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بررسی سرعت انتقال رژیم در اثرگذاری نامتقارن نرخ ارز بر صادرات غیرنفتی ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار اقتصاد، گروه اقتصاد، دانشکده علوم اداری و اقتصاد، دانشگاه ولی عصر (عج)، رفسنجان، ایران.

2 کارشناس ارشد اقتصاد، گروه اقتصاد، دانشکده علوم اداری و اقتصاد، دانشگاه ولی عصر (عج)، رفسنجان، ایران.

چکیده

هدف اصلی این پژوهش بررسی سرعت انتقال رژیم در اثرگذاری نامتقارن نرخ ارز بر صادرات غیرنفتی ایران طی دوره زمانی 1396-1357 است. با توجه به اینکه نرخ ارز به‌عنوان یکى از مباحث اساسى سیاست‌هاى کلان اقتصادى در ادبیات اقتصادى هر کشوری ضرورى است لذا تنظیم مناسب، توجه به تغییرات و عوامل مؤثر بر آن، در هر شرایطی می‌تواند موضوعی قابل‌توجه می‌باشد. از سوی دیگر، گسترش صادرات غیرنفتی و رهایی از اقتصاد تک‌محصولی یکی از دغدغه‌های سیاست‌گذاران اقتصادی کشور در دهه اخیر بوده است، ازاین‌رو بررسی عوامل مؤثر بر این مهم اقتصادی ضرورت دارد و این امر توسعه‌ی صادرات غیرنفتی را در راستای کاهش وابستگی اقتصاد کشور به درآمدهای نفتی، ضروری ساخته است. برای برآورد سرعت انتقال رژیم در اثرگذاری نامتقارن نرخ ارز بر صادرات غیرنفتی در مطالعه حاضر از روش‌های غیرخطی مارکف-سوئیچینگ (MS) و رگرسیون انتقال ملایم (STR) استفاده می‌شود. نتایج تغییر رژیم یک‌باره مدل مارکف-سوئیچینگ (MS) نشان داد که تأثیر نرخ ارز در رژیم اول حدود 6/8 برابر رژیم دوم است که هر دو رژیم اثری مثبت بر صادرات غیرنفتی دارند لذا نتایج این روش حاکی از آن است که در ایران نرخ ارز بر صادرات غیرنفتی اثری غیرخطی، نامتقارن و مثبت دارد؛ اما در مدل رگرسیون انتقال ملایم (STR) ضرایب نرخ ارز اثری متفاوت در دو رژیم نشان دادند به‌نحوی‌که در رژیم اول متغیر نرخ ارز اثر منفی و بی‌معنی بر صادرات غیر‌نفتی و در رژیم دوم نرخ ارز اثر مثبت و معناداری بر صادرات غیرنفتی دارد. درمجموع می‌توان نتیجه گرفت که اثر نرخ ارز بر صادرات غیرنفتی غیرخطی و نامتقارن است که این اثر بستگی به‌سرعت انتقال رژیم دارد به‌نحوی‌که اگر سرعت انتقال از رژیمی به رژیم دیگر یک‌باره (مارکف-سوئیچینگ) باشد شدت اثر نرخ ارز بر صادرات غیرنفتی را با شتاب زیادی تغییر می‏دهد اما اگر این سرعت انتقال به آهستگی (رگرسیون انتقال ملایم) انجام شود می‏تواند اثر نرخ ارز بر صادرات غیرنفتی را معکوس ساخته و حتی نحوه این اثر را به کل تغییر دهد.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Investigating the rate of transfer of regime in the asymmetric effect of exchange rate on Iran's non-oil exports

نویسندگان [English]

  • Moslem Ansari Nasab 1
  • parisa pas 2

1 Assistant Professor of Economics, Department of Economics, Faculty of Administrative Sciences and Economics, Vali-E-Asr University of Rafsanjan, Iran .

2 MSc of Economic, epartment of Economics, Faculty of Administrative Sciences and Economics, Vali-E-Asr University of Rafsanjan, Iran.

چکیده [English]

EXTENDED ABSTRACT
INTRODUCTION
The main objective of this study is to analyze the impact of changes in the real exchange rate on the export performance of the non-oil sector. Export earnings are assumed of vital importance not only for developing but also for developed countries. Developed countries mainly export capital and final goods, while the main part of developing countries export consists of mining-industry goods especially natural resources. In this context, there are some challenges for countries with natural resource abundance, such as oi,l in comparison with other countries. The main point is that in parallel with the windfall of oil revenues these countries have to pay more attention to the development of the non-oil sector as well as its export performance ;because in most cases oil-driven economic development leads to some undesirable consequences such as Dutch Disease in oil-rich countries. In oil-dependent countries, the export of other goods can help reduce the effect of oil revenues on the country's trade basket. Several factors affect non-oil exports, one of which is exchange rate variable. exchange rate which is the price of a foreign currency in terms of domestic currencies, has an important effect on macroeconomic variables; Such as production, exports, the balance of payments, etc. By affecting the relative prices of domestic and imported goods, this rate can also affect other economic sectors of the country. Accordingly, exchange rates and shocks of this variable are one of the main factors affecting non-oil exports.
 
METHODOLOGY
Today, because many countries are experiencing continuous changes in politics and economics, it is expected that modeling macroeconomic variables with linear models and fixed parameters are not appropriate, so nonlinear models and temporal parameters have a comparative advantage. This study examines the impact of the exchange rate on non-oil exports in Iran from 1978-2017 by using nonlinear Markov-switching (MS) and Smooth Transition Regression (STR) models. Therefore, these two models are used to estimate the regime transfer rate due to the asymmetric exchange rate on non-oil exports. The studied variables have been collected from the websites of the Central Bank of Iran and the Bank of Commercial Partners. They include non-oil exports, exchange rates, Iran's GDP, GDP, and price index.
 
FINDINGS
The results of a sudden change of Markov-switching model (MS) show that the effect of exchange rate in the first regime is about 8.6 times the second regime, both of which have a positive effect on non-oil exports, So, the results of this method show the nonlinear, asymmetric, and positive effect of exchange rate on non-oil exports in Iran.However, in the Smooth Transition Regression model (STR), exchange rate coefficientsshowed different effects in the two regimes in a way that exchange rate in the first regime has a negative, insignificant effect on non-oil exports, but in the second regime it has a positive and significant effect on non-oil exports.
 
CONCLUSION
Overall, the results show that the effect of exchange rate on non-oil exports is nonlinear and asymmetric and this effect changes with the change in transfer rate of the regime;i.e. if the rate of transfer from a regime to another is immediate, the effect of exchange rate on non-oil exports changes rapidly, but if the transition rate is slow, it can reverse the effect of exchange rate on non-oil exports and even completely change the effect. In addition, the findings of this study can be useful for policymakers in the monetary and real sectors in Iran, especially in terms of exchange rate policy implementation and its impact on non-oil exports.

کلیدواژه‌ها [English]

  • Non-oil exports
  • Exchange rate
  • Rate of transfer of regime
  • Markov Switching (MS) model
  • Smooth Transition Regression (STR) model
مراجع
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فصلنامه علمی پژوهشی اقتصاد مقداری
دوره 18، شماره 4 - شماره پیاپی 71
دوره هجدهم، شماره چهارم، زمستان 1400
اسفند 1400
صفحه 93-124
فایل ها
سابقه مقاله
  • تاریخ دریافت: 02 آبان 1398
  • تاریخ بازنگری: 18 مرداد 1399
  • تاریخ پذیرش: 14 آذر 1399
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