بررسی تأثیر بدهی خارجی بر رشد اقتصادی ایران (رهیافت مارکوف-سوئیچینگ)
الموضوعات :فیروز فلاحی 1 , حسین اصغرپور 2 , کسری احمدیان بهروز 3
1 - استاد گروه اقتصاد دانشگاه تبریز، تبریز، ایران
2 - دانشیار گروه علوم اقتصادی دانشگاه تبریز
3 - کارشناس ارشد علوم اقتصادی دانشگاه تبریز، تبریز، ایران.
الکلمات المفتاحية: رشد اقتصادی, ایران. طبقه بندی JEL : C32, بدهی خارجی, مارکوف- سوئیچینگ, F33, F34,
ملخص المقالة :
امروزه اصلی‌ترین دلیل استفاده از استقراض‌های خارجی جبران کسری بودجه و تأمین مالی برنامه‌های توسعه می‌باشد . در مطالعه حاضر، تأثیر بدهی‌های خارجی بر رشد اقتصادی ایران طی سال‌های 2016- 1980 میلادی با استفاده از روش غیرخطی مارکوف- سوئیچینگ، مورد بررسی قرار گرفته است. مزیت اصلی این روش در انعطاف‌پذیری آن نسبت به سایر روش‌های غیرخطی می‌باشد . در این مطالعه علاوه بر بررسی تأثیر کل بدهی خارجی بر رشد اقتصادی، بدهی خارجی به دو بخش عمومی و بخش خصوصی تقسیم شده و تأثیر هر یک بر رشد اقتصادی به صورت جداگانه بررسی شده است. در این پژوهش رابطه بین متغیرها در دو رژیم مدل‌سازی شده است و نتایج به‌دست آمده نشان‌گر، تأثیر منفی بدهی خارجی بر رشد اقتصادی ایران در هر دو رژیم می‌باشند. سایر نتایج این مطالعه نشان می‌دهند، بدهی خارجی بخش خصوصی تأثیر مثبت و بدهی خارجی بخش عمومی اثر منفی بر رشد داشته است؛ در نتیجه تأثیر منفی بدهی خارجی بر رشد اقتصادی ناشی از تأثیر منفی بدهی بخش عمومی می‌باشد . Today, the major reason for external debt is to finance high public deficits and development plans. This paper examines the impact of external debt on economic growth in Iran over the period 1980–2016, based on a Markov-Switching approach. Flexibility is the main advantage of this method. In this study after examining impact of external debt on growth, we separate external debt to public sector debt and private sector debt. The results show that external debt has a negative impact on growth in both regimes. The results also indicate that private external debt has a positive effect and public external debt has a negative effect on economic growth. So, the negative effect of external debt is because of negative effect of public debt. Keywords: External Debt, Economic Growth, Iran, Markov Switching JEL Classification: C32، F33، F34
1) بانک مرکزی جمهوری اسلامی ایران، نماگرهای اقتصادی، شماره‌های مختلف.
2) طهرانچیان، امیر منصور (1376)، تأثیر بدهی خارجی بر رشد اقتصادی کشورهای در حالتوسعه (با تأکید بر ایران)، پایاننامه کارشناسی ارشد، دانشگاه مازندران، ساری.
3) علیزاده، محمد؛ گلخندان، ابولقاسم و محمدیان، صاحبه (1394)، تأثیر آستانهای بدهی‌های خارجی بر رشد اقتصادی ایران: الگوی رگرسیون انتقال ملایم، فصلنامه نظریههای کاربردی اقتصاد، شماره 2، صص 24-1.
4) فتاحی، شهرام؛ حیدری دیزگرانی، علی و عسکری الناز (1393)، بررسی پایداری بدهی دولت در اقتصاد ایران، فصلنامه سیاستهای مالی و اقتصادی، جلد 2، شماره 6، صص 86-67.
5) مولایی، محمد و گلخندان، ابوالقاسم (1392)، اثرات بلندمدت و کوتاهمدت کسری بودجه بر رشد اقتصادی ایران (با در نظر گرفتن متغیر بدهی خارجی)، فصلنامه راهبرد اقتصادی، جلد 2، شماره 5، صص 115-95.
