اثر شوک‌های ساختاری نرخ ارز حقیقی بر تراز تجاری بخش کشاورزی ایران با استفاده از مدل SVAR

محورهای موضوعی : فصلنامه علمی -پژوهشی تحقیقات اقتصاد کشاورزی

مصطفی بنی اسدی ^{1 *} , سحر احمدی ²

1 - گروه ترویج و آموزش کشاورزی (زیرگروه اقتصادکشاورزی)، دانشکده کشاورزی، دانشگاه بوعلی سینا، همدان، ایران.
2 - گروه ترویج و آموزش کشاورزی (زیرگروه اقتصادکشاورزی)، دانشکده کشاورزی، دانشگاه بوعلی سینا، همدان، ایران.

تاریخ دریافت : 1398/09/05 تاریخ پذیرش : 1401/12/07 تاریخ انتشار : 1401/12/01

کلید واژه: بخش کشاورزی, تراز تجاری, شوک‌های ساختاری, مدل SVAR,

چکیده مقاله :

مقدمه و هدف: با توجه به اهمیت شناسایی ارتباط بین نرخ ارز حقیقی و تراز تجاری در تدوین و اجرای دقیق سیاست‌های تجاری در بخش کشاورزی، در این مطالعه، تأثیر شوک‌های ساختاری نرخ ارز حقیقی بر تراز تجاری بخش کشاورزی ایران مورد بررسی قرار گرفت. مواد و روش­ها: به‌منظور بررسی الگوی سیستماتیک واکنش تراز تجاری به شوک نرخ ارز حقیقی از روش خود رگرسیون برداری ساختاری در دوره زمانی (1395-1371) استفاده شد.. یافته­ها: نتایج حاصل از برآورد مدل نشان می‌دهد که شوک‌های نرخ ارز حقیقی ابتدا و در سال اول باعث بهبود اندک در تراز تجاری بخش کشاورزی می‌شود اما در سال‌ دوم و سوم بعد از بروز شوک، سبب وخیم‌تر شدن تراز تجاری بخش کشاورزی می‌شود. هم‌چنین، اثر شوک نرخ ارز حقیقی از سال ششم به بعد به‌طور کامل تعدیل شده و تراز تجاری بخش کشاورزی به روند تعادلی خود باز می‌گردد. بنابراین شوک‌های ارزی و کاهش ناگهانی ارزش پول ملی، تاثیر چندانی در بهبود تراز تجاری بخش کشاورزی در بلندمدت ندارد. بحث و نتیجه­گیری: پیشنهاد می‌شود برای بهبود تراز تجاری بخش کشاورزی، به‌جای تکیه بر افزایش توان رقابتی ناشی از افزایش نرخ ارز، به سایر متغیرهای اثرگذار نظیر سرمایه‌گذاری و تولید در بخش کشاورزی، انتقال دانش و فناوری و تعدیل محدودیت‌های ناشی از تغییرات اقلیمی توجه شود.

چکیده انگلیسی:

Introduction: Given the importance of identifying the relationship between real exchange rate and trade balance in the elaboration and accurate implementation of trade policies in the agricultural sector, in this study, the effect of real exchange rate structural shocks on the balance of trade in Iranian agricultural sector was studied. Materials and Methods: In order to examine the systematic pattern of trade balance reaction to real exchange rate shock, Structural Vector Autoregressive method was used during the period (1992-2016). Findings: The results of the model estimation show that real exchange rate shocks initially and in the first year have a slight improvement in the agricultural trade balance. But in the second and third year after the shock, the agricultural sector trade balance worsens. Also, the effect of the shock of the real exchange rate has been fully adjusted since the sixth year onwards and the trade balance of the agricultural sector returns to its equilibrium trend. Therefore, exchange rate shocks and a sudden decline in the value of the national currency do not have a significant effect on the improvement of the long-term trend of the trade balance of the agricultural sector. Conclusion: It is suggested to improve the trade balance of the agricultural sector, instead of relying on the increase in competitiveness due to the increase in the exchange rate, attention should be paid to other influencing variables such as investment and production in the agricultural sector, transfer of knowledge and technology, and adjustment of restrictions caused by climate changes.

منابع و مأخذ:

1. Sepanlo H, Ghanbari A. Investigating the factors affecting Iran's import demand by separating intermediate, capital and consumer goods. Iranian J Trad Stud. 2011; 15 (57): 209- 233. https://dorl.net/dor/20.1001.1.17350794.1389.15.57.8.6


2. Broumand Jezi SH, Kahram A. The effect of budget deficit and exchange rate on the current account deficit of Iran's foreign payments balance. Iranian Econ Res. 2005; 5(2): 113-130. https://joer.atu.ac.ir/article_3417.html?lang=fa


3. Yousefi M, Eshraghi, F, Karamatzadeh A. Analysis of the relationship between the exchange rate and the trade balance of Iran's agricultural sector using an autoregressive distributed lag model. The 4^th Global Conference on Advanced Progress in Engineering, Management, Economics and Accounting. Tehran Iran. 2017. https://civilica.com/doc/739287


4. Shirinbakhsh SH, Rajabi M, Amiri Mahani N. Evaluation of Asymmetric Co-integration of Real Exchange Rate and Trade Balance in Iran. Quarterly J Econ Model. 2009; 3 (8): 79- 94. https://eco.firuzkuh.iau.ir/article_555641.html?lang=fa


