پیش‌بینی و بررسی اثر نااطمینانی نرخ ارز حقیقی بر واردات بخش کشاورزی ایران

الموضوعات : فصلنامه علمی -پژوهشی تحقیقات اقتصاد کشاورزی

سیما شافعی ¹ , یدالله بستان ² , احمد فتاحی اردکانی ³ , درنا جهانگیرپور ⁴ , رحمان عرفانی مقدم ⁵

1 - دانشگاه شیراز دانشکده کشاورزی بخش اقتصاد
2 - دانش آموخته کارشناسی ارشد دانشگاه اردکان، موسسه تحقیقات برنج کشور، معاونت مازندران، آمل، ایران
3 - دانشیار و عضو هیئت علمی گروه اقتصاد کشاورزی دانشگاه اردکان
4 - دانشجوی دکتری اقتصاد منابع طبیعی و محیط زیست دانشگاه شیراز
5 - استادیار و عضو هیئت علمی موسسه تحقیقات برنج کشور، معاونت مازندران، سازمان تحقیقات، آموزش و ترویج کشاورزی، ایران

تاريخ الإرسال : 27 الجمعة , ذو الحجة, 1439 تاريخ التأكيد : 08 الإثنين , ذو القعدة, 1441 تاريخ الإصدار : 05 الخميس , ربيع الأول, 1442

الکلمات المفتاحية: ایران, پیش‌بینی, ANN, نرخ ارز, وارادات,

ملخص المقالة :

هدف از مطالعه حاضر بررسی اثر نااطمینانی نرخ ارز حقیقی بر واردات کشاورزی ایران برای دوره 1395-1357 و پیش‌بینی میزان واردات کشاورزی ایران تا سال 1404 با استفاده از روش‌های GARCH، VAR، VECM و ANN است. بدین منظور، از الگوی واریانس ناهمسانی شرطی اتورگرسیو تعمیم‌یافته برای شاخص‌سازی نااطمینانی نرخ ارز حقیقی، از رهیافت الگوی‌های خودرگرسیونی و تصحیح خطای برداری برای برآورد رابطه هم‌جمعی و پویای‌های کوتاه‌مدت و بلندمدت و در نهایت برای پیش‌بینی از روش شبکه عصبی مصنوعی استفاده شد. نتایج نشان داد که رابطه غیرمستقیم از نوسانات نرخ ارز حقیقی و الگوی مصرفی جامعه بر واردات بخش کشاورزی و رابطه مستقیم از متغیر درآمد نفتی و متغیر جذب بر واردات بخش کشاورزی وجود دارد. سپس از مقایسه کارایی الگوی‌های خودرگرسیونی و الگوی تصحیح خطای برداری و شبکه عصبی مصنوعی، از شبکه عصبی طراحی شده در جهت پیش‌بینی واردات بخش کشاورزی ایران برای دوره زمانی 1396 تا 1404 تحت یک سناریو استفاده شد و پیش‌بینی برون نمونه‌ای انجام شد. نتایج حاکی از آن است که با افزایش نوسانات نرخ ارز، واردات بخش کشاورزی کاهش .......

المصادر:

- Abbasian, E., Moradpour auladi, M., & Mehregan, N. (2012). The Effects of Real Exchange Rate Uncertainty on Economic Growth in Iran. Journal of Economic Research (Tahghighat- E- Eghtesadi), 47(1), 153-169. http://doi:10.22059/jte.2012.24677 (In Persian)

- Abrishami, H., Komijani, A., Ahrari, M., & Hosseini Habashi, G. (2012). Using Hybrid Expert System Approach for Forecasting Bankruptcy of Tehran Stock Exchange Corporation Companies. Journal of Economics and Modeling, 3(9), 42-66. (In Persian)

- Asgharpur, H., Mohammadpoor, S., Rezazadeh, A., & Jahangiri, K. (2012). The Effect of Exchange Rate Volatility on Agricultural Export. Agricultural Economics Research, 4(13), 121-137. (In Persian)

