بررسی اثر آستانه‌ای نرخ تورم بر کسری بودجه با رویکرد رگرسیون انتقال ملایم (STR)

دوره 23، شماره 2 - شماره پیاپی 89
دوره بیست و سوم، شماره دوم، تابستان 1405
تابستان 1405
صفحه 1-33

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار اقتصاد، دانشکده‌ی اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران.

2 دانش‌آموخته دکتری اقتصاد پولی، دانشکده علوم اداری و اقتصادی، دانشگاه فردوسی مشهد، مشهد، ایران (نویسنده‌ی مسئول).

3 کارشناسی ارشد اقتصاد نظری، دانشکده‌ی اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران.

4 کارشناسی ارشد توسعه اقتصادی و برنامه‌ریزی، دانشکده‌ی اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران.

چکیده
چکیده گسترده
معرفی:
بیش از نیم قرن است که مجادلات نظری و تجربی گسترده­ای حول رابطه بین کسری بودجه دولت و تورم - به عنوان دو شاخص متعارف عملکرد اقتصاد کلان – شکل گرفته است. اینکه 1 - تأثیر نرخ تورم بر کسری بودجه در رژیم­های مختلف چگونه است؟ 2 – نرخ رشد تولید ناخالص داخلی در رژیم­های مختلف چه اثری بر کسری بودجه دارد؟ 3- درآمدهای نفتی در رژیم­های مختلف چه اثری بر کسری بودجه دارد؟ و 4- نرخ ارز بازار در رژیم­های مختلف چه اثری بر کسری بودجه دارد؟ سوالاتی هستند که هنوز به لحاظ نظری و یا تجربی پاسخ مشخصی به آن داده نشده است. مطالعات تجربی انجام گرفته نیز در خصوص مسأله وجود یا عدم وجود و یا جهت رابطه علّی بین کسری بودجه دولت و تورم منتج به نتایج مشخصی نشده است و این مطالعات بسته به نمونه تحت بررسی، مفروضات و مقتضیات زمانی تحقیق نتایج متناقضی را گزارش کرده­اند. بنابراین، به نظر میرسد بهترین روش در پاسخگویی به این تناقضات نظری و تجربی، بررسی تجربی اثر تورم بر کسری بودجه دولت به صورت مجزا در هر کشوری است، بر این اساس، هدف محوری پژوهش حاضر بررسی اثر آستانه­ای نرخ تورم بر کسری بودجه - به عنوان دو چالش عمده اقتصاد ایران در سال­های بعد از پیروزی انقلاب - در اقتصاد ایران است.
متدولوژی:
امروزه با توجه به اینکه بسیاری از کشورها با تغییرات پیدرپی در حوزه سیاست و اقتصاد مواجه هستند، انتظار میرود مدلسازی متغیرهای کلان اقتصادی با مدل های خطی و پارامترهای ثابت مناسب نباشد، لذا مدل­های غیرخطی و پارامترهای زماندار دارای مزیت نسبی می­باشند. در این مطالعه به منظور بررسی تأثیر آستانه­ای نرخ تورم بر کسری بودجه ایران طی دوره زمانی 1398-1358، از مدل رگرسیون انتقال ملایم [1] (STR) استفاده شده است. الگوی اقتصادسنجی مورد استفاده در این تحقیق برگرفته از مدل مورد استفاده توسط چیو و سان[2] (2016) به صورت رابطه ‏(1) می­باشد:
                                                              

 

که درآن ، کسری بودجه دولت به عنوان متغیر وابسته(بر حسب میلیارد ریال) می باشد،  نیز برداری متغیر­های کنترل به شرح زیر می­باشند:

 نرخ تورم که از شاخص کل بهای کالاها و خدمات مصرفی به دست آمده است.
 نرخ رشد تولید ناخالص داخلی بر اساس برابری قدرت خرید پول (به قیمت ثابت سال پایه 2005) بدست آمده است.
 درآمدهای نفتی (بر حسب میلیارد ریال) می­باشد.
 شاخص نرخ ارز (برحسب درصد سالیانه) می­باشد.