6) فلاحتی، امیر؛ فتاحی، شهرام؛ حیدری، علی و شکری، نعیم (1396)، بررسی پایداری مالی و شوکهای مالی گذرا در اقتصاد ایران، فصلنامه اقتصاد مالی، شماره 41، صص 154 – 123.
7) هاشمی، فرزاد (1396) مطالعه تطبیقی تاثیر آزادی اقتصادی بر کسری بودجه ایران، فصلنامه اقتصاد مالی، شماره 41، صص 176- 155.
8) Adam, Christopher S. & Bevan, David L. (2005), Fiscal deficits and growth in developing countries, Journal of Public Economics, Vol. 89, No. 4, pp. 571–597.
9) Agénor, P. & Montiel, P.J. (2010), Development Macroeconomics, 3rd edition. Princeton University Press.
10) Bacha, Edmar L., (1990), A Three-Gap Model of Foreign Transfers and the GDP Growth Rate in Developing Countries, Journal of Development Economics, Vol. 32, pp.279-296.
11) Bakar, Abu Nor'aznin & Hassan, Sallahuddin, 2008. Empirical evaluation on external debt of Malaysia, International Business & Economics Research Journal, Vol. 7, No. 2, pp. 95–108.
12) Barro, Robert J. (1979), On the determination of the public debt, Journal of Political Economy, Vol. 87, No. 5, pp. 940–971.
13) Bhala, S. & Lau, L.J. (1991), Openness, technological progress, and economic growth in developing countries, Background Paper for World Development Report.
14) Bilgili, F.; Tülüce, N.S. & Doğan, İ. (2012), The determinants of FDI in Turkey: a Markov Regime-switching approach, Economic Modelling, Vol. 29, No. 4, pp. 1161–1169.
15) Borensztein, Eduardo. (1990), Debt overhang, credit rationing and investment, Journal of Development Economics, vol. 32( 2), pp. 315-335.
16) Chen, Si. (2006), External debt and growth dynamics, Unpublished M.A. thesis, School of Economics and Social Sciences, Singapore Management University.
17) Chenery, H. B. & Bruno, M., (1962), Development alternatives in an open economy The case of Israel, Economic Journal, Vol. 72, pp. 79-103.
18) Chenery, H.B. & Strout, A.M. (1966), Foreign assistance and economic development, American Economic Review, Vol. 56, No. 4, pp. 679–733.
19) Çiçek, H.; Gözegir, S. & Çevik, E. (2010), Bir Maliye Politikası Aracı Olarak Borçlanma ve Ekonomik Büyüme İlişkisi: Türkiye Örneği (1990–2009), İktisadi ve İdari Bilimler Derg, Cumhuriyet Üniversitesi, Vol. 11(1), pp. 141–153.
20) Cohen, Daniel (1991), Private Lending to Sovereign States: A Theoretical Autopsy, MIT Press, Cambridge.
21) Cohen, Daniel (1993), Low investment and large LDC debt in the 1980s, American Economic Review, Vol. 83, No. 3, pp. 437–449.
22) Diaz-Alejandro, C. (1985), Goodbye financial repression, hello financial repression, Journal of Development Economics, Vol. 19.
23) Doğan, İbrahim & Bilgili Faik (2014), The non-linear impact of high and growing government external debt on economic growth: A Markov Regime-switching approach, Economic Modelling, Vol. 39, pp. 213–220.
24) Edison, H.J.; Levine, R.; Ricci, L.A. & Slok, T. (2002), International financial ıntegration and economic growth, Journal of International Money and Finance, Vol. 21, pp. 749–776.
25) Eisner, Robert (1992), Deficits: Which, how much, and so what?, American Economic Review, Vol. 82, No. 2, pp. 295–298.
26) Enders, W. (2004), Applied econometrics time series, John Wiley & sons, Inc.
27) Erdal Tanas, Karagöl (2010), Geçmişten Günümüze Türkiye'de Dış Borçlar, Siyaset, Ekonomi ve Toplum Araştırmaları Vakfı, Vol. 26.
28) Fallahi, F. & G. Rodríguez (2007), “Using Markov-Switching Models to Identify the Link between Unemployment and Criminality”, Working Paper #0701E, University of Ottawa.
