نوع مقاله: مقاله پژوهشی

نویسندگان

1 هیأت علمی، دانشگاه شهید بهشتی

2 دانشگاه شهید بهشتی

چکیده

ذخایر بین‌المللی به طور مستقیم برای تأمین مالی کسری تراز پرداخت‌ها و ایجاد تعادل در بازار ارز استفاده می‌شوند. از طرف دیگر شرایط خاص اقتصادی کشورهای گروه اوپک نظیر وابستگی شدید اقتصادی به درآمدهای نفتی و عدم وجود انعطاف‌پذیری لازم در نظام ارزی و همچنین بروز شوک‌های قیمتی نفت طی دهه‌های اخیر، باعث اثرگذاری نوسان‌های قیمت نفت بر سطح ذخایر بین‌المللی در این کشورها می‌شود. با توجه به اهمیت نقش ذخایر بین‌المللی در اقتصاد کشورها و همچنین به دلیل محیط اقتصادی کشورهای اوپک، در این مطالعه بر اساس رویکرد مرکانتیلیستی، تعیین کننده‌های ذخایر بین‌المللی در کشورهای اوپک با استفاده از روش اقتصادسنجی داده‌های تابلویی طی دوره‌ی 2015-1980 ارزیابی شده است. بر اساس نتایج، متغیرهای میانگین متحرک رشد درآمد صادرات حقیقی، تفاوت نرخ بهره‌ی حقیقی داخلی و جهانی، تولید ناخالص داخلی سرانه، شاخص نظام ارزی، درجه‌ی باز بودن تجاری، شاخص رابطه‌ی مبادله‌ی پایاپای خالص، بدهی خارجی کوتاه‌مدت، شاخص آزادی حساب سرمایه، نوسان‌های قیمت نفت و شوک‌های مثبت و منفی قیمت نفت به عنوان تعیین کننده‌های ذخایر بین‌المللی در کشورهای گروه اوپک شناخته شدند.

کلیدواژه‌ها

عنوان مقاله [English]

Determinants of International Reserves in OPEC Countries with Emphasizing on Oil Price Uncertainty

نویسنده [English]

  • Mehdi Yazdani 1

1 Faculty Membership, Shahid Beheshti University

چکیده [English]

International reserves directly used for financing of balance of payments deficit and adjustment of the foreign exchange market disequilibrium. On the other hand, specific economic conditions of OPEC countries such as economic dependence on oil revenues, the lack of suitable flexibility in exchange rate regime and also oil shocks during recent decades, lead to effect of oil price volatility on international reserves in these countries. Hence, due to the important role of international reserves in economies and also the economic situation of OPEC countries, in this study by using mercantilist approach, the determinants of international reserves in OPEC countries have been evaluated with emphasizing on oil price uncertainty by using panel data method during 1980-2015. According to the results, moving average of real export revenue, the difference between domestic and international real interest rate, gross domestic product per capita, exchange rate regime index, trade openness, net barter terms of trade index, short-term external debt, capital account liberalization index, oil price uncertainty, positive and negative shocks of oil price have been known as determinants of international reserves.

کلیدواژه‌ها [English]

  • International Reserves
  • OPEC
  • oil price uncertainty
  • Panel data

محتشم­دولتشاهی، طهماسب. (1392). اقتصاد بین­الملل، تجارت بین­الملل­مالیه بین الملل. تهران: پشوتن.## واعظ، محمد، خدیجه نصرالهی و امیر جباری. (1386). تعیین سطح بهینه ذخایر بین المللی بانک مرکزی ایران. پژوهش­های اقتصادی ایران، 9(31): 102-77. ##واعظ، محمد، خدیجه نصرالهی و امیر جباری. (1387). بررسی سطح ذخایر بین‌المللی بانک مرکزی ایران با استفاده از گام تصادفی و VAR. اقتصاد مقداری، 5(3): 183-161. ##

