بررسی اثرپذیری نوسانات شاخص صنایع غذایی از سرایت نوسانات بازارهای موازی: مقایسة VAR-GARCH-BEKKو سیستم معادلات همزمان
معصومه محمد نسب چمازی
1
(
دانش‌آموخته کارشناسی ارشد، گروه اقتصاد کشاورزی، دانشکده مهندسی زراعی، دانشگاه علوم کشاورزی و منابع طبیعی ساری، مازندران، ایران
)
فؤاد عشقی
2
(
استادیار، گروه اقتصاد کشاورزی، دانشکده مهندسی زراعی، دانشگاه علوم کشاورزی و منابع طبیعی ساری، مازندران، ایران
)
سید مجتبی مجاوریان
3
(
دانشیار
)
سیده سمیرا کمال موسوی
4
(
دانشجوی دکتری- بازاریابی محصولات کشاوری-دانشگاه علوم کشاورزی و منابع طبیعی ساری
)
الکلمات المفتاحية: نوسان سکه, نوسان نرخ ارز, مدل‌های گارچ, تحلیل نوسانات مالی ,
ملخص المقالة :
این مطالعه به بررسی سرایت نوسانات بین بازارهای مالی در ایران با استفاده از مدل VAR-BEKK و معرفی سیستم معادلات همزمان گارچ می‌پردازد. یافته‌ها نشان می‌دهد که نوسانات شاخص صنایع غذایی و نوسانات شاخص کل بورس تأثیر متقابلی بر یکدیگر دارند. علاوه بر این، نوسانات بازار سکه تأثیر مثبت و معناداری بر نوسانات نرخ ارز دارد، در حالی که نوسانات شاخص صنایع غذایی نیز اثر قابل‌توجهی بر نوسانات شاخص کل بورس دارد. مقایسه مدل‌های مورد مطالعه نشان می‌دهد که سیستم معادلات همزمان گارچ در تحلیل سرایت نوسانات بین بازارها نسبت به مدل VAR-BEKK دقت بیشتری دارد. نتایج این پژوهش نشان می‌دهد که مدل VAR-GARCH-BEKK به‌تنهایی برای شناسایی سرایت نوسانات کافی نیست و لازم است از رویکردهای مکملی مانند معادلات همزمان در کنار آن استفاده شود. این یافته‌ها می‌تواند به درک بهتر تعاملات بین بازارها کمک کرده و در سیاست‌گذاری‌های مالی و مدیریت ریسک مورد استفاده قرار گیرد.
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