 بردار ضرایب قسمت خطی و  بردار ضرایب قسمت غیرخطی می­باشد.  نشانگر متغیر انتقال، پارامتر سرعت انتقال از یک رژیم به رژیم دیگر و  نشان­دهنده حد آستانه یا محل وقوع تغییر رژیم می­باشد.  جزء اخلال این معادله می­باشد که فرض می­شود شرط  را تأمین می­کند. لازم به ذکر می باشد داده­های استفاده شده در این تحقیق از بانک اطلاعات سری زمانی و گزارش­های بانک مرکزی[8]استخراج گردیده­ است. هم­چنین به منظور برآورد الگو و تجزیه و تحلیل­های آماری نیز از نرم­افزارهای  JMULTI و Eviews10 استفاده شده است.
 
یافته ها:
مجموع ضرایب نرخ تورم در دو رژیم اول و دوم  اثرات مثبتی بر کسری بودجه داشته است. از طرفی مجموع ضرایب نرخ ارز در دو رژیم اول و دوم  موجب افزایش کسری بودجه شده است که نشان می­دهد نرخ ارز در هر دو رژیم دارای اثرات همسویی بر کسری بودجه است. سایر نتایج حاکی از آن است که مجموع ضرایب نرخ رشد اقتصادی در هر دو رژیم اول و دوم موجب کاهش کسری بودجه گردیده است. نهایتاً مجموع ضرایب درآمدهای نفتی در رژیم اول اثر منفی و در رژیم دوم اثر مثبتی بر کسری بودجه داشته است.
نتیجه:
سؤال­های تحقیق حاضر با استفاده از روش اقتصاد سنجی رگرسیون انتقال ملایم مورد بررسی قرار گرفتند و به شرح ذیل است:
سؤال اول تحقیق نیز بیانگر آن است که " تأثیر نرخ تورم بر کسری بودجه در رژیم­های مختلف چگونه است؟" نتایج حاصل از تحقیق نشانگر آن است که نرخ تورم در هر دو رژیم تأثیر مثبت بر کسری بودجه دارد.
سؤال دوم تحقیق نیز بیانگر آن است که "نرخ رشد تولید ناخالص داخلی در رژیم­های مختلف چه اثری بر کسری بودجه دارد؟" براساس نتایج حاصل از تحقیق نرخ رشد اقتصادی در هر دو رژیم تاثیر منفی بر کسری بودجه دارد.
سؤال سوم تحقیق حاکی از آن است که " درآمدهای نفتی در رژیم­های مختلف چه اثری بر کسری بودجه دارد؟" براساس نتایج حاصل از تحقیق که درآمدهای نفتی در رژیم اول اثر منفی و در رژیم دوم تاثیر مثبت بر کسری بودجه دارد.
سؤال چهارم تحقیق نشانگر آن است که " نرخ ارز بازار در رژیم­های مختلف چه اثری بر کسری بودجه دارد؟" براساس نتایج حاصل از تحقیق نرخ ارز در هر دو رژیم تاثیر مثبت بر کسری بودجه دارد.
کسری بودجه از خصوصیات بیشتر کشور­های در حال توسعه است، از طرفی تورم اثر برجسته­ای بر درآمد­ها و هزینه­های دولت دارد، لذا ارائه پیشنهاد­­های سیاست­گذاری برای این دو متغیر به دقت نظر ویژه­ای نیاز دارد، اما آنچه که با استفاده از این تحقیق می­توان در قالب پیشنهاد بیان کرد به صورت زیر است:
1- با توجه به نتایج تحقیق در هر دو رژیم، افزایش تورم موجب تشدید کسری بودجه دولت شده است با توجه به اینکه خود کسری بودجه دولت می­تواند یکی از علل و عوامل اصلی مؤثر در تورم باشد لذا یک رابطه دو طرفه ای بین تورم و کسری بودجه وجود دارد پس می­توان به این نتیجه رسید که برای کاهش تورم، بودجه دولت به لحاظ منابع درآمدی و هزینه ای مورد بازنگری قرار گیرد به صورتی که:
الف). سهم درآمدهای مالیاتی، عوارض و... افزایش پیدا کند و در سهم مالیات تورمی در تأمین بودجه دولت کاهش پیدا کند.
ب). اتکا دولت برای تأمین درآمد از بانک مرکزی (حق الضرب) کاهش پیدا کند.
ج). دولت هزینه­های خود را مدیریت کند و با کاهش هزینه­ها در موارد غیر ضروری منبع کسری بودجه را محدود کند.
د). دولت با کوچک سازی و انضباط مالی و محدود کردن حوزه نفوذ بودجه، کسری بودجه را کاهش دهد. زیرا با کوچک شدن دولت و کاهش فعالیت­های آن، اولا هزینه­ها کاهش پیدا می­کند و ثانیا بخش خصوصی قدرت پیدا می­کند و محل تأمین مالیات افزایش پیدا می­کند.
بنابراین بر اساس پیشنهادات مطرح شده اولا کسری بودجه کاهش پیدا می­کند و با توجه به رابطه دو طرفه بین کسری بودجه و تورم، تورم نیز کاهش پیدا می­کند و ثانیا زمانی که تورم کاهش پیدا کرد در واقع کسری بودجه دولت مجدد در مرحله دوم بیشتر کاهش می­یابد. لذا این عامل موجب می­شود تا نهایتا کسری بودجه و تورم مسیر کاهشی را طی نمایند.
 
