بررسی سرریز نوسانات شاخص استرس مالی بر تورم، نرخ بهره، نقدینگی و شاخص صنعت با تأکید بر مدل های GARCH-BEKK، VAR و علیت گرانجر
محورهای موضوعی : مهندسی مالی
روح اله رضازاده
1
(گروه مدیریت مالی، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران)
میر فیض فلاح شمس لیالستانی
2
(گروه مدیریت بازرگانی، دانشکده مدیریت، واحد تهران مرکزی، دانشگاه آزاد اسلامی، تهران، ایران)
کلید واژه: علیت گرانجر, مدل VAR, شاخص استرس مالی, سر ریز نوسانات, مدل BEKK -GARCH,
چکیده مقاله :
در طول دوران استرس مالی، تأثیر شوک های استرس مالی بر فعالیت های اقتصادی ممکن است با آنچه معمولاً در زمان عادی مشاهده می شود متفاوت باشد. بنابراین مقتضی است که نحوه ی تفاوت تأثیرات استرس مالی بر فعالیت های اقتصادی و تورم در دوران بی ثباتی مالی مورد بررسی قرار گیرد. در این مقاله با توجه به بحث فوق چگونگی تأثیر وخامت شرایط مالی اقتصاد ایران و تأثیر آن بر متغیرهای کلان اقتصادی در طی سال های 1391 تا 1396 مورد بررسی قرار گرفته است. به همین منظور در این پژوهش قصد داریم با ساخت شاخص استرس مالی با استفاده از نماینده هایی از بازارهای مختلف، تأثیر سرریز نوسانات شاخص استرس مالی را بر تورم، نرخ بهره، نقدینگی و شاخص صنعت بررسی کنیم. به همین جهت با استفاده از مدل GARCH دو متغیره (BEKK) و همچنین با مدل VAR، تأثیر شوک ها و نوسانات بین آنها مورد آزمون قرار گرفت و سپس رابطه ی بین آنها از طریق آزمون علیت گرانجر بررسی گردید. نتایج نشان دهنده ی این است که بین شاخص استرس مالی با تورم، نرخ بهره و نقدینگی یک رابطه ی علیت برقرار است اما در بررسی رابطه علیت بین شاخص استرس مالی و شاخص صنعت نتایج آزمون علیت نشان دهنده ی این است که این شاخص صنعت است که در بلند مدت با تلاطم خود باعث تغییرات شاخص استرس مالی می شود اما شاخص استرس مالی تاثیری بر شاخص صنعت ندارد.
During financial stress, the impact of financial stress shocks on economic activity may differ from what is usually observed at normal times. Therefore, it is appropriate to consider the effects of financial stress on economic activity and inflation during the period of financial instability. In this paper, hence, the effect of the deterioration of financial conditions of the Iranian economy on macroeconomic variables between 2012 and 2017 has been investigated. For this purpose, in this research, we intend to study the impact of the fluctuations of the financial stress index on inflation, interest rates, liquidity, and industry index by developing the financial stress index using representatives from different markets. Therefore, using the GARCH two-variable BEKK model and also the VAR model, the effects of shocks and fluctuations between them were tested and then the relationship between them was investigated by Granger's causality test. The results indicate that there is a two-way relationship between the financial stress index and inflation, interest rate, and liquidity, but in examining the causality between the financial stress index and the industry index, the results of the causality test indicate that the industry index itself, in the long run, triggers changes in the financial stress index, but the financial stress index has no effect on the industry index.
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