نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار اقتصاد، گروه اقتصاد و حسابداری، دانشکده ی اقتصاد و مدیریت، دانشگاه لرستان، خرم‌آباد، ایران.

2 دانشیار اقتصاد، گروه اقتصاد انرژی، دانشکده‌ی علوم اقتصادی و اداری، دانشگاه مازندران، بابلسر، ایران.

3 کارشناسی ارشد مدیریت مالی، گروه مدیریت مالی، دانشکده‌ی مدیریت، دانشگاه شهید بهشتی، تهران، ایران

4 کارشناسی ارشد مهندسی مالی، گروه مهندسی مالی، دانشکده‌ی مدیریت، دانشگاه آزاد تهران، تهران، ایران.

چکیده

چکیده گسترده
 
معرفی
یکی از مهمترین چالش­های اقتصاد ایران در دهه­ها­ی اخیر، اتکای بیش از حد آن به درآمدهای نفتی است. بر اساس سری­های زمانی بانک مرکزی طی سال­های بعد از انقلاب اسلامی و بویژه سال­های پس از جنگ تحمیلی به طور متوسط 80 تا 90 درصد درآمد صادرات، 40 تا 50 درصد بودجه سالیانه دولت و20 درصد از کل تولید ناخالص داخلی کشور از محل صادرات نفت تامین شده است. بر همین اساس، توسعه صادرات محصولات غیرنفتی دارای مزیت نسبی در بازارهای جهانی الزامی اجتناب­ناپذیر برای کشور ایران محسوب می­شود. به عبارت بهتر، به سبب وابستگی شدید اقتصاد کشور به نفت از یک طرف و ناپایداری و نوسانات شدید قیمت نفت در بازارهای جهانی و همچنین بواسطه حاکمیت یک بازار انحصاری چندجانبه بر آن از طرف دیگر، بسیاری از ناهنجاری­هایی که بر این بازار حاکم است به داخل منتقل شده و فعالیت­های اقتصادی را به تناسب ارزبری دچار نوسان می­کند (مقدسی و علی­شاهی، 1386). به نظر برنامه­ریزان و سیاستگذاران اقتصادی؛ تنها راه رهایی کشور از اقتصاد تک محصولی و وابستگی به درآمدهای ارزی حاصل از فروش نفت و همچنین برآورده کردن نیازهای روزافزون ارزی کشور، توسعه صادرات غیرنفتی و دستیابی به بازارهای جهانی است. اگر از محل درآمدهای ارزی صادرات غیرنفتی تقاضای ارز جهت واردات تامین شود، اقتصاد کشور از درآمدهای صادراتی نفت و تزریق مستقیم این منابع ارزی نفتی به اقتصاد داخل به شکل جاری بی­نیاز خواهد شد. به همین دلیل، سیاستگذاران اقتصادی در ایران در برنامه­های میان مدت (برنامه­های اقتصادی و اجتماعی توسعه) و بلندمدت (سند چشم­انداز ایران 1404) کشور توجه ویژه­ای به بهبود تراز تجاری غیرنفتی داشته­اند و عمدتاً تاکید بر حمایت بخش پولی و بانکی از طریق اعطای تسهیلات با بهره کمتر از تولیدکنندگان و صادرکنندگان غیرنفتی بوده است.
به دلیل اهمیت این موضوع در این مطالعه نقش تلاطم­های ارزی در تاثیرگذاری سیاست­های پولی بر تراز تجاری غیرنفتی ایران با تاکید بر تغییرات رژیمی طی دوره زمانی 1352-1396 به صورت فصلی بررسی شده است. در این راستا، از رگرسیون EGARCH برای مدل­سازی تلاطم­های ارزی و از رگرسیون STAR برای بررسی نقش این تلاطم­ها در تاثیرگذاری سیاست پولی بر ترازتجاری غیرنفتی استفاده شده است.
متدولوژی
به پیروی از مطالعات تجربی، الگوی زیر جهت دستیابی به اهداف این مطالعه در نظر گرفته شده است:




(1)


 