29) Firouzi, S. (2011), External debt and economic growth in developing countries with an emphasis on Iran). master's thesis, Allame Mohaddes Nouri University (In persian).
30) Frankel, J. & Romer, D. (1996), Trade and growth: an empirical investigation, National Bureau of Economic Research Working Paper, (http://papers.nber.org/papers/w5476., (Accessed Date October 2012)).
31) Froot, Kenneth A. (1989), Buybacks, exit bonds, and the optimality of debt and liquidity relief, International Economic Review, Vol. 30, No. 1, pp. 49–70.
32) Griffin, K., (1970), Foreign Capital, Domestic Savings and Economics Development, Bulletin of the Oxford University Institute of Economics and Statistics, Vol. 32 (2), pp. 99-112.
33) Gunning, Jan W. & Mash, Richard (1999), Debt relief and debt sustainability for low income countries, in ABCDE Europe Conference, "Governance, Equity and Global Markets", Paris.
34) Hamilton, James D. (1988), Rational-expectations econometric analysis of changes in regime: An investigation of the termstructure of interest rates, Journal of Economic Dynamics and Control, Vol. 12, No. 3, pp. 385–423.
35) Hamilton, James D. (1996), Specification testing in Markov switching time-series models, Journal of Econometrics, Vol. 70, No. 1, pp. 127–157.
36) Hellmann, T.; Murdock, K. & Stiglitz, J.E.(2000), Liberalization, moral hazard in banking and prudential regulation: are capital requirements enough? American Economic Review, Vol. 90, pp. 147–165.
37) Hofman, Bert & Reisen, Helmut (1991), Some evidence on debt-related determinants of investment and consumption in heavily indebted countries, Review of World Economics, Vol. 127, No. 2, pp. 281–299.
38) IMF (1989), Debt Relief and Adjustment Incentives, Staff Papers - International Monetary Fund, By Corden, W.H., Vol. 35, No. 4, pp. 628-643.
39) IMF (2002), External debt and growth, By Pattillo, C.; Poirson, H. & Ricci, L., Working paper, No. 02/69, International Monetary Fund.
40) IMF (2003), External debt, public investment, and growth in low-income countries, By Clements,B.; Bhattacharya,R. & Nguyen,T.Q., Working paper, No. 249, International Monetary Fund..
41) IMF (2005), Debt overhang or debt irrelevance? Revisiting the debt growth link, By Cordella, T.; Ricci, Luca A. & Ruiz-Arranz, M., Working paper, No. 05/223, International Monetary Fund.
42) IMF (2006), Public debt and productivity: The difficult quest for growth in Jamaica, By Blavy, Rodolphe, Working paper, No. 06/235, International Monetary Fund.
43) IMF (2010), Advanced economies need long-term efforts to tame public debt, By Cottarelli, C., IMF studies find, Press Release No. 10/322.
44) IMF (2010), Public Debt and Growth, By Kumar, Manmohan S. & Woo, J., Working Papers, No. 10/174, International Monetary Fund.
45) İspir, M. ; Serdar Ersoy, B. & Açıkgöz, Yılmazer (2009), Türkiye'nin Büyüme Dinamiğinde İhracat mıİthalat mı Daha Etkin?, Dokuz Eylül Üniv. İktisadi ve İdari Bilimler Fak. Derg. 24 (1).
46) Joines, Douglas H. (1991), How large a federal budget deficit can we sustain?, Contemporary Economic Policy, Vol. 9, No. 3, pp. 1-11.
47) Kakar, Z.; Khan, K.; Bashir, A. & Khan, M.J. (2011), Relationship between education and economic growth in Pakistan: a time series analysis, Journal of International Academic Research, Vol. 11 (1).
48) Krugman, Paul (1988), Financing vs. forgiving a debt overhang. Journal of Development Economics, Vol. 29, No. 3,pp. 253–268.
49) Kutivadze, Natia (2011), Public debt, domestic and external financing, and economic growth, Departmental Working Papers 2011-12, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
50) Lund University (2005), Debt and economic growth in developing and industrial countries, By Schclarek, Alfredo, Department of Economics in its series working papers, Sweden, No. 34.