5. Sun C, kim M, Koo W, Cho G, Jin H. The effect of exchange rate volatility on wheat trade worldwide. Agribusiness & applied economics report 23579, North Dakota State University, Department of Agribusiness and Applied Economics. 2002. https://ageconsearch.umn.edu/ record/23579/files/aer488.pdf?ln=en&withWatermark=1


6. Hemmati AN, Mubasherpour A. Sources of fluctuations in nominal and real exchange rates in an oil-dependent economy: the case of Iran. Quarterly Ener Econ Rev. 2011; 8 (28): 135- 151. https://www.sid.ir/fileserver/jf/439139


7. Mazayeni AH, Yavari K. The effect of exchange rate changes on the commercial sector of the country, a case study of the exchange relationship and the relative price of tradable and non-tradable goods. Econ Res. 2004; 4 (4): 45- 69. https://www.sid.ir/FileServer/JF/69013831405


8. Abbasian E, Moradpour Auladi M, Mehregan N. The effects of real exchange rate uncertainty on economic growth in Iran. J Econ Res. 2012; 47 (1): 153- 189. [DOI: 1001.1.00398969.1391. 47.1.8.3]


9. Ito t, Sato K. Exchange rate changes and inflation in post – crisis Asian economies: VAR analysis of the exchange rate Pass–through. RIETI discussion paper series 06-E-018, research institute of economy, trade and industry (RIETI). 2006. https://www.nber.org/system/files/working_papers/w12395/w12395.pdf


10. Najarzadeh R, Agheli L, Shaghaghi Shahri V. The effect of the exchange rate and the real exchange rate on the deficit of the foreign trade sector of Iran's economy. J Econ Res. 2009; 9 (2): 73- 102. http://dorl.net/dor/20.1001.1. 17356768.1388.9.2.5.1


11. Memarian E, Jalali Naeini SAR. The effects of short and long-run exchange rate shocks on trade balance of Iran (a VECM approach for testing J-curve). Econ Res. 2010; 10 (37): 45- 69. https://joer.atu.ac.ir/article_2763.html


12. Fouladi M. The impacts of exchange rate variations on prices, GDP, export and import of different economic sectors in Iran using a CGE models approach. JPBUD. 2012; 17 (2) :127- 148. http://jpbud.ir/article-1-614-fa.html


13. Khosravi M, Mohseni R. The effect of exchange rate uncertainty on agricultural trade balance (an application of GARCH, EGARCH and TGARCH model). Agri Econ. 2014; 2 (2): 69- 86. http://www.iranianjae.ir/ article_9163.html?lang=en


14. Farsi Aliabadi MM, Moghaddasi R, Gilanpour O. Impact of macroeconomic variables on agricultural trade balance. J Agri Econ and Develop. 2015; 23 (1): 115- 136. http://aead.agri-peri.ac.ir/article_58960.html?lang=en


15. Drema BGH. The effects of real exchange rate on trade-on-trade balance in coted, I voire: evidence from the cointegration analysis and error–correction models. School of International Business and Management, Shanghai University. 2010; no. 21810: 20- 37. https://mpra.ub.uni-muenchen.de/21810/1/The_Effects_of_Exchange_Rate_on_Trade_Balance_in_Cote_dI.pdf


16. Cheng KM, Kim H, Thompson H. The real exchange rate and the balance of trade in US tourism. Inter Rev Econ Financ. 2013; 25: 122-128. [DOI: 10.1016/j.iref.2012.06.007]


17. Grier KB, Smallwood AD. Exchange rate shocks and trade: A multivariate GARCH-M approach. J Inter Money Financ. 2013; 37: 282- 305. [DOI: 10.1016/j.jimonfin.2013.05.010]


18. Bahmani-Oskooee M, Halicioglu F. Asymmetric effects of exchange rate changes on Turkish bilateral trade balances. Econ Syst. 2017; 41 (2): 279- 296. [DOI: 10.1016/j.ecosys.2016.07.001]


19. Senadza B, Diaba DD. Effect of exchange rate volatility on trade in Sub-Saharan Africa. J African Trade. 2018; 4 (1-2): 20- 36. [DOI: 10.1016/j.joat.2017.12.002]


20. Oryani B, Heydari H, Nematollahi S. Terms-of-trade shocks and the balance of trade in Iran: there is a Harberger-Laursen-Metzler effect. J Econ Res Pol. 2012; 20 (63): 171- 188. http://qjerp.ir/article-1-473-fa.html


21. Dickey DA, Fuller WA. Distribution of the estimators for autoregressive time series with a unit root. J Americ statistic assoc. 1979; 74 (366): 427- 431. [DOI: 10.2307/2286348]


22. Dickey DA, Fuller WA. The likelihood ratio statistics for autoregressive time series with a unit root. Econometrica. 1981; 49 (4): 1057- 1072. [DOI: 10.2307/1912517]


23. Kwiatkowski D, Phillips PCB, Schmidt P, Shin Y. Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series are non-stationary? J Econometrics. 1992; 54 (1-3): 159- 178. [DOI: 10.1016/0304-4076(92)90104-Y]


24. Heidari H, Salehiyan Salehi Nejad Z, Feizi S. Investigation and analysis of Iran’s trade balance reaction to exchange rate changes: a time varying parameter approach. Econ Res. 2014; 14 (3): 67- 99. https://joer.atu.ac.ir/article_798.html?lang=en


25. Iranmanesh M, Jalaee SA, Zayandeh Roody M. The impact of exchange rate shocks on trade balance of Iran: a dynamic stochastic general equilibrium approach. J Econ Res Pol. 2019; 27 (91): 323- 358. https://qjerp.ir/article-1-2127-fa.html