[1] Smooth Transition Regression Model (STR)
[2] Chiu & SUN
[3] Budget Deficit
[4] Inflation
[5] Gross domestic product
[6] Oil Revenues
[7] Exchange rate
[8] Central Bank of Iran (CBI)

کلیدواژه‌ها

موضوعات

عنوان مقاله English

Investigating the threshold effect of inflation rate on budget deficit with Smooth Transition Regression (STR) approach

نویسندگان English

Soleiman Faizi Yingjeh 1
Ebrahim ghaed 2
Mohammad Salmani 3
Mahdiyeh Rahimdel Goltapeh 4
1 Assistant Professor of Economics, Faculty of Economics and Management, Urmia University, Urmia, Iran.
2 PhD Graduate in Monetary Economics, Faculty of Economics and Administrative Sciences, Ferdowsi University of Mashhad, Mashhad, Iran
3 MS.c in Theoretical Economic, Faculty of Economics and Management, Urmia University, Urmia, Iran..
4 MSc, Department of Economic Development and Planning, Faculty of Economics and Management, Urmia University, Urmia, Iran..
چکیده English

EXTENDED ABSTRACT
INTRODUCTION
For more than half a century, extensive theoretical and empirical controversies have been formed around the relationship between the government budget deficit and inflation - as two conventional indicators of macroeconomic performance. 1- What is the effect of the inflation rate on the budget deficit in different regimes? 2- What effect does the GDP growth rate have on the budget deficit in different regimes? 3- What effect do oil revenues have on the budget deficit in different regimes? And 4- What effect does the market exchange rate have on the budget deficit in different regimes? There are questions that have not yet been answered theoretically or empirically. Empirical studies have also been conducted regarding the issue of existence or non-existence or the direction of the causal relationship between the government budget deficit and inflation, and these studies have reported contradictory results depending on the sample under investigation, assumptions and time requirements of the research. . Therefore, it seems that the best way to respond to these theoretical and empirical contradictions is to experimentally investigate the effect of inflation on the government budget deficit separately in each country. Based on this, the main goal of the current research is to investigate the threshold effect of the inflation rate on the budget deficit. - as the two major challenges of Iran's economy in the years after the victory of the revolution - in Iran's economy.
 
