. روابط بین متغیرها نیز با استفاده از تکنیک گشتاورهای تعمیم‌یافته (GMM) دومرحله ای برآورد گردیده است. نتایج حاصل از تحقیق بیانگر این است که در طی دوره موردبررسی، نااطمینانی ناشی از تغییرات قیمت نفت اثر منفی بر سرمایه‌گذاری شرکت‌ها داشته است. از سوی دیگر یافته‌ها بیانگر این است که عدم اطمینان ناشی از تغییرات مثبت و منفی قیمت نفت دارای اثری نامتقارن بر سرمایه‌گذاری شرکت‌ها می‌باشد.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Investigating the Asymmetric Effects of Oil Price Uncertainty on Corporates Investment

نویسندگان [English]

  • Mahdieh Rezagholizadeh 1
  • amirmansour tehranchian 2
  • Fatemeh Alizadeh Nagharchi 3
1 Associate Professor of Economics, Faculty of Economics & Administrative Science, University of Mazandaran, Babolsar, Iran
2 university of mazandaran
3 university of Mazandaran
چکیده [English]

Considering the position of oil in the economy of countries with oil resources, oil price uncertainty is one of the important sources of risk and uncertainty that affects the investment decisions of companies. In addition, another important issue that should be considered in this regard is whether the companies' investment response to the positive and negative uncertainty is symmetric or asymmetric.  Considering that the chemical products industry has an important role in the economic development of the country and is also affected by the developments of other markets such as the oil market, in this study the asymmetric effects of Brent oil price uncertainty on the investment of chemical products group companies in the Tehran stock exchange has been investigated from 2010 to 2021. The research modeling is based on dynamic panel models and the calculation of oil price uncertainty has been done by the GARCH method. Relationships between variables have also been estimated using the Generalized Method of Moment (GMM). The results show that during the period under review, oil price uncertainty had a negative effect on corporate investment. On the other hand, the findings indicate that the positive and negative oil price uncertainty has an asymmetric effect on corporate investment.

کلیدواژه‌ها [English]

  • Oil Price Uncertainty
  • Corporate Investment
  • Asymmetric Effect
  • GARCH
  • Generalized method of moments (GMM)
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