ارزیابی روند اتصال بین بازارهای قراردادهای آتی نفت جهانی و تأثیر آن بر بازار ارز غیر رسمی و سکه طلا در ایران

محورهای موضوعی : فصلنامه اقتصاد محاسباتی

عبدالرسول افراسیابی ¹ , سید نعمت الله موسوی ^{2 *} , فاطمه زندی ³

1 - دانشگاه آزاد اسلامی، واحد مرودشت، مرودشت، ایران
2 - استاد گروه اقتصاد، واحد مرودشت، دانشگاه آزاد اسلامی، مرودشت، ایران.
3 - استادیار گروه اقتصاد، واحد تهران جنوب، دانشگاه آزاد اسلامی، تهران، ایران.

تاریخ دریافت : 1403/08/24 تاریخ پذیرش : 1403/11/14 تاریخ انتشار : 1404/01/19

کلید واژه: اتصال بازارها, انتقال نوسان, خودرگرسیون برداری, خودرگرسیون بیزین.,

چکیده مقاله :

هدف مطالعة حاضر، ارزیابی روند اتصال بین بازارهای قراردادهای آتی نفت جهانی و تأثیر آن بر بازار ارز نارسمی و سکه طلا در ایران می‌باشد. مطالعة حاضر از نظر هدف، کاربردی و به لحاظ ماهیت داده‌ها از نوع کمی می‌باشد که با روش گردآوری اسناد صورت پذیرفته است. جامعة آماری پژوهش نیز شامل داده‌های روزانه نرخ ارز در بازار ارز نارسمی و قیمت سکه طلای بهار آزادی روزانه در بازار تهران است. برای تجزیه و تحلیل داده‌ها از روش رگرسیون مارکوف سوئیچینگ استفاده شده است. برای این منظور داده‌های روزانه بازارهای تهران برای دوره 1397- 1400 گردآوری و با استفاده از رگرسیون BTVC-VAR یا تخمین بیزین VAR با پارامترهای متغیر در طی زمان، تجزیه و تحلیل شد. یافته‌های پژوهش نشان داد که بین این سه بازار اتصال وجود دارد و نوسان از بازار جهانی آتی‌های نفت خام به بازارهای داخلی دلار نارسمی و سکه طلا منتقل می‌شود. البته این انتقال نوسان بسیار مقطعی و موقتی است و در کوتاه‌مدت میرا می‌شود. افزون بر این، شاخص دیبولد-ییلماز نیز دال بر ماهیت نوسانی اتصال بین این بازارها بود به طوری که در بلندمدت، در برخی مقاطع، اتصال ضعیف و در برخی از مواقع اتصال قوی است.

 

چکیده انگلیسی:

Extended Abstract

Purpose

Crude oil future contracts become important both from the perspective of oil in the eyes of global financial activists and from the perspective of oil in the eyes of market supply and demand forces. This is why these contracts are considered as assets that play a prominent role in the connection between financial and even global commodity markets. The informal foreign exchange market in Iran is one of the most important means of reflecting the general vision of citizens about the future economic conditions of Iran, which shows itself in the form of increased demand for foreign exchange and jumps in the informal exchange rate. The importance of the informal foreign exchange market in Iran is that it is considered as a parallel and competitive market for the stock market, and if the connection between the oil futures market and the informal foreign exchange market is confirmed, the effects of the changes in that market can also be spread in the Iranian stock market. checked the gold coin trading market in Iran is also another parallel market for the stock and currency exchange, especially in inflationary conditions, people direct liquidity to this market to maintain their purchasing power, and hence, another unknown aspect of this research. What is the relationship between oil futures market, unofficial exchange rate and gold coin and whether contagion can be done among these three markets or not? In short, the main issue of the current research is whether there is a connection and contagion between the oil futures market, the informal currency market in Iran, and the gold coin market in Iran, in the period from 2018 to 2021?

Methodology

Vector Autoregression models become relevant when we are not sure which variables of the model are endogenous and which variables are exogenous, and there is no strong theoretical support for this division. Therefore, at first, all variables are included as endogenous in the model and the model is estimated as simultaneous equations; So that variables are a function of their current and past values ​​and each other (Karlsson et al., 2023). This model is known as the VAR model or the SVAR model (structural VAR model), but in the analysis of the connection between markets, the variability of parameters over time is at the center of the model, and therefore, the TVP-VAR model is defined as follows:

Equation 1.

 

Finding

In a more detailed view, the changes of the coefficient related to the first break of ORT for the GRT equation become smaller and smaller over time and with an increasing and then decreasing slope, and there is an inverse relationship between the future yield of crude oil in the world market and the yield of daily gold coins in the Iranian market is evident. However, the trend of changes in the coefficients of the effect of the first interruption of ORT on DRT over time shows a different pattern from GRT, and despite the presence of a positive and consistent relationship in one part of the period, it reflects an inverse relationship in another period (first half of 2019), then again to the relationship becomes positive and aligned.But the comparison of the changes of the variable parameters related to the effect of the first to third ORT interruptions on GRT (blue, red and green lines respectively) shows that the parameters of the second and third interruptions are similar in terms of trends. But in relation to the changes of the variable parameters related to the effect of the first to third interval of ORT on DRT (blue, red and green lines respectively), it can be seen that the parameters related to the first to third interval have a different pattern and the effect of the second and third interval on futures returns Oil on the daily return of the Iranian dollar takes a relatively downward trend and a downward trend.

Conclusion

Risk management, especially contagion risk, is of great importance to both governments and the private sector. Risk management is important for governments from the point of view that the stability of macroeconomics, especially financial markets, depends on managing and dealing with risks that the private sector does not have the ability, facilities, or motivation to enter into the field of their management or to deal with them. It does not have enough power. The private sector also attaches importance to risk management in order to avoid huge losses caused by market fluctuations or by adopting a suitable strategy, in case of fluctuations or shocks in a market, it can compensate for the effects of losses in part of its assets. or cover Oil and currency are among the assets that are very important in Iran, for the public sector and the private sector. For the government, the price of oil is important in terms of its importance and weight in the country's general budget, and the exchange rate is also an indicator of stability or instability in the macro economy. For the private sector, the price of oil is important as an effective factor in setting the government budget, or the possibility of a budget deficit and its consequences for liquidity and inflation, and the exchange rate, although in economic theory, it can provide the basis for export development if it increases. Therefore, understanding the structure of these markets and their connection with global markets, including the important oil futures market, can help to understand more about their mechanism and fluctuations and provide the conditions for risk management in the eyes of the government and investors. From this point of view, the current research is applied research that focuses on the connection between global markets and domestic markets, focusing on the market related to the important variable of oil and its future contracts.