METHODOLOGY:
Nowadays, due to the fact that many countries are facing successive changes in the field of politics and economy, it is expected that the modeling of macroeconomic variables with linear models and fixed parameters is not suitable, therefore, non-linear models and time parameters have a relative advantage. In this study, in order to investigate the threshold effect of the inflation rate on Iran's budget deficit during the period of 1979-2019, the Smooth Transition Regression (STR) approach has been used. The econometric model used in this research is derived from the model used by Chiu & SUN (2016) in the form of equation (1):
                                                              (1)
Where is the government budget deficit as a dependent variable (in billions of Rials), and  is the vector of the control variables as follows:

INF is the inflation rate obtained from the total price index of consumer goods and services.
GDP is the growth rate of the gross domestic product based on the purchasing power parity of money (at the constant price of the base year 2005).
is oil revenues (in billion Rials).
is the exchange rate index (in terms of annual percentage).

 is the vector of linear part coefficients andnonlinear part coefficients. ndicates the transition variable, is the parameter of the transition speed from one regime to another, and c indicates the threshold limit or the place where the regime change occurs. is the perturbation component of this equation, which is assumed to satisfy the condition  It should be noted that the data used in this research were extracted from the time series data bank and reports of the central bank. Also, JMULTI and Eviews10 software were used for model estimation and statistical analysis.
FINDINGS:
The sum of the inflation rate coefficients in the first and second regimes has had positive effects on the budget deficit. On the other hand, the sum of the exchange rate coefficients in the first and second regimes has increased the budget deficit, which shows that the exchange rate in both regimes has aligning effects on the budget deficit. Other results indicate that the total coefficients of the economic growth rate in both the first and second regimes have reduced the budget deficit. Finally, the sum of coefficients of oil revenues had a negative effect on the budget deficit in the first regime and a positive effect in the second regime.
CONCLUSION:
The questions of the present research were investigated using the smooth transition regression approach and are as follows:
The first question of the research indicates that "how is the effect of inflation rate on the budget deficit in different regimes?" The results of the research indicate that the inflation rate has a positive effect on the budget deficit in both regimes.
The second question of the research also states that "What effect does the GDP growth rate have on the budget deficit in different regimes?" Based on the results of the research, the economic growth rate in both regimes has a negative effect on the budget deficit.
The third question of the research indicates that "what effect do oil revenues have on the budget deficit in different regimes?" Based on the results of the research, oil revenues have a negative effect on the budget deficit in the first regime and a positive effect in the second regime.
The fourth question of the research shows that "What effect does the market exchange rate have on the budget deficit in different regimes?" Based on the results of the research, the exchange rate has a positive effect on the budget deficit in both regimes.
The budget deficit is one of the characteristics of most developing countries, on the other hand, inflation has a prominent effect on the government's revenues and expenses, so the policy proposals for these two variables should be carefully considered. needs. But what can be expressed in the form of a suggested using this research is as follows:
1- According to the research results in both regimes, the increase in inflation has aggravated the government budget deficit, considering that the government budget deficit itself can be one of the main causes and factors affecting inflation, so there is a two-way relationship between inflation and deficit. There is a budget, so it can be concluded that in order to reduce inflation, the government's budget should be reviewed in terms of revenue and expenditure sources in such a way that:
A). The share of tax revenues, tolls, etc. should increase and the share of inflationary tax in securing the government budget should decrease.
B). The government's reliance on the Central Bank (Haq al-Zarb) to provide income should be reduced.
C). The government should manage its expenses and limit the source of the budget deficit by reducing expenses in unnecessary cases.
D). The government should reduce the budget deficit by downsizing and financial discipline and limiting the sphere of influence of the budget. Because with the shrinking of the government and the reduction of its activities, firstly, the costs will decrease, and secondly, the private sector will gain power and the source of taxes will increase.
Therefore, based on the proposed proposals, first, the budget deficit will decrease, and according to the two-way relationship between the budget deficit and inflation, inflation will also decrease, and secondly, when inflation decreases, the government's budget deficit will return to the stage The second decreases more. Therefore, this factor causes the budget deficit and inflation to go down.

کلیدواژه‌ها English

  • Threshold Effect
  • Inflation Rate
  • Budget Deficit
  • Smooth Transition Regression (STR) approach
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