بررسی تاثیر جهش پولی نرخ ارز بر وقوع چرخه های تجاری در اقتصاد ایران با استفاده از روش تجربی لوکاس
محورهای موضوعی :
مدیریت صنعتی
Farzad Moayeri
1
(
PhD student in Economics, Department of economics, Kerman Science and Research Branch, Islamic Azad University, Kerman, Iran
)
Mohsen Zayandeh Rood
2
(
i
Assistant Professor in Economics, Department of economics, Kerman Branch, Islamic Azad University, Kerman, Iran
)
Seed Abdolmajid Jalaei Esfandabadi
3
(
Professor of in Economics, Shahid Bahonar University of Kerman, Iran
)
Hossien Mehrabi Basharabadi
4
(
Professor of in Economics, Shahid Bahonar University of Kerman, Iran
)
تاریخ دریافت : 1394/10/01
تاریخ پذیرش : 1395/10/11
تاریخ انتشار : 1395/09/20
کلید واژه:
Business cycle,
جهش پولی نرخ ارز,
سیکل تجاری,
روش تجربی لوکاس,
ضریب هبستگی متقابل,
Exchange rate overshooting,
Lucas experienced method,
Cross-correlation coefficient,
چکیده مقاله :
تکانه های نرخ ارز به دلیل افزایش ریسک و نا اطمینانی درتولید می تواند به عنوان یک متغیر پیشرو در ایجاد بی ثباتی اقتصادی درکشور مطرح باشد. لذا اثبات این مساله می تواند به اتخاذ سیاستهای ثبیت اقتصادی در کشور کمک نمایند. در طی سالهای 91-1368کشور بارها با تکانه های پولی نرخ ارز روبرو شده است لذا مقاله در صدد پاسخ گویی به این سئوال است که آیا تکانه های پولی نرخ ارز می توانند متغیر پیشرو در وقوع تکانه های تولید در ایران بوده باشند. دراین راستا از روش فیلترینگ هادریک – پرسکات برای برآورد روند بلندمدت نرخ ارز و gdp و محاسبه تکانه های آنها در بازه زمانی فوق استفاده گردید و چهار چرخه کامل ارزی (اوج- اوج) شناسایی شدند. سپس از روش تجربی لوکاس، به بررسی رابطه تکانه های اقتصادی با تکانه های ارزی در فاصله زمانی هر یک ازچهار چرخه ارزی پرداخته شد و معلوم گردید که در هرچهار چرخه ارزی، تکانه های ارزی متغیر پیشرو در وقوع تکانه های gdp بوده اند.
چکیده انگلیسی:
Exchange rate shocks due to increased risk and uncertainty of production are concerned as a leader variable in creating economic instability in the country. The proof of this can help to adopt economic policies. During 1989 -2013, this has repeatedly been met with Exchange rate overshooting. This article attempts to answer this question that the exchange rate overshooting plays a key role as a leading variable in business cycles in Iran economy. In this regard, using Hodrick-Prescott filtering method, trends, and exchange rate shocks and economic cycles in 1989 -2013 calculated. Then, four complete cycles of currency (peak-peak) were identified. Next, applying Lucas experimental method, the relationship between Log of GDP shock and the exchange rate cycles was investigated at the time of each four cycles. The results showed that exchange rate shocks played as a leading variable in all periods
منابع و مأخذ:
Bjornald, H.V.(2004).The Role of the Exchange Rate as a Shock Absorber in a Small Open Economy. Open economies review, 15, 23–43.
Cheshmi, A., Saheb Honar, A., & Falahaty, M.A.(2010).Effects of asymmetric exchange rate and the current price on the rate of production in Iran.Journal of Monetary Economics, (4).
Jalaie, AM., Jafari, H., & NezamAbadi-Pour, H.(2012).Evaluation of monetary exchange rate leap through artificial neural networks in Iran.Journal of Macroeconomics, 14, 60-35.
Ghaffari, H., Jalolie, M., & Chegini Ashtiani, A. (2013).Review and forecast the effects of exchange rates on the growth sectors of the economy. Journal of research on economic development, 3, (10), 57-43.
Gorji, A., & Sharifzadeh, I. (2011).The real theory of cycles and recent crisis. Journal of Monetary Economics, Finance (former development knowledge) (1)1.
