نوع مقاله: مقاله پژوهشی

نویسندگان

1 دکتری اقتصاد دانشگاه تبریز، تبریز، ایران

2 استاد تمام و عضو هیئت علمی دانشگاه تبریز، تبریز، ایران

چکیده

مقامات پولی کشور تلاش می­کنند تا متناسب با اهداف کشور عرضه پول را به­نحوی تغییر دهند ت به ا اهداف کلان اقتصادی از جمله دست­یابی به رشد اقتصادی بالاتر، تثبیت
 قیمت­ها، تعادل ترازپرداخت­ها و کنترل حجم پول یا نقدینگی دست یابد.از این رو  ارزیابی دقیق مکانیزم انتقال سیاست پولی موجب درک بهتر از چگونگی تأثیر اقدامات پولی بر تولید و سطح قیمت­ها می­شود.

 در این راستا نرخ ارز به­عنوان یکی از کلیدی­ترین متغیرهای اقتصاداست که  می­تواند در انتقال آثار سیاست­های پولی بسیار تعیین کننده باشد. به­عبارتی نرخ ارز شاخص مهمی از اقتصاد است که بدلیل ارتباط متقابل خود با سایر متغیرهای داخلی و خارجی، هم از تحولات اقتصادی داخل و خارج اثر می­پذیرد  و هم بر متغیرهای اقتصادی داخلی اثرگذار می­باشد. لذا  نقش کانال نرخ ارز در مکانیزم انتقال پولی در اقتصاد ایران می­تواند بسیار حائز اهمیت باشد.این مسئله در شوک­های ارزی سال­های اخیر بسیار پررنگ بوده­است. از این رو هدف مطالعه حاضر مطالعه نقش کانال نرخ ارز در انتقال آثار سیاست پولی می­باشد.
 اما باید توجه داشت که اکثر سری­های اقتصادی بدلایل مختلف از جمله تغییرات ساختاری اقتصادی و یا تغییر رفتار عوامل اقتصادی در طول زمان دچار تغییر در روند و رفتار می­شوند. بر این اساس تغییرات سری­های زمانی می­تواند موجب تغییر روابط بین متغیرها در طول زمان گردد. از این رو  انتقال غیرخطی سیاست­های پولی بسیار محتمل به­نظر می­رسد.  انتقال غیرخطی سیاست­های پولی به معنی تغییر نحوه اثرگذاری تغییرات پولی بر تولید و سطح قیمت­ها می­باشد. در واقع هدف از مطالعه مکانیزم انتقال غیرخطی سیاست پولی از کانال نرخ ارز، بررسی تغییر نحوه اثرپذیری نرخ ارز از تغییرات پولی و تغییر اثرگذاری نرخ ارز بر تولید و سطح قیمت­ها در طی دوره­های مختلف می­باشد.
در این راستا در مطالعه حاضر برای بررسی نقش کانال نرخ ارز در مکانیزم انتقال غیرخطی سیاست­های پولی از روش MSVAR استفاده می­شود که قابلیت­های زیادی برای لحاظ کردن تغییرات ساختاری دارد برای داده­های تحقیق نیز از سری زمانی تولید ناخالص داخلی، شاخص قیمت مصرف کننده، حجم پایه پولی نرخ ارز طی فصول 1Q 1370 تا 4Q 1395 استفاده می­شود.
 نتایج تحقیق تأییدی بر نظریات پولیون در اقتصاد ایران می­باشد. به­طوریکه پول در دو رژیم صفر (سال­های بعد از1384) و رژیم یک (سال­های قبل از 1384) در کوتاه­مدت بر تولید مؤثر بوده و در بلندمدت تأثیری بر تولید نداشته­است. مهم­ترین وجه تمایز بین فصل­های رژیم صفر و رژیم یک رشد مانده حقیقی پایه پولی می­باشد. به­طوری که، رشد مانده حقیقی پایه پولی نسبت به فصل مشابه سال قبل در رژیم صفر نسبت به رژیم یک در حدود 8 برابر است. اما مقایسه اثرات پول بر تولید در این دو رژیم حاکی از این است که پول اثرات مشابهی بر تولید داشته­است. لذا رشد بیشتر پول در رژیم صفر نتوانسته اثرگذاری بیشتری بر تولید نسبت به رژیم یک داشته باشد. از طرفی اما بررسی اثرات پول بر سطح قیمت­ها حاکی از این است که در بلندمدت در رژیم صفر که رشد پول زیاد بوده­است، پول اثرات بزرگ­تر و ماندگارتری بر قیمت­ها داشته­است. نتایج برآورد شده در خصوص نقش کانال نرخ ارز در مکانیسم انتقال پول حاکی از این است که افزایش پول از کانال نرخ ارز در رژیم صفر نقشی در انتقال پول به تولید نداشته­است، در حالیکه در رژیم یک، کانال نرخ ارز سهم قابل توجهی در انتقال پول بر تولید داشته­است و تغییرات پول از طریق این کانال موجب کاهش تولید شده­است. از طرفی سهم کانال نرخ ارز در انتقال پول به قیمت­ها در رژیم صفر (رشد زیاد پول) نسبت به رژیم یک (رشد کم پول) بیشر و ماندگارتر است. به­عبارتی در رژیم صفر، افزایش پول موجب افزایش بیشتر نرخ ارز شده و افزایش نرخ ارز اثرات ماندگارتری بر سطح قیمت­ها خواهد داشت.
با توجه به یافته‏های تحقیق توصیه می‏شود تا بانک مرکزی جهت کنترل تورم، رشد حجم پول را محدود نماید. زیرا با افزایش رشد پول، اثرگذاری پول بر تولید تغییر نکرده و تنها در بلندمدت موجب رشد بیشتر قیمت‏ها خواهد شد. از طرفی بدلیل اینکه کانال نرخ ارز در هر دو رژیم نقش منفی در انتقال پول بر تولید داشته‏است، لذا توصیه می‏گردد تا بانک مرکزی به منظور افزایش تولید، با کنترل سایر عوامل مؤثر بر نرخ ارز، از جهش و رشد بیشتر نرخ ارز جلوگیری نماید تا آثار منفی آن بر تولید را محدود نماید.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Nonlinear Transmission Mechanism of Monetary Policy from Exchange Rate Channel in Iran: Approach (MS-VAR)

