مدل‌سازی و بررسی مقایسه‌ای رفتار بخش‌های مصرف، تولید و سرمایه‌گذاری در بازارهای پول و سرمایه ایران
محورهای موضوعی : فصلنامه اقتصاد محاسباتیفاطمه معصومی سوره 1 , محمدرضا ناهیدی امیرخیز 2 , علیرضا بافنده زنده 3 , سید یوسف حاجی اصغری 4
1 - گروه علوم اقتصادی، دانشکده علوم انسانی، واحد میانه ،دانشگاه آزاد اسلامی ،میانه،ایران.
2 - گروه اقتصاد، دنشکده اقتصاد- مدیریت و حسابداری، دانشگاه آزاد اسلامی واحد تبریز، تبریز، ایران
3 - گروه مدیریت صنعتی، دانشکده مدیریت، اقتصاد و حسابداری ،واحد تبریز، دانشگاه آزاد اسلامی، تبریز،ایران
4 - گروه مدیریت،دانشکده علوم انسانی، واحد میانه، دانشگاه آزاد اسلامی، میانه، ایران.
کلید واژه: فیلترینگ هودریک - پریسکات, رفتار مصرفی مصرف‌کننده, رفتار تولیدی تولیدکننده, رفتار سرمایه‌گذار, بازار پول و سرمایه.,
چکیده مقاله :
در این تحقیق سعی شده است به بررسی رفتار بخش‌های مصرف، تولید و سرمایه‌گذاری در بازارهای پول و سرمایه ایران پرداخته شود. بدین منظور از داده‌های سالانه متغیرهای شاخص قیمت مصرف‌کننده، شاخص بهای تولیدکننده، سرمایه‌گذاری بخش خصوصی در ساختمان‌های جدید مناطق شهری و نااطمینانی تورم و ارزش معاملات سهام و عرضه پول استفاده شد و پس از بررسی رفتار هر یک از متغیرها در قالب رفتار مصرفی مصرف‌کننده، رفتار تولیدی تولیدکننده و رفتار سرمایه‌گذار برای سال‌های 1357 تا 1397، با استفاده از روش فیلترینگ هودریک-پریسکات، مدل تحقیق به روش اتو رگرسیون با وقفه توزیعی (ARDL) و الگوی خود رگرسیون برداری (VAR) مورد بررسی قرار گرفت. نتایج حاصل از روش ARDL برای بازار پول نشان داد که در کوتاه‌مدت متغیرهای رفتار مصرفی مصرف‌کننده، رفتار تولیدی تولیدکننده و رفتار سرمایه‌گذار و در بلندمدت تمام متغیرها با عرضه پول رابطه دارند. اما نتایج همین روش برای بازار سرمایه نشان از عدم وجود رابطه معنادار بین هر کدام از متغیرها با ارزش معاملات بازار سهام، هم در کوتاه‌مدت و هم در بلندمدت، می باشد. نتایج حاصل از VAR برای بازار پول نشان داد که بین عرضه پول با رفتار مصرفی مصرف کننده و رفتار سرمایه گذار یک دوره قبل رابطه معنی دار مثبت و بین عرضه پول با رفتار تولیدی تولید کننده یک دوره قبل رابطه معنی دار منفی وجود دارد و نیز خروجی منتج از همین روش برای بازار سرمایه بیانگر وجود رابطه معنی‌دار منفی بین رفتار مصرفی مصرف‌کننده، رفتار تولیدی تولیدکننده و رفتار سرمایه‌گذار با ارزش معاملات سهام یک دوره قبل دارد.
