پویایی اثر انتقالی تورم و نرخ ارز در ایران: کاربردی از انتقال رژیم مارکف

نوع مقاله : علمی

نویسنده

محقق اداره آمار و تحقیقات ارزی بانک مرکزی ج.ا.ا

10.22080/mrl.2025.30405.2210

چکیده

این مطالعه به بررسی تعاملات کوتاه‌مدت و بلندمدت میان نرخ تورم و نرخ ارز در اقتصاد ایران طی دوره بهمن ۱۳۸۰ تا شهریور ۱۴۰۴ پرداخته است. بدین‌منظور با استفاده از مدل‌ تغییر رژیم مارکف، امکان تحلیل اثرات تغییرات ساختاری و تفاوت‌های رفتاری متغیرها در شرایط اقتصادی متفاوت (رونق و رکود) فراهم شد. نتایج نشان داد که در دوره‌های رونق، شوک‌های ارزی به‌صورت تدریجی و میان‌مدت بر سطح قیمت‌ها تأثیر می‌گذارند و اثر آنها ناقص است، این امر ناشی از چسبندگی قیمتی، تأخیر در انتقال هزینه‌های وارداتی و کنترل انتظارات تورمی فعالان اقتصادی است؛ در حالی که در دوره‌های رکود، اثر نرخ ارز بر تورم تقریباً کامل است و نوسانات کوچک ارزی می‌تواند فشارهای تورمی شدیدی ایجاد کند. تحلیل علیت گرنجر و تجزیه واریانس نشان داد که نرخ ارز نقش پیشرو در تعیین مسیر تورم دارد و تورم اثر معناداری بر نرخ ارز ندارد، که با تجربه تاریخی اقتصاد ایران در مواجهه با نوسانات ارزی و تحریم‌ها همخوانی دارد. یافته‌ها همچنین بر ضرورت مدیریت پویا و بلندمدت نرخ ارز تأکید دارند و نشان می‌دهند که سیاست‌های پولی و مالی به تنهایی کافی نیستند و ترکیب آن‌ها با سیاست‌های ارزی و مدیریت انتظارات اقتصادی، به‌ویژه در دوره‌های رکود، برای کاهش نوسانات شدید تورم و حفظ ثبات اقتصاد کلان ضروری است. این رویکرد شامل پایش مستمر رابطه نرخ ارز و تورم، تنوع‌بخشی در ابزارهای سیاست پولی با استفاده از سیاست‌های کلان‌پالایشگر و نرخ بهره، توجه ویژه به دوره‌های رکود که اثر نرخ ارز بر تورم کامل است، و تحلیل تکمیلی با افزودن شاخص‌های عدم قطعیت، سیاست مالی دولت، بدهی عمومی و شوک‌های خارجی است. پایش بلندمدت و انطباق سیاست‌ها با تحولات اقتصادی می‌تواند به مدیریت پیچیدگی‌های رابطه نرخ ارز و تورم کمک کند و ثبات اقتصاد کلان ایران را تقویت نماید.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

The Dynamics of Inflation and Exchange Rate Pass-Through in Iran: An Application of the Markov Regime-Switching Model

نویسنده [English]

  • alireza ghobashi
Researcher, Department of Statistics and Foreign Exchange Research, Central Bank of the Islamic Republic of Iran
چکیده [English]

This study investigates the short- and long-term interactions between inflation and the real exchange rate in the Iranian economy over the period from February 2002 to September 2025. By employing a Markov Switching framework, the analysis captures the effects of structural changes and behavioral differences of variables under different economic conditions (boom and recession). The results indicate that during periods of economic expansion, exchange rate shocks gradually and partially affect price levels, reflecting price stickiness, delays in the pass-through of import costs, and managed inflation expectations of economic agents. In contrast, during recessions, the effect of the exchange rate on inflation is almost complete, and even minor exchange rate fluctuations can exert substantial inflationary pressures. Granger causality and variance decomposition analyses show that the exchange rate plays a leading role in determining inflation dynamics, while inflation has no significant effect on the exchange rate, consistent with Iran’s historical experience of exchange rate volatility and sanctions. The findings underscore the necessity of dynamic, long-term exchange rate management, indicating that monetary and fiscal policies alone are insufficient. Their combination with exchange rate policies and expectation management, particularly during recessions, is crucial to mitigate severe inflation volatility and maintain macroeconomic stability. This approach involves continuous monitoring of the exchange rate–inflation relationship, diversifying monetary policy tools through macroprudential policies alongside interest rate adjustments, paying special attention to recession periods when exchange rate effects on inflation are complete, and conducting complementary analyses by incorporating uncertainty indices, government fiscal policies, public debt, and external shocks. Long-term monitoring and policy adaptation to economic developments can help manage the complexities of the exchange rate–inflation relationship and strengthen Iran’s macroeconomic stability.

کلیدواژه‌ها [English]

  • Inflation
  • Exchange Rate
  • Markov Regime Switching
  • Exchange Rate Pass-Through
  • Exchange Rate Policy

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پژوهشنامه اقتصاد کلان Macroeconomics Research Letter
دوره 20، شماره 48
دی 1404
صفحه 119-154

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  • تاریخ دریافت: 08 آبان 1404
  • تاریخ بازنگری: 20 آبان 1404
  • تاریخ پذیرش: 04 آذر 1404

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