نویسندگان [English]

  • Ali Mahdiloo 1
  • hossain asgharpur 2

1 Ph.D of Economics Department, University of Tabriz, Tabriz, Iran

2 Professor of Economics Department, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran

چکیده [English]

The country's monetary authorities are trying to adapt the money supply to the country's goals in order to achieve such macroeconomic goals as achieving higher economic growth, stabilizing prices, balancing payments and controlling the volume of money. Therefore, a careful evaluation of the monetary policy transfer mechanism seems necessary to help us better understand how monetary measures affect production and price levels.
 In this regard, the exchange rate as one of the key variables of the economy can be very decisive in the transmission of monetary policy effects. In other words, the exchange rate is an important indicator of the economy that, due to its interaction with other domestic and foreign variables, affects both domestic and foreign economic developments as well as the domestic economic variables. For this reason, the role of the exchange rate channel in the monetary transmission mechanism in the Iranian economy as an important issue has been very pronounced in recent years. This paper was, thus, intended to study the role of the exchange rate channel in transferring monetary policy effects.
 However, it should be noted that most economic series undergo changes in trends and behaviors for various reasons, including structural economic changes or changes in the behavior of economic agents over time. Accordingly, time series changes can change the relationships between variables over time and non-linear monetary policy transfer seems very likely. Nonlinear monetary policy transfer means changing how monetary changes affect production and price levels. The purpose of this study was, thus, to study the mechanism of nonlinear transfer of monetary policy from the exchange rate channel, so as to examine how the exchange rate is affected by monetary changes, and how the exchange rate affects the production and price levels over different periods.
In this regard, MSVAR method was used in this study to investigate the role of exchange rate channel in the non-linear monetary policy transfer mechanism, which has great potentials for incorporating structural changes. To that end, consumer Price Index, Currency Base Currency Volume were, thus, used during the seasons 1990Q1 to 2016Q4.
 The results confirmed the theory of polion in the Iranian economy. This way, money in two regimes of zero (years after 2006) and regime one (years before 2006) was effective on the production in the short run and had no effect on the production in the long run. The most important distinction between the seasons of the zero regime and the regime of a real monetary base growth remained constant. In effect, the growth of the real monetary base balance was about eight times higher than that of the one in the zero regime compared to the one in the previous year. However, comparing the effects of money on the production in these two regimes suggests that money has had similar effects on production. Therefore, more money growth in the zero regime could not have a greater impact on the production than regime one. On the other hand, examining the effects of money on the price level suggests that in the long run under the zero-growth regime, money has had larger and more lasting effects on prices. The estimated results regarding the role of the exchange rate channel in the money transfer mechanism suggest that increasing money from the exchange rate channel in the zero regime did not play a role in generating money, whereas in regime one, the exchange rate channel had a significant share in it. Indeed, there has been a transfer of money over production, and money changes through this channel have reduced production. On the other hand, the share of the exchange rate channel in transferring money to prices in regime zero (high money growth) is higher and more stable than regime one (low money growth). In other words, in the zero regime, the increase of the currency will increase the exchange rate further and the exchange rate will have more lasting effects on the price level.
According to the findings, it is recommended that the central bank restrict the growth of money supply in order to control inflation. This is because with the increase in money growth, the impact of money on production has not changed and only in the long run will it lead to higher prices. On the other hand, because the exchange rate channel in both regimes has a negative role in transferring money over production, it is recommended that the central bank, in order to increase production by controlling other factors affecting the exchange rate, prevent further currency jumps and growth so as to limit its negative effects on production.

کلیدواژه‌ها [English]

  • Nonlinear Mechanism of Monetary Policy Transmission
  • House Price Channel
  • Markov Switching

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