که در آن،
: لگاریتم طبیعی نسبت صادرات غیرنفتی به کل واردات در سال t؛
: لگاریتم طبیعی نرخ ارز حقیقی (حاصلضرب نرخ ارز بازار آزاد بر شاخص قیمت تولیدکننده کل جهان تقسیم بر شاخص قیمت تولید کننده در ایران) در سال t؛
: شاخص تلاطم ارزی (واریانس شرطی متغیر ) در سال t؛
: لگاریتم طبیعی نسبت کل نقدینگی به تولید ناخالص داخلی اسمی ایران در سال t؛
: ضرب لگاریتم طبیعی نسبت کل نقدینگی به تولید ناخالص داخلی اسمی ایران در شاخص تلاطم ارزی
: لگاریتم طبیعی درآمدهای حاصل از صادرات نفت و گاز بر حسب میلیون دلار در سال t؛
:  لگاریتم طبیعی شاخص باز بودن تجاری (نسبت مجموع تجارت به تولید ناخالص داخلی اسمی) در سال t؛
: پسماند الگو در سال t است.
پس از برآورد تلاطم­های نرخ ارز توسط رگرسیون EGARCH در دوره زمانی 96-1352 به صورت فصلی، مدل STAR برای بررسی نقش تلاطم­های ارزی در تاثیرگذاری سیاست­های پولی بر تراز تجاری غیرنفتی ایران با تاکید بر تغییرات رژیمی در دوره زمانی مورد مطالعه برآورد شده است. همچنین کلیه داده­ها از پایگاه داده بانک مرکزی جمهوری اسلامی ایران و بانک جهانی اخذ شده است.
یافته­ها
نتایج مربوط برآورد مدل STAR نشان داد که دو رژیم شامل رژیم بالا و پایین با مقدار آستانه 055/4- برای متغیر تراز تجاری در دوره زمانی مورد مطالعه وجود دارد. نتایح مربوط به رژیم پایین (تراز تجاری کمتر از 055/4-) نشان می­دهد که متغیرهای تراز تجاری با یک وقفه، نرخ ارز حقیقی، شاخص تلاطم ارزی با سیاست پولی، نقدینگی و شاخص باز بودن تجاری به ترتیب به میزان 980/13، 299/1-، 462/0-، 404/1- و 484/2- بر تراز تجاری تاثیر دارند. در رژیم بالا (تراز تجاری بیشتر از 055/4) نیز متغیرهای تراز تجاری با یک وقفه، نرخ ارز حقیقی، شاخص تلاطم ارزی با سیاست پولی، نقدینگی و شاخص باز بودن تجاری به ترتیب به میزان 601/25، 604/1، 562/0، 177/2 و 158/3 بر تراز تجاری تاثیر دارند. بنابراین در رژیم پایین تلاطم نرخ ارز بر تراز تجاری تاثیر منفی و در رژیم پایین تاثیر مثبت دارد. این نتیجه می­تواند به علت تلاطم­های شدید نرخ ارز در دوران پس از انقلاب باشد که به دلیل کاهش ارزش پول ملی، سبب ارزان شدن کالاهای داخلی نسبت به کالاهای خارجی و افزایش صادرات غیرنفتی شده است. هر چند که افزایش صادرات غیرنفتی در کشور عمدتاً به صورت صادرات مواد اولیه و محصولات کشاورزی بوده و تولیدات صنعتی سهم بسیار کمی در صادرات کشور داشته­اند. ضریب متغیر وابسته با یک وقفه در هر دو رژیم تاثیر مثبت بر تراز تجاری در دوره حاضر دارد که با مطالعات تجربی همخوانی دارد. سایر متغیرها در رژیم پایین دارای ضرایب منفی و در رژیم بالا دارای ضرایب مثبت بوده که نشان می­دهد نرخ ارز حقیقی، نقدینگی و باز بودن تجاری در دوره قبل و اوایل انقلاب تا فصل چهارم سال 1362 تاثیر منفی بر تراز تجاری داشته­اند. اما پس از سال 1362 متغیرهای ذکر شده بر تراز تجاری تاثیر مثبت داشته­اند. علت آن می­تواند به دلیل کاهشی بودن روند تراز تجاری در دوره رژیم پایین باشد که به علت مازاد واردات و کمبود صادرات غیرنفتی، متغیر باز بودن تجاری و همچنین نرخ ارز و نقدینگی نتوانسته نقش مثبت بر تراز تجاری داشته باشد. اما در رژیم بالا که از فصل اول سال 1363 تا فصل چهارم 1396 ادامه دارد، روند تراز تجاری در این سال­ها افزایشی است. لذا عوامل یاد شده نیز در افزایش تراز تجاری نقش مثبت داشته ­اند، هر چند همانطور که گفته شد، بیشتر سهم صادرات غیرنفتی کشور از مواد اولیه تولیدات صنعتی و محصولات کشاورزی است و نمی­توان گفت که بهبود تراز تجاری در دوره رژیم بالا ناشی از افزایش صادرات تولیدات صنعتی بوده است. نتایج بدست آمده از این پژوهش با نتایج مطالعات وونگ و چونگ (2016)، گومز و آلوارز (2006) همخوانی دارد. همچنین نتایج مربوط به پژوهش آگبولا (2005) و گیلفاسون و ریساگر(1984) مطابق با نتایج این مطالعه در رژیم پایین است. از منظر تاثیر نقدینگی بر تراز تجاری نیز نتایج بدست آمده با پژوهش فطرس و همکاران (1394) همخوانی دارد.
 