51) Mariano, Roberto & Villanueva, Delano (2006), External debt, adjustment and growth, Fiscal Policy and Management in East Asia, National Bureau of Economic Research, Vol. 16, pp. 198-221.
52) Nourzad, F. & Powell, J.J. (2003), Openness, growth, and development: evidence from a panel of developing countries, Journal of Social and Administrative Sciences, Vol. 1 (1), pp. 72–94.
53) Puente-Ajovín, Miguel & Sanso-Navarro, Marcos (2015), Granger causality between debt and growth: Evidence from OECD countries, International Review of Economics and Finance, Vol 35, pp. 66-77.
54) Ramzan, Muhammad & Eatzaz, Ahmad (2014), External debt growth nexus: Role of macroeconomic polices, Economic Modelling, Vol.30, No. 38, pp. 204-210.
55) Reinhart, Carmen & Rogoff, Kenneth (2010), Growth in a time of debt, American Economic Review, Vol. 100, No. 2, pp. 573-578.
56) Rodrik, D. (1998), Why do more open economies have bigger governments? Journal of Political Economy. Vol. 106, pp. 997–1034.
57) Romer, Paul M. (1986), Increasing returns and long-run growth, Journal of Political Economy, Vol. 94 (5), pp. 1002–1037.
58) Sachs, J.D. (1989), The debt overhang of developing countries, In: Debt, Stabilization and Development, Eds. Calvo, G.A.; Findlay, R.; Kouri, P. & Braga de-Macedo, J., Oxford: Basil Blackwell.
59) Sachs, J.D. (2002), Resolving the debt crisis of low-income countries. The Brookings Papers on Economic Activity, Vol. 33, No. 1, pp. 257–286.
60) Savvides, Andreas (1992), Investment Slowdown in Developing Countries during the 1980s: Debt Overhang or Foreign Capital Inflows?, Kyklos, Wiley Blackwell, vol. 45(3), pp. 363-78.
61) Smyth, David & Hsing, Yu (1995), In search of an optimal debt ratio for economic growth, Contemporary Economic Policy, Vol. 13, No. 4, pp. 51–59.
62) Tornell, Aaron & Velasco, Andes (1992), The tragedy of the commons and economic growth: Why does capital flow from poor to rich countries?, Journal of Political Economy, Vol. 100, No. 6, pp. 1208–1231.
63) Umutlu, Goknur; Alizadeh, Neda & Erkilic, Ahmet Yakup (2011), The effects of fiscal policy tools debt and taxes on economic growth, İktisadi ve İdari Bilimler Fakültesi Dergisi, Uludag Üniversitesi, Vol. 30, No. 1, pp. 75–93.
64) Università Politecnica delle Marche (2005), The debt-growth nexus: a dynamic panel data estimation, By Presbitero, Andrea, Department of Economics, Working Paper, No. 243.
65) Università Politecnica Delle Marche (2010), Total public debt and growth in developing countries, By Presbitero, Andrea, Department Of Economics, Money Finance Research Group, Mofir working paper, No. 44.
66) University of New England (2005), Economic growth and external debt servicing: a cointegration analysis of Sri Lanka: 1952 to 2002, By Wijeweera, A.; Brian, D. & Palitha, P., Working paper series in economics, School of Economics.
67) Utkulu, Utku & Kahyaoglu, Hakan (2005), Ticari ve Finansal Aciklik Türkiye'de Buyumeyi Ne Yonde Etkiledi?, Türkiye Ekonomi Kurumu Tartısma Metni, No 13.
68) Uysal, D.; Özer, H. & Mucuk, M. (2009), Dış Borçlanma ve Ekonomik Büyüme İlişkisi: Türkiye Örneği (1965–2007), İktisadi ve İdari Bilimler Derg, Atatürk Üniversitesi, Vol. 23, No. 4, pp. 161–178.
69) World Bank (2003), The other costs of high debt in poor countries: growth, policy dynamics, and institutions, By Moss, Todd J. & Chiang, Hanley S., Center for global development, Issue paper on debt sustainability, No 44271, Washington DC
یادداشت‌ها
