استرس مالی و نااطمینانی سیاست پولی در ایران در رژیم‏های رکود و رونق*

نوع مقاله : علمی

نویسندگان

1 دانشجوی دکتری، رشته علوم اقتصادی، گروه اقتصاد، دانشکده اقتصاد و حسابداری، دانشگاه رازی

2 استاد/ گروه اقتصاد/ دانشکده اقتصاد و حسابداری/ دانشگاه رازی/ کرمانشاه/ ایران

3 دانشیار، گروه اقتصاد، دانشکده اقتصاد و حسابداری، دانشگاه رازی.

چکیده

در این مطالعه به دنبال آزمون استرس مالی و نااطمینانی سیاست پولی در ایران در رژیم‏های رکود و رونق هستیم. برای این منظور با استفاده از مدل تحلیل مولفه‌های اصلی (PCA) در بخش اول، شاخص استرس مالی محاسبه و در بخش دوم با بکارگیری مدل چرخشی و تغییر رژیم مارکوف سوئیچینگ (MS) اثر متغیرهای مطالعه طی بازه زمانی 1380 تا سال 1401 به شکل فصلی مورد بررسی واقع گردید. بر اساس وزن‌های به‌دست‌آمده برای شاخص استرس مالی، بخش پولی و مالی بیشترین تأثیر را در ایجاد استرس مالی دارد. بر اساس نتایج حاصل از محاسبه شاخص استرس مالی، ظرفیت استرس‌زایی اقتصادی ایران بالا است و بیشترین سطح استرس در اقتصاد ایران مربوط به فصل اول 1398، فصل اول، سوم و چهارم 1397، فصل اول 1392 و فصل دوم 1393 است. کمترین استرس مالی فصل اول 1385، فصل دوم و سوم 1389، فصل اول 1381 و فصل سوم 1383 است. همچنین براساس نتایج به ازای یک واحد افزایش در استرس مالی و قیمت نفت به ترتیب؛ 53 و 54 واحد، عدم اطمینان سیاست پولی افزایش می‌یابد. همچنین حجم تجارت در دوران رونق منجر به کاهش 13 واحدی عدم اطمینان سیاست پولی می‌شوند.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Financial stress and monetary policy uncertainty in Iran in recession and boom regimes

نویسندگان [English]

  • zahra heirani 1
  • Kiomars Sohaili 2
  • Shahram Fattahi 3
1 . PHD student in Economics/ Department of Economics/ Faculty of Economics and Accounting/ Razi University/ Kermanshah/ Iran
2 Professor / Department of Economics/ Faculty of Economics and Accounting/ Razi University/ Kermanshah/ Iran
3 Associate Professor/ Department of Economics/ Faculty of Economics and Accounting/ Razi University
چکیده [English]

In this study, we seek to test Financial stress and monetary policy uncertainty in Iran in recession and boom regimes. For this purpose, using the Principal Component Analysis (PCA) model in the first section, the financial stress index is calculated, and in the second section, by employing the Markov Switching (MS) regime-switching model, the effects of study variables during the period from 2001 to 2022 are investigated seasonally. Based on the weights obtained for the financial stress index, the monetary and financial sector has the greatest effect on creating financial stress. Based on the results of calculating the financial stress index, Iran's economic stress capacity is high. And the highest level of stress in Iran's economy is related to the first quarter of 2018, the first, third and fourth quarter of 2017, the first quarter of 2012 and the second quarter of 2013. The lowest financial stress is the first season of 2015, the second and third season of 2019, the first season of 2011 and the third season of 2013. Also, based on the results for one unit increase in financial stress and oil price, respectively; 53 and 54 units, monetary policy uncertainty increases. Also, the volume of trade during the boom period leads to a 13-point decrease in monetary policy uncertainty.

کلیدواژه‌ها [English]

  • financial stress
  • monetary policy uncertainty
  • recession and boom
  • Markov Switching-switching model

مراجع

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پژوهشنامه اقتصاد کلان Macroeconomics Research Letter
دوره 19، شماره 43
آبان 1403
صفحه 61-86

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  • تاریخ دریافت: 17 اردیبهشت 1403
  • تاریخ بازنگری: 09 تیر 1403
  • تاریخ پذیرش: 18 تیر 1403

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