 
 
 
نتیجه
براساس نتایج بالا توصیه می­شود که سیاستگذاران پولی برای بهبود تراز تجاری غیرنفتی از طریق سیاست­های پولی وضعیت تلاطم­های ارزی را در نظر بگیرند. به عبارت بهتر، سیاست­های پولی در زمانی که که بازار ارز تلاطم کمتری دارد برای بهبود تراز تجاری غیرنفتی استفاده شود. یا حداقل، سیاست­های ارزی مناسب جهت کاهش تلاطم­های ارزی به همراه سیاست پولی به طور همزمان در بهبود ترازتجاری مدنظر قرار گیرد. بر این اساس چنانچه تلاطم­های ارزی شدید وجود داشته باشد، سیاست­های پولی در کشور نمی­توانند بهبود تراز تجاری غیرنفتی را بدنبال داشته باشند. این مهم نشان می­دهد رشد نقدینگی در کشور فارغ از منشا آن، چنانچه بازار ارز در کشور به ثبات لازم نرسد نمی­تواند ابزار توانمندی در بهبود تراز تجاری غیرنفتی کشور محسوب شود. همچنین صادرات کشور باید از صادرات مواد اولیه به سمت صادرات کالاهای نهایی و تولیدات صنعتی سوق داده شود. زیرا همانطور که روند تراز تجاری کشور نشان داد، تراز تجاری با صادرات غیرنفتی در تمامی دوره زمانی مورد مطالعه منفی بوده که برای مثبت شدن تراز تجاری با صادرات غیرنفتی باید تولیدات صنعتی افزایش یابد که در نهایت رشد و توسعه اقتصادی را به همراه خواهد داشت.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

The Impact of Currency Fluctuations on the Effect of Monetary Policies on Iran's non-oil Trade Balance with an Emphasis on Regime Changes

نویسندگان [English]

  • Leila Argha 1
  • Yosef mehnat far 2
  • maysam radpour 3
  • delara rezeh 4

1 * Assistant Professor of Economics, Department of Economics, Faculty of Economics and Management, Lorestan University, Khoram Abad, Iran.

2 Associate Professor of Economics, Department of Economics, Faculty of Energy Economics, Mazandaran University, Babolsar, Iran.

3 Masters in Finance Management, Department of Management, Faculty of Management, Shahid Beheshti University, Tehran, Iran.

4 Masters in Financial Engineering, Department of Financial Engineering, Faculty of Management, Azad University of Tehran, Iran.

چکیده [English]

