بررسی مکانیزم انتقال پولی و زمان‌یابی آن در اقتصاد ایران
محورهای موضوعی : اقتصاد کار و جمعیت
کلید واژه: سیاست های‌پولی, مکانیزم انتقال,
چکیده مقاله :
در این مقاله مکانیزم انتقال پولی در اقتصاد ایران در چارچوب کانالهای اعتباری، نرخ ارز، قیمت داراییها و نرخ بهره با استفاده از الگوهای خودهمبسته برداری و دادههای فصلی سال 1367 تا 1386 مطالعه شده است. نتایج مطالعه حاکی از آن است که اثر شوک پولی بر تولید به لحاظ آماری، معنادار نیست ولی واکنش تورم به شوک پولی تقریباً هم زمان و قابل‌ملاحظه میباشد. نتایج تجزیه واریانس تولید و سطح عمومی قیمتها نیز موید نکته فوق است، به طوری که سهم اختلالات پایه پولی از نوسانات تولید و تورم به ترتیب معادل 7/5 و 72 درصد میباشد. متناظر با عدم اثرپذیری تولید از شوک پولی، کانالهای انتقال نیز سهمی در انتقال شوک پولی به تولید نداشتهاند، اما در انتقال آثار تورمی شوک پولی موثر هستند به نحوی که سهم کانال قیمت دارایی، نرخ بهره، نرخ ارز و اعتبار در افق 9 فصله به ترتیب معادل 7/35، 6/30، 19 و2/3 درصد است و در مجموع 5/88 درصد تغییر سطح عمومی قیمتها را توضیح میدهند.
In this paper, the monetary policy transmission process within the channels of the credit, exchang rate, assets prices and interest rate is studied for the Iranian economy using Vector Autoregressive Approach during 1988Q1 to 2007Q4. The results represent that the effect of changes in money supply (monetary base) is not statistically significant on output .but; the inflation impact is instantaneous and noticeable. The variance decomposition results are, also, consistent with this finding. In particular, a monetary innovation explains 5.7 and 72 percent of output and inflation innovations, respectively. Likewise, the channels play no role in transmitting the effect of monetary policy to output. But, in respect to inflation, they have a significant effect. Specifically, the contribution of asset, interest rate, exchange rate and credit channels in nine quarter horizons amount to 35.7, 30.6, 19, and 3.2 percent, respectively. They, all together, explain 88.5 percent of the general price level of changes.
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