Googerdchian, A.,& Mir Hashemi Naini, S.(2011).The role of monetary and credit policies in managing the Business Cycl. Journal of Economic Research of thought, 3.
Gorji, A., & Mirsepasi, A.(2002).The theoretical study of business cycles in the economy and its causes.The Institute of Business Studies and Research.
Hadian, A., Hashempour, M.(2002).Identification of business cycles in the economy of Iran. Iranian Economic Research Quarterly, (15),120-93.
Freystätter, H. (2010).Financial market disturbances as sources of business cycle fluctuations in Finland. Bank of Finland Research Discussion Papers 5/2010.
Harun, A., Yusuf Soner, B., Mustafa, K., & Canan Yüksel.(2012).Stylized Facts for Business Cycles in Turkey. Central Bank of the Republic of Turkey, working paper,(12/02).
Hooshmand, M., Fallahi, M.A., Tavakoli, M., & Ghouchani, S. (2008).Analysis of business cycles in the economy. Journal of Development, 2.
Homayoun, S., & Nsrollhie, K.(2013).Monetary model predicts the exchange rate in Iran. Journal of fiscal policy, (4), 24-5.
Rand, J., & Trape, F. (2001).Business Cycles in Developing Countries: Are They Different? Centre for Research in Economic Development and International Trade, University of Nottingham CREDIT Research Paper, 01/21.
Frankle, J. (1983).Monetary and portfolio-balance models of exchange rate Determination. Mit Press Cambridge 1983.
Kazerouni, AR., Reza Zadeh, A., & Feshari, M.(2010).Monetary approach to the exchange rate in Iran.Economic Bulletin,(1).
Komijani, A., Gorji, A., & Iqhbal, A.(2013).The new estimate of the political business cycle Quarterly.Journal of Business.71,1-34.
Mazinie,A.(2013).Pathology of the recent foreign exchange developments with an emphasis on the commercial sector. Quarterly financial and economic policies, (1), 81-96.
Molaei, M., & Golkhandan, A.(2013).America's economy and the business cycle compared with the economy. Journal of Economic Research and sustained development, 3 (14&15),253.
Nasrollahie,KH.,Moghads-Far,S.,& Masouli-Zadeh, M.(2013).Determining the real exchange rate on the balance of Quartet sectors of economic. Journal of Economy (9 &10), 22-5.
Liu, Philip.(2008).The Role of International Shocks in Australia’s Business Cycle. Research Discussion Paper Economic Research Department Reserve Bank of Australia.
Oreiro, J., L,. Flavio A. C,. & Basilio, Gustavo J. G. Souza. (2014).Effects of overvaluation and exchange rate volatility over industrial investment:empirical evidence and economic policy proposals for Brazil. Brazilian. Journal of Political Economy, (34), 347-369.
Wilsoon, Ian. (2009).The Monetary Approach to Exchange RatesA Brief Review and Empirical Investigation of Debt, Deficit, and Debt Management: Evidence from the United States. The Journal of Business Inquiry 8 (1), 83-99.
Sharifi-Renan,H.,Raki,M.,&Honarvar, N.(2014).Monetary Policy and Exchange Rate Overshooting in Iran.International Economic Studies, 1 (44),67-74.
Sharif, A.M., & Kaghzyan, S. (2008).Factors affecting business in Iran business cycles.Economic Essays, 1&2, 199-236.
Saheb-honar, H., Cheshmei, A., & flahty, M.(2013).The effect of monetary shocks on different parts of the Iranian economy.Quarterly Journal of economic development.P42.
Samadi, S., & Jalaie Esfandiari,AM.(2004).Analysis of the business cycle in Iran. Isfahan University study, seminar week. Journal of Economic Research, 66,139-153.
Tayyebnia, A., & Ghasemi, F.(2006).The role of business circles of Iran's oil shocks .Economic Research Journal,(6)1.
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Bjornald, H.V.(2004).The Role of the Exchange Rate as a Shock Absorber in a Small Open Economy. Open economies review, 15, 23–43.
Cheshmi, A., Saheb Honar, A., & Falahaty, M.A.(2010).Effects of asymmetric exchange rate and the current price on the rate of production in Iran.Journal of Monetary Economics, (4).
Jalaie, AM., Jafari, H., & NezamAbadi-Pour, H.(2012).Evaluation of monetary exchange rate leap through artificial neural networks in Iran.Journal of Macroeconomics, 14, 60-35.