EXTENDED ABSTRACT
INTRODUCTION
One of the most important challenges of Iran's economy in recent decades is its excessive reliance on oil revenues. According to the time series of the central bank, during the years after the Islamic revolution and especially the years after the imposed war, on average 80 to 90 percent of the export income, 40 to 50 percent of the government's annual budget and 20 percent of the country's total gross domestic product It is provided from the place of oil export. Based on this, the development of the export of non-oil products with a relative advantage in the world markets is considered an inevitable requirement for the country of Iran. In other words, due to the strong dependence of the country's economy on oil on the one hand and the instability and extreme fluctuations of oil prices in the world markets, as well as due to the dominance of a multilateral monopoly market on it on the other hand, many anomalies that rule this market It is transferred inside and causes economic activities to fluctuate according to the exchange rate (Maghdisi and Ali-Shahi, 2016). According to economic planners and policy makers; The only way to free the country from the single-product economy and dependence on foreign exchange income from the sale of oil, as well as to meet the country's ever-increasing foreign exchange needs, is to develop non-oil exports and access global markets. If the foreign currency demand for imports is met from the foreign exchange earnings of non-oil exports, the country's economy will not need oil export earnings and the direct injection of these oil foreign exchange resources into the domestic economy in the current form. For this reason, the economic policy makers in Iran have paid special attention to the improvement of the non-oil trade balance in the medium-term (economic and social development programs) and long-term (Perspective Document of Iran 1404) programs of the country and mainly emphasized on The monetary and banking sector has been supported by granting facilities with lower interest than non-oil producers and exporters.
Due to the importance of this issue, in this study, the role of currency fluctuations in the impact of monetary policies on Iran's non-oil trade balance has been analyzed seasonally, with an emphasis on regime changes during the period of 1352-1396. In this regard, EGARCH regression has been used to model currency fluctuations and STAR regression has been used to investigate the role of these fluctuations in the impact of monetary policy on the non-oil trade balance.
METHODOLOGY
Following the empirical studies, the following model has been considered to achieve the goals of this study:
                                    (1)
where in,
lxtmt: natural logarithm of the ratio of non-oil exports to total imports in year t;
lrexcht: the natural logarithm of the real exchange rate (the product of the free market exchange rate by the global producer price index divided by the producer price index in Iran) in year t;
vrexcht: currency volatility index (conditional variance of variable lrexch_t) in year t;
lmtgdpt: the natural logarithm of the ratio of total liquidity to Iran's nominal GDP in year t;
vrexch*lmtgdpt: the natural logarithm of the ratio of total liquidity to Iran's nominal GDP in the currency volatility index
loilxt: natural logarithm of revenues from oil and gas exports in million dollars in year t;
lopenesst: natural logarithm of trade openness index (ratio of total trade to nominal GDP) in year t;
εt: is the residual of the model in year t.
After estimating exchange rate fluctuations by EGARCH regression in the period of 1352-1996 on a seasonal basis, the STAR model was used to investigate the role of exchange rate fluctuations in the impact of monetary policies on Iran's non-oil trade balance, emphasizing regime changes in the period. The study is estimated. Also, all the data were obtained from the database of the Central Bank of the Islamic Republic of Iran and the World Bank.
 
FINDINGS
The results of STAR model estimation showed that there are two regimes including high and low regime with a threshold value of -4.055 for the trade balance variable in the studied time period. The results related to the low regime (trade balance less than -4.055) show that the variables of trade balance with one break, real exchange rate, currency volatility index with monetary policy, liquidity and trade openness index are respectively 980/ 13, -1.299, -0.462, -1.404 and -2.484 have an effect on the trade balance. In the above regime (trade balance more than 4.055), variables of trade balance with one break, real exchange rate, currency volatility index with monetary policy, liquidity and trade openness index are 25.601, 1.604, 562 respectively. 0.0, 2.177 and 3.158 have an effect on the trade balance. Therefore, in the low regime, the exchange rate fluctuation has a negative effect on the trade balance, and in the low regime, it has a positive effect. This result can be due to the severe exchange rate fluctuations in the post-revolution period, which caused domestic goods to become cheaper compared to foreign goods and increased non-oil exports due to the decrease in the value of the national currency. Although the increase in non-oil exports in the country is mainly in the form of raw materials and agricultural products, and industrial products have a very small share in the country's exports. The dependent variable coefficient with one break in both regimes has a positive effect on the trade balance in the current period, which is consistent with empirical studies. Other variables have negative coefficients in the low regime and positive coefficients in the high regime, which shows that the real exchange rate, liquidity and trade openness had a negative effect on the trade balance in the period before and at the beginning of the revolution until the fourth quarter of 2012. But after 2012, the mentioned variables have had a positive effect on the trade balance. The reason for this can be due to the decreasing trend of the trade balance during the period of the low regime, which could not have a positive role on the trade balance due to the excess of imports and the lack of non-oil exports, the variable of trade openness, as well as the exchange rate and liquidity. But in the above regime, which lasts from the first quarter of 2013 to the fourth quarter of 2016, the trend of the trade balance is increasing in these years. Therefore, the aforementioned factors have also played a positive role in increasing the trade balance, although as it was said, most of the country's non-oil exports are from the raw materials of industrial production and agricultural products, and it cannot be said that the improvement of the trade balance during the high regime period is due to It has been an increase in the export of industrial products. The results obtained from this research are consistent with the results of the studies of Wong and Chong (2016), Gomez and Alvarez (2006). Also, the results of the research of Agbola (2005) and Gilfason and Risagar (1984) are in accordance with the results of this study in the low regime. From the point of view of the effect of liquidity on the trade balance, the results obtained are consistent with the research of Fitras et al. (2014).
 