- Bagella, M., Becchetti, L., & Hassan, L. (2006). Real Effective Exchange Rate Volatility and Growth: A Framework to Measure Advantages of  Flexibility vs. Costs of Volatility. Journal of Banking & Finance, No. 30: 1149-1169. https://doi.org/10.1016/j.jbankfin.2005.05.012

- Bahmani Oskoee, M., & Goswawi, G.G. (2004). Exchange Rate Sensitivity of Japans Bilaterd Flows. Jornal of Japan and The World Economy, 16: 25-38. https://doi.org/10.1016/S0922-1425(03)00016-1

- Cazorzi, M., Kolasa, M., & Rubaszek, M. (2017). Exchange rate forecasting with DSGE models. Journal of International Economics, 107, 127-146. https://doi.org/10.1016/j.jinteco.2017.03.011

- Central Bank of the Islamic Republic of Iran. 2019. https://www.cbi.ir/simplelist/1589.aspx (In Persian)

- Fatahi, A., & Rezvani, M. (2018). Applied econometric with shazam. Ardakan University Press, First Edition. (In Persian)

- Fehresti sani, M., Fatahi, A., Bostan, Y., & Rezvani, M. (2017). Analysis on stability of trade patterns for the selected countries in Middle East and North Africa (MENA). Agricultural Economics, 11(1), 53-67. http://doi:10.22034/iaes.2017.23473 (In Persian)

- Gala, P., & Lucinda, C. (2006). Exchange Rate Misalignment and Growth: Old and New Econometric Evidence. Journal of Economia, Brasilia, Vol.7, No. 4: 165-187. http://EconPapers.repec.org/RePEc:anp:en2006:93

- Gholizadeh, M., & Darand, M. (2010). Forecasting Monthly Precipitation by Using Artificial Neural Networks A Case Study: Tehran. Physical Geography Research Quarterly, 42(71). (In Persian)

- Gorgini, M., Golestani, S., & Hajabbasi, F. (2012). A Comparison of the Predictive Ability of VAR, ARIMA and Artificial Neural Network (ANN) Models: OPEC’s Oil Demand. Iranian Energy Economics, 1(4), 145-168. (In Persian)

- Hall, S., Hondroyiannis, G., Swamy, P., Tavlas, G., & Ulan, M. (2010). Exchange Rate Volatility and Export Performance: Do Emerging Market Economies Resemble Industrial Countries or other Developing Countries. Journal of Economic Modelling, Article in Press. https://doi.org/10.1016/j.econmod.2010.01.014

- Hosseini, S.S., Pakravan, M.R., & Gilanpour, O. (2012). Forecasting of Agricultural Crops Import in Iran Artificial Neural Network and Econometric Models Application. Agricultural Economics & Development, 25(3). https://doi.org/10.22067/jead2.v1390i3.10845 (In Persian)

- Jalayee, S., & Sattari, O. (2012). The Survey of and Forecasting the Effect of Globalization on Urban Income Distribution in Iran Using Artificial Neural Network. Quarterly Journal of Economic Growth and Development Research, 1(4), 144-117. (In Persian)

- Kazemnejad, M., & Gilanpour, O. (2018). Comparing The Econometric Methods and Artificial Neural Networks in Predict of Corn Import of Iran. Agricultural Economics and Development, 22(85), 213-235. (In Persian)

- Khosravi, M., & Mohseni, R. (2014). The Effect of Exchange Rate Uncertainty on Agricultural Trade Balance (An Application of GARCH, EGARCH and TGARCH Model). Agricultural Economics, 8(2), 69-86. (In Persian)

- Lotfalipour, M.R., Hoshmand, M., Elami, E., & Bostan, Y. (2018). Effects of the Industrial Sector Economic Growth on the Quality of the Environment in Iran (Application of the Self Explanatory Model with Extensive Pauses). Environmental Researches, 8(16), 103-114. (In Persian)

- Marzban, H., Akbarian, R., & Javaheri, B. (2005). A comparison between structural econometric models, time series, and neural network to predict exchange rates. Journal of Economic Research (Tahghighat- E- Eghtesadi), 40(2). (In Persian)