Ghaffari, H., Jalolie, M., & Chegini Ashtiani, A. (2013).Review and forecast the effects of exchange rates on the growth sectors of the economy. Journal of research on economic development, 3, (10), 57-43.
Gorji, A., & Sharifzadeh, I. (2011).The real theory of cycles and recent crisis. Journal of Monetary Economics, Finance (former development knowledge) (1)1.
Googerdchian, A.,& Mir Hashemi Naini, S.(2011).The role of monetary and credit policies in managing the Business Cycl. Journal of Economic Research of thought, 3.
Gorji, A., & Mirsepasi, A.(2002).The theoretical study of business cycles in the economy and its causes.The Institute of Business Studies and Research.
Hadian, A., Hashempour, M.(2002).Identification of business cycles in the economy of Iran. Iranian Economic Research Quarterly, (15),120-93.
Freystätter, H. (2010).Financial market disturbances as sources of business cycle fluctuations in Finland. Bank of Finland Research Discussion Papers 5/2010.
Harun, A., Yusuf Soner, B., Mustafa, K., & Canan Yüksel.(2012).Stylized Facts for Business Cycles in Turkey. Central Bank of the Republic of Turkey, working paper,(12/02).
Hooshmand, M., Fallahi, M.A., Tavakoli, M., & Ghouchani, S. (2008).Analysis of business cycles in the economy. Journal of Development, 2.
Homayoun, S., & Nsrollhie, K.(2013).Monetary model predicts the exchange rate in Iran. Journal of fiscal policy, (4), 24-5.
Rand, J., & Trape, F. (2001).Business Cycles in Developing Countries: Are They Different? Centre for Research in Economic Development and International Trade, University of Nottingham CREDIT Research Paper, 01/21.
Frankle, J. (1983).Monetary and portfolio-balance models of exchange rate Determination. Mit Press Cambridge 1983.
Kazerouni, AR., Reza Zadeh, A., & Feshari, M.(2010).Monetary approach to the exchange rate in Iran.Economic Bulletin,(1).
Komijani, A., Gorji, A., & Iqhbal, A.(2013).The new estimate of the political business cycle Quarterly.Journal of Business.71,1-34.
Mazinie,A.(2013).Pathology of the recent foreign exchange developments with an emphasis on the commercial sector. Quarterly financial and economic policies, (1), 81-96.
Molaei, M., & Golkhandan, A.(2013).America's economy and the business cycle compared with the economy. Journal of Economic Research and sustained development, 3 (14&15),253.
Nasrollahie,KH.,Moghads-Far,S.,& Masouli-Zadeh, M.(2013).Determining the real exchange rate on the balance of Quartet sectors of economic. Journal of Economy (9 &10), 22-5.
Liu, Philip.(2008).The Role of International Shocks in Australia’s Business Cycle. Research Discussion Paper Economic Research Department Reserve Bank of Australia.
Oreiro, J., L,. Flavio A. C,. & Basilio, Gustavo J. G. Souza. (2014).Effects of overvaluation and exchange rate volatility over industrial investment:empirical evidence and economic policy proposals for Brazil. Brazilian. Journal of Political Economy, (34), 347-369.
Wilsoon, Ian. (2009).The Monetary Approach to Exchange RatesA Brief Review and Empirical Investigation of Debt, Deficit, and Debt Management: Evidence from the United States. The Journal of Business Inquiry 8 (1), 83-99.
Sharifi-Renan,H.,Raki,M.,&Honarvar, N.(2014).Monetary Policy and Exchange Rate Overshooting in Iran.International Economic Studies, 1 (44),67-74.
Sharif, A.M., & Kaghzyan, S. (2008).Factors affecting business in Iran business cycles.Economic Essays, 1&2, 199-236.
Saheb-honar, H., Cheshmei, A., & flahty, M.(2013).The effect of monetary shocks on different parts of the Iranian economy.Quarterly Journal of economic development.P42.
Samadi, S., & Jalaie Esfandiari,AM.(2004).Analysis of the business cycle in Iran. Isfahan University study, seminar week. Journal of Economic Research, 66,139-153.
Tayyebnia, A., & Ghasemi, F.(2006).The role of business circles of Iran's oil shocks .Economic Research Journal,(6)1.