CONCLUSION
The results of STAR model estimation showed that there are two regimes including high and low regime with a threshold value of -4.055 for the trade balance variable in the studied time period. The results related to the low regime (trade balance less than -4.055) show that the variables of trade balance with one break, real exchange rate, currency volatility index with monetary policy, liquidity and trade openness index are respectively 980/ 13, -1.299, -0.462, -1.404 and -2.484 have an effect on the trade balance. In the above regime (trade balance more than 4.055), variables of trade balance with one break, real exchange rate, currency volatility index with monetary policy, liquidity and trade openness index are 25.601, 1.604, 562 respectively. 0.0, 2.177 and 3.158 have an effect on the trade balance. Therefore, in the low regime, the exchange rate fluctuation has a negative effect on the trade balance, and in the low regime, it has a positive effect. This result can be due to the severe exchange rate fluctuations in the post-revolution period, which caused domestic goods to become cheaper compared to foreign goods and increased non-oil exports due to the decrease in the value of the national currency. Although the increase in non-oil exports in the country is mainly in the form of raw materials and agricultural products, and industrial products have a very small share in the country's exports. The dependent variable coefficient with one break in both regimes has a positive effect on the trade balance in the current period, which is consistent with empirical studies. Other variables have negative coefficients in the low regime and positive coefficients in the high regime, which shows that the real exchange rate, liquidity and trade openness had a negative effect on the trade balance in the period before and at the beginning of the revolution until the fourth quarter of 2012. But after 2012, the mentioned variables have had a positive effect on the trade balance. The reason for this can be due to the decreasing trend of the trade balance during the period of the low regime, which could not have a positive role on the trade balance due to the excess of imports and the lack of non-oil exports, the variable of trade openness, as well as the exchange rate and liquidity. But in the above regime, which lasts from the first quarter of 2013 to the fourth quarter of 2016, the trend of the trade balance according to figure (2) is increasing in these years. Therefore, the aforementioned factors have also played a positive role in increasing the trade balance, although as it was said, most of the country's non-oil exports are from the raw materials of industrial production and agricultural products, and it cannot be said that the improvement of the trade balance during the high regime period is due to It has been an increase in the export of industrial products. The results obtained from this research are consistent with the results of the studies of Wong and Chong (2016), Gomez and Alvarez (2006). Also, the results of the research of Agbola (2005) and Gilfason and Risagar (1984) are in accordance with the results of this study in the low regime. From the point of view of the effect of liquidity on the trade balance, the results obtained are consistent with the research of Fitras et al. (2014)                                
Based on the above results, it is recommended that the monetary policy makers take into account the currency fluctuations in order to improve the non-oil trade balance through monetary policies. In other words, monetary policies should be used to improve the non-oil trade balance when the currency market is less volatile. Or at least, appropriate currency policies to reduce currency fluctuations along with monetary policy should be considered simultaneously in improving the trade balance. Based on this, if there are severe currency fluctuations, monetary policies in the country cannot improve the non-oil trade balance. This shows that the growth of liquidity in the country regardless of its origin, if the currency market in the country does not reach the necessary stability, it cannot be considered a powerful tool in improving the country's non-oil trade balance. Also, the export of the country should be shifted from the export of raw materials to the export of finished goods and industrial products. Because as the trend of the country's trade balance showed, the trade balance with non-oil exports has been negative in the entire time period studied, and for the trade balance with non-oil exports to be positive, industrial production must increase, which will ultimately bring economic growth and development.

کلیدواژه‌ها [English]

  • Real exchange rate
  • non-oil trade balance
  • monetary policies
  • currency fluctuations
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