Extended Abstract With the view of the existence of different types of markets in every economy and according to the macroeconomic structure of every country, we can mention money and capital markets as the most basic financial markets. In the money market, resources are lent for a short period, and the most important task of this market is to create facilities for economic units and improve their liquidity. By definition, the money market is a market for trading money and other financial assets that are close substitutes for money that have a maturity of less than one year. In other words, the money market is known as the market of short-term financial instruments with the characteristics of low non-payment risk, liquidity, and high nominal value. The capital market is a market where longer-term bonds (with a maturity of one year or more) and company stocks are traded. Securities that are traded in the capital market (such as stocks and long-term bonds) are more interested in financial intermediaries. Considering that these institutions have a long-term investment horizon and prefer to invest in such long-term bonds. Several variables such as economic growth, investment growth in the production sector, investment growth in the housing sector, consumer price index, people's purchasing power, income and savings changes, employment, liquidity, inflation, exchange rate fluctuations, imports, exports, profit fluctuations, and bank interest. and... can be counted among the internal factors influencing the markets and consequently economic growth and development. One of the most basic goals of economic development is to increase the wealth and welfare of the people of the society. In the meantime, among the issues that can have a fundamental and significant role in the markets, is the behavior of economic variables, whose changes and fluctuations can affect the indices of those markets. Purpose In this research, an attempt has been made to investigate consumption behavior, production and investment, producer index and investor behavior in the years 1357 to 1397, using the Hodrick-Press filter method Methodology For this purpose, in this research, an attempt has been made to investigate the behavior of the consumption, production, and investment sectors in the money and capital markets of Iran. To achieve this goal, the annual data of variables of consumer price index, producer price index, private sector investment in new buildings in urban areas, inflation uncertainty, value of stock transactions and money supply have been used and after examining the behavior of each variable in the form of behavior Consumer consumption, producer production behavior and investor behavior for the years 1357 to 1397 have been investigated using Hodrick-Prescott filtering method, autoregression with distributed lag (ARDL) and vector autoregression (VAR) model. The price index of consumer goods and services is one of the types of price indices that shows the price changes of goods and services that are consumed by households in a period. This variable is expected to affect money and capital markets; Therefore, in this research, the consumer price index was used to evaluate the consumer's consumption behavior, and the producer price index was used to evaluate the producer's production behavior. The producer price index includes all productions (goods and services) in the country in question. The weight of each item is the sales volume (producer's sales) of that item to the total sales volume of items and the change in the price of items is the price of each item in each month compared to the price of the same item in the previous month. In the housing sector, it is expected that an expansionary monetary policy will increase the demand for housing by increasing the amount of money in the asset portfolio. Of course, this depends on various issues. For example, suppose the amount of money increases as a result of an expansionary monetary policy, people will try to buy other assets, such as housing, currency, and stocks, to use the amount of money more. If in that economy, the yield of the housing sector is higher than other assets, or if people in that society are more willing to make long-term investments. In that case, the demand for housing will increase and investors will replace housing with other assets, including stocks and currency. To investigate the behavior of these variables, the Hedrick-Prescott filter provides the unobservable time trend for the time series variable. This filter is used to separate permanent and temporary fluctuations in a time series. The working principle of this filter is based on the separation of fluctuations into permanent fluctuations (supply) and short-term fluctuations (demand). Finding After examining the behavior of the aforementioned variables using Hedrick-Prescott filtering, the results of the ARDL method with a distribution break for the money market showed that in the short term, the variables of consumer consumption behavior, producer production behavior, and investor behavior, and in the long term, all variables with money supply have a relationship But the results of the same method for the capital market show that there is no significant relationship between any of the variables with the value of stock market transactions, both in the short term and in the long term. The results of the VAR model for the money market showed that there is a significant positive relationship between the money supply and the consumer's consumption behavior and the investor's behavior of a previous period, and there is a negative significant relationship between the money supply and the producer's production behavior of a previous period, and the output resulting from this The method for the capital market indicates the existence of a significant negative relationship between the consumption behavior of the consumer, the production behavior of the producer and the behavior of the investor with the value of the stock transactions of a previous period. Conclusion The results of the ARDL method showed that in the long term in the money market, all the considered variables were related to the money supply, which indicates the confirmation of all the considered hypotheses for the money market, but none of the mentioned variables were related to the value of market transactions. Stocks were not related and it shows the rejection of all the hypotheses considered for the capital market.