- Mehrabi Boshrabadi, H., & Javdan, E. (2011). Article title: Impact of Real Exchange Rate Uncertainty on Agricultural Sector Growth in Iran. Agricultural Economics Research, 3(9), 27-46. (In Persian)

- Monjezi, M., Ghobadi, S., & Afghah, S. (2011). The Study of Short Run and Long Run Effects of Trade Liberalization on Iran’s Wheat Import. Agricultural Economics & Development, 24(4). https://doi.org/10.22067/jead2.v1389i4.8202 (In Persian)

- Mortazavi, S., Zamani, O., Noori, M., & Nader, H. (2012). Investigation of Effect of Exchange Rate Volatility on IRAN’s Pistachio Export. Agricultural Economics & Development, 25(3). https://doi.org/10.22067/jead2.v1390i3. 10843 (In Persian)

- Najafi, P., Fehresti sani, M., Bostan, Y., & Fatahi ardakani, A. (2020). Estimation of Iran Sugar Import Demand Function (ARDL Approach). Journal of Sugar Beet, 35(2), http://doi:10.22092/jsb.2020.127496.1226 (In Persian)

- Pahlavani, M., Dahmardef, N., & Hossini, M. (2007). Estimation of export and import demand functions in Iran's economy using ARDL convergence method. Quarterly Journal of Economics Quarterly (Quarterly Journal of Economic Studies), 4(3), 101-120. (In Persian)

- Rasekh, S., Shahrazi, M., & Abdollahi, M. (2012). Asymmetric Effect of Exchange Rate and its Volatility on Iran’s Non Oil Export. Quarterly Journal of Economic Growth and Development Research, 2(7), 90-81. (In Persian)

- Schnabl, G. (2008). Exchange Rate Volatility and Growth in Small Open Economies at the EMU Periphery. Journal of Economic Systems. 32: 70–91. https://doi.org/10.1016/j.ecosys.2007.06.006

- Shayegan, M. A., Mohammadi, H., & Moosavi, S. N. (2008). Forecasting Rice and Corn Imports Using the Method of Artificial Neural Network. Journal of Economic Research and Policies, 15(44), 83-100. (In Persian)

- Sohrabi, R. (2016). Comparison of econometric models and artificial neural networks to predict of Iran Oilcake imports. Iranian Journal of Agricultural Economics and Development Research, 47(3), 633-646. http://doi:10.22059/ijaedr.2016.60235 (In Persian)

- Souri, A. (2012). Econometrics with the use of Eviews software. Farhang Shenasi Publications, Tehran. (In Persian)

- Taghizadeh, R., Fattahi, A., Tahari, M., & Babaei, H. (2015). Evaluating hybrid model of artificial neural networks and genetic algorithms for forecasting consumption of energy in Iran agricultural sector. Agricultural Economics Research, 7(27), 149-166. (In Persian)

- Tavakoli, A., & Sayah, M. (2010). The effect of exchange rate fluctuations on the country's economic activities. Quarterly Journal of Money and Economics, 4, 59-77. (In Persian)

- Thorbecke, W. (2011). Investigating the effect of exchange rate changes on China’s processed exports. Journal of the Japanese and International Economies, 25(2), 33-46. https://doi.org/10.1016/j.jjie.2010.12.001

- Tkacz, G. (2001). Neural Network Forecasting Of Canadian GDP Growth. International Journal of Forecasting, 17, pp. 57-69. https://doi.org/10.1016/S0169-2070(00)00063-7

- Watson, P.M., & Gupta, K.C. (1996). EM-ANN models for microstrip vias and interconnects in dataset circuits. IEEE Transactions on Microwave Theory and Techniques, 44(12), 2495-2503.

- Yang, L., Cai, X. J., & Hamori, S. (2017). Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? A wavelet coherence analysis. International Review of Economics & Finance, 49, 536-547. https://doi.org/10.1016/j.iref.2017.03.015

- Zamanian, G., & Behrad amin, M. (2015). Effect of exchange rate uncertainty on the import demand of Iran Application of ARDL and EGARCH Methods. Journal of Applied Economics Studies in Iran, 3(12), 129-148. (In Persian)