تأثیر نااطمینانی اقتصادی بر قیمت قرارداد آتی
محورهای موضوعی : مهندسی مالی
مهناز نوروزی اصل بالکانلو
1
,
غلامرضا منصورفر
2
,
مهرداد پناهی درچه
3
1 - گروه حسابداری، دانشگاه ارومیه، ارومیه، ایران.
2 - گروه حسابداری، دانشگاه ارومیه، ارومیه، ایران.
3 - گروه حسابداری، دانشگاه ارومیه، ارومیه، ایران.
کلید واژه: بیثباتی اقتصادی, تراز تجاری, قرارداد آتی, کسری بودجه,
چکیده مقاله :
هدف: عوامل سیاسی و اقتصادی مختلفی از عوامل موثر بر قیمت طلا در طول زمانهای مختلف، است. عوامل سیاسی و اقتصادی مختلفی قیمت طلا را در طول دورههای مختلف تحتتأثیر قرار دادهاند. یکی از عوامل اقتصادی، نااطمینانی اقتصادی است؛ لذا، در این پژوهش نقش نااطمینانی اقتصادی بر قیمت قرارداد آتی سکه طلا مورد بررسی قرار میگیرد.
روششناسی پژوهش: در این پژوهش متغیرهای بیثباتی اقتصادی (نرخ تورم، نرخ ارز، رابطه مبادله، تراز تجاری و کسری بودجه) بهعنوان متغیر مستقل و قیمت قرارداد آتی سکه طلا بهعنوان متغیر وابسته میباشند. جامعه آماری پژوهش کلیه قراردادهای آتی سکه طی سالهای 1390 الی 1397 است و از رگرسیون برای آزمون فرضیههای پژوهش، بهره برده شده است.
یافتهها: نتایج پژوهش نشان میدهد، باتوجهبه اینکه احتمال آماره t متغیرهای بیثباتی اقتصادی از جمله (متغیرهای نرخ تورم، کسری بودجه، نرخ ارز و نرخ مبادله) و قیمت قرارداد آتی سکه کمتر از 05/0 است؛ لذا، بین متغیرهای اشاره شده و قیمت قرارداد آتی سکه رابطه مثبت و معنیداری وجود دارد. به جز متغیر کسری بودجه که رابطه منفی و معنیداری بین آنها باقیمت قرارداد آتی مشاهده شد. همچنین باتوجهبه اینکه احتمال آماره t شاخص تراز تجاری و قیمت قرارداد آتی سکه بیشتر از 05/0 است؛ لذا، بین شاخص تراز تجاری و قیمت قرارداد آتی سکه رابطه معنیداری وجود ندارد.
اصالت / ارزشافزوده علمی: برای اینکه معاملات در بازار آتی سکه بهصورت پایدار و کمنوسان باشد، شرط لازم پایداری، ثبات اقتصاد و فعالیتهای اقتصادی در کل بازارها و نیز بازارهای مرتبط با سکه است.
Purpose: Various political and economic factors have influenced gold prices across different periods. Among these, economic uncertainty plays a pivotal role. Consequently, this study aims to investigate the impact of economic uncertainty on gold coin futures contract prices.
Methodology: In this research, economic instability indicators—namely inflation rate, exchange rate, terms of trade, trade balance, and budget deficit—are employed as independent variables, while the gold coin futures contract price serves as the dependent variable. The statistical population comprises all gold coin futures contracts traded from 2011 to 2019 (1390–1397). Regression analysis was utilized to test the research hypotheses.
Findings: The results indicate that the probability of the t-statistic for economic instability variables (including inflation rate, budget deficit, exchange rate, and terms of trade) is less than 0.05; thus, significant relationships exist between these variables and gold coin futures prices. Specifically, the inflation rate, exchange rate, and terms of trade exhibit a positive and significant relationship, whereas the budget deficit demonstrates a significant negative relationship with futures prices. Furthermore, since the p-value for the trade balance index exceeds 0.05, no significant relationship was found between the trade balance and gold coin futures prices.
Originality/Value: The study concludes that for transactions in the gold coin futures market to remain stable and exhibit low volatility, a necessary condition is the overall stability of the economy and economic activities across all markets, particularly those correlated with the gold coin market.
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