Abdul, J. & B. Sheharyar. (2008). The Optimal Demand for Foreign Exchange Reserves in Pakistan. International Journal of Applied Econometrics and Quantitative Studies, 5(1): 33-48. ##Abdullateef, U. & I. Waheed. (2010). External Reserve Holdings in Nigeria: Implications for Investment, Inflation and Exchange Rate. Journal of Economics and International Finance, 2(9): 183-189. ##Aizenman, J. & J. Lee. (2007). International Reserves: Precautionary Versus Mercantilist Views, Theory and Evidence. Open Economies Review, 18(2): 191-214. ##Aizenman, J., J. Lee & Y. Rhee. (2007). International Reserves Management and Capital Mobility in a Volatile World: Policy Considerations and a Case Study of Korea. Journal of the Japanese and International Economies, 21(1): 1-15. ##Ball, C.P. & J.A. Reyes. (2009). International Reserves Holdings: Interest Rates Matter. Applied Economics Letters, 16(4): 343-348. ##Benedict, U.A. & A.A. Syvester. (2014). Opportunity Cost of Nigeria’s External Reserves. Journal of Economics and Finance, 3(5): 7-16. ##Box, G.E.P. & G.M. Jenkins. (1970). Time Series Analysis: Forecasting and Control. First Eddition. San Francisco: Holden Day. ##Britto, R. & H.R. Heller. (1973). International Adjustment and Optimal Reserves. International Economic Review, 14(1): 182-195. ##Calvo, G.A., A. Izquierde & R. Loo-Kung. (2012). Optimal Holdings of International Reserves: Self-Insurance against Sudden Stop. NEBER Working Paper Series, 18219. ##Chakravarty, S.L. (2009). The Optimal Level of International Reserves: The Case of India. Praj̄nȧn: Journal of Social and Management Sciences, 38(2): 81-98. ##Cheung, Y.W. & H. Ito. (2009). A Cross-Country Empirical Analysis of International Reserves. International Economic Journal, 23(4): 447-481. ##Chinn, D.M. & H. Ito. (2006). What Matters for Financial Development? Capital Controls, Institutions, and Interactions. Journal of Development Economics, 81(1): 163-192. ##Chinn, D.M. & H. Ito. (2015). Notes on The Chinn-Ito Financial Openness Index. Unpublished; Portland State University, University of Wisconsin, Madison and NBER. ##Choi, C. & S.G. Baek. (2008). Exchange Rate Regimes and International Reserves. The Korean Economic Review, 24(1): 105-129. ##Chow, G.C. (1960). Tests of Equality between Sets of Coefficients in Two Linear Regressions. Econometrica, 28(3): 591-605. ##Delatte, A.L. & J. Fouquau. (2011). The Determinants of International Reserves in the Emerging Countries: A Non-Linear Approach. Applied Economics, 43(28): 4179-4192. ##Detragiache, E. (1996). Fiscal Adjustment and Official Reserves in Sovereign Debt Negotiations. Economica, 63(249): 81-95. ##Dickey, D.A. & W.A. Fuller. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4): 1057-1072. ##Dooley, M. L.D. Folkerts & P. Garber. (2003). An Essay on the Revived Bretton Woods System. NBER Working Papers, 9971. ##Flood, R. & Marion, N. (2002). Holding International Reserves in an Era of High Capital Mobility. IMF Working paper, 02/62. ##Flood, R. & N. Marion. (1999). Perspectives on the Recent Currency Crisis Literature. International Journal of Finance and Economics, 4(1): 1-26.  ##Frankel, J.A. (2005). Mundell-Fleming Lecture: Contractionary Currency Crashes in Developing Countries. IMF Staff Papers, 52(2): 149-192. ##Frenkel, J.A. & B. Jovanovic. (1981). Optimal International Reserves: A Stochastic Framework. The Economic Journal, 91: 507-514. ##Hamada, K. & K. Ueda. (1977). Random Walks and the Theory the Optimal International Reserves. The Economic Journal, 87: 722-742. ##Hamilton, J.D. (1996). This is What Happened to the Oil Price-Macro economy Relationship. Journal of Monetary Economics, 38(2): 215-220. ##Hausman, J.A. (1978). Specification Tests in Econometrics. Econometrica, 46(6): 1251-1271. ##Heller, H.R. (1966). Optimal International Reserves. The Economic Journal, 76: 296-311. ##Hou, Z., J. Keane, J. Kennan & D.W. Velde. (2015). The Oil Price Shock of 2014. ODI Working Paper, 415. ##Ilzetzki, E.O., C.M. Reinhart, & K.S. Rogoff. (2011). The Country Chronologies and Background Material to Exchange Rate Arrangements into the 21st Century: Will the Anchor Currency Hold?. Unpublished; London School of Economics, University of Maryland, Harvard University and NEBER. ##Im, K.S., M.H. Pesaran & Y. Shin. (2003). Testing for Unit roots in Heterogeneous Panels. Journal of Econometrics, 115(1): 53-74. ##International Monetary Fund. (2011, 2012, 2013, 2014, 2015). Annual Report on Exchange Arrangements and Exchange Restrictions. Washington, D.C: International Monetary Fund. ##Kao, C. (1999). Spurious Regression and Residual-Based Tests for Co-integration in Panel Data. Journal of Econometrics, 90(1): 1-44. ##Molapo, S.S. (2016). Optimal International Reserves in Lesotho. European Scientific Journal, 12(13): 282-294. ##Mork, K.A. (1989). Oil and the Macroeconomy When Prices Go Up and Down: An Extention of Hamilton’s Results. Journal of Political Economy, 97(3): 740-744. ##Pina, G. (2015). The Recent Growth of International Reserves in Developing Economies: A Monetary Perspective. Journal of International Money and Finance, 58: 172-190. ##Ramachandran, M. (2004). The Optimal Level of International Reserves: Evidence for India. Economics Letters, 83(3): 365-370. ##Reinhart, C. M. & K.S. Rogoff. (2004). The Modern History of Exchange Rate Arrangements: A Reinterpretation. The Quarterly Journal of Economics, 119(1): 1-48. ##Schwarz, G. (1978). Estimating the Dimension of a Model. The Annual of Statistics, 6(2): 461-464. ##Sehgal, S. & C. Sharma. (2008). A Study of Adequacy, Cost and Determinants of International Reserves in India. International Research Journal of Finance and Economics, 20: 75-90. ##Sinem, E. & Y. Nebiye. (2014). Demand for International Reserves in Turkey. The Romanian Economic Journal, 52: 63-76. ##Stiglitz, J. (2002). Globalization and its Discontents. New York: Norton. ##Wald, A. (1943). Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large. Transactions of the American Mathematical Society, 54(3): 426-482. ##Wooldridge, J. M. (2002). Econometric Analysis of Cross Section and Panel Data. Cambridge: MIT Press. ##Zhou, Y. (2009). International Reserves and Fiscal Policy in Developing Countries. Review of International Economics, 17(5): 942-960. ##