اثر شوک های عدم اطمینان خارجی بر اقتصاد کلان ایران

دوره 22، شماره 2 - شماره پیاپی 85
دوره بیست و دوم، شماره دوم، تابستان
تابستان 1404
صفحه 1-41

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانش‌آموخته دکتری اقتصاد مالی، گروه اقتصاد، دانشکده اقتصاد و مدیریت، دانشکاه ارومیه،ارومیه، ایران

2 دانشیار اقتصاد، گروه اقتصاد، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران

چکیده
اقتصاد ایران متأثر از شوک‌های متعددی در سال‌های مختلف بوده است. در این بین نااطمینانی‌های بوجود آمده از ناحیه شوک‌ نفت، شوک‌ بازار مالی و شوک سیاست‌گذاری‌های اقتصادی مهمترین و بارزترین شوک‌های است که متغیرهای کلان اقتصادی را درگیر خود کرده است. هدف اصلی این مطالعه بررسی اثرات شوک‌های عدم اطمینان خارجی بر اقتصاد کلان ایران با استفاده از مدل خودرگرسیون با وقفه‌های توزیعی غیرخطی (NARDL) است. در مطالعه حاضر، سه نوع شوک عدم اطمینان پرکاربرد سیاست اقتصادی (EPU)، بازارهای مالی (VIX) و بازار انرژی(OVX) در بازه زمانی 1399-1364در نظر گرفته شده و رابطه نامتقارن غیرخطی کوتاه مدت و بلندمدت بین آنها و متغیرهای کلان اقتصادی بررسی شده است. نتایج تجربی شواهد قابل توجهی از رابطه کوتاه‌مدت بین انواع شوک‌های عدم اطمینان و اقتصاد کلان ایران ارائه می‌کند. در بلندمدت نیز، نتایج نشان می‌دهد نامرتبط‌ترین پارامتر برروی تولیدات داخل کشور، اخبار اقتصادی مرتبط با دولت آمریکاست و مؤثرترین عامل عدم اطمینان بر اقتصاد کلان ایران، شوک‌های نرخ ارز و بازار نفت است. شوک‌های بازارهای مالی بین المللی به صورت نامتقارن بر حجم پول اثرگذار است و کاهش عدم اطمینان در بازار انرژی ممکن است به افزایش عرضه پول منجر شود. براساس یافته‌های بدست آمده از پژوهش به سیاستگذاران اقتصادی توصیه شده است. به منظور ایجاد رشد و ثبات اقتصاد کلان، شدت و جهت شوک‎‌های خارجی را احصا و در سیاست‌گذاری‌های خود لحاظ نمایند و اقدامات پیشگیرانه‌ای در خصوص آنها اتخاذ کنند.

کلیدواژه‌ها

موضوعات

عنوان مقاله English

The effects of external uncertainty shocks on Iran's macroeconomy

نویسندگان English

Fatemeh Ansari 1
Ali Rezazadeh 2
1 PhD in Financial Economics, Department of Economics, Faculty of Economics and Management, Urmia University, Urmia, Iran
2 Associate Professor of Economics, Faculty of Economics and Management, Urmia University, Urmia, Iran
چکیده English

Iran's economy has been affected by several shocks in different years. Among these, uncertainties in the area of oil shock, financial market shock and economic policy shock are the most important and obvious shocks that have affected macroeconomic variables. The main purpose of this paper is to investigate the effects of external uncertainty on Iran's macroeconomy using a nonlinear cointegrating autoregressive distributed lag (NARDL) model. The three most widely used economic policy uncertainties (EPU), financial markets (VIX) and energy market (OVX) in the period 1985-2020 are considered in this paper and the short-term and long-term nonlinear asymmetric relationship between these three types of uncertainty and Macroeconomic variables are examined. Empirical results provide significant evidence of a short-term relationship between various types of uncertainty shocks and Iran's macroeconomy. In the long run, the results show that the most irrelevant parameter on domestic production is US government-based economic news and the most relevant factor of uncertainty on Iran's macroeconomy; Exchange rate and oil market shocks. International financial market shocks have an asymmetric effect on money supply, and reduced energy market uncertainty may lead to increased money supply. Based on the findings of the study, economic policymakers are advised to calculate the severity and direction of external shocks in their policies in order to create macroeconomic growth and stability, and to take preventive measures regarding them.

کلیدواژه‌ها English

  • External Uncertainty
  • Economic Policy
  • Financial Markets
  • Energy Market
  • Macroeconomic variables
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