ارائه مدل کلان سنجی زمان- پیوسته برای اقتصاد ایران (تحلیل ساختاری)
محورهای موضوعی : مدیریت بازرگانی
رویا آل عمران
1
(
دانش آموخته دکتری اقتصاد، واحد علوم و تحقیقات تهران ،دانشگاه آزاد اسلامی،تهران،ایران
)
حمیدرضا برادران شرکا
2
(
دانشیار و عضو هیأت علمی دانشگاه علامه طباطبایی
)
کلید واژه: مدل کلان‌سنجی, زمان - پیوسته, آنالوگ گسسته دقیق, ثبات موضعی,
چکیده مقاله :
در مطالعه حاضر یک مدل کلان سنجی زمان - پیوسته برای ایران طی دوره 1383-1338 ارائه شده و برای این منظور از مدل سایز کوچک و سیستم معادلات همزمان با هشت معادله دیفرانسیلی و سه رابطه تعریفی استفاده و مدل با روش 2SLS تخمین زده شده است. همینطور چگونگی تعدیل متغیرهای کلان اقتصادی نظیر مصرف - تولید - تورم - حجم نقدینگی - دستمزدها و ... به سمت مقادیر مطلوبشان و پایداری و ناپایداری موضعی نقطه تعادل اقتصاد مورد ارزیابی قرار گرفته است. مطابق نتایج بدست آمده سرعت تعدیل پایین (میانگین وقفه زمانی بالا) برای قیمتها و دستمزدها تایید و سرعت تعدیل بالا برای بازار پولی و سپس بازار واقعی تایید شده است. وقفه زمانی تعدیل قیمتها 2/5 سال، دستمزدها 3/3 سال، بازار پولی 85/0 سال و تولید 3/1 سال می باشد. ضریب متغیر پولی و تاثیر آن بر مصرف نیز بالاست یعنی هرگونه عدم تعادل در بازار پول به سمت مصرف سرریز می شود. تحلیل ثبات سیستم نیز نشان می دهد که سیستم بصورت موضعی[1] ناپایدار است. 1- Locally
This paper presents a continuous time macro-econometrics model for Iranian economy during 1338-1383. In this regard a relatively small size continuous time macro-econometric model, and simultaneous equation systems with eight differential equations and three definitional equations were used, and the model was estimated with 2 SLS technique. It examines the adjustment of macro economic variables such az such , consumption, production ,inflation, liquidity, wages,toward their desirable values,local stability and unstability of equilibrium point of economy. The results showed that the low speed adjustment for prices 2/5 years, and wages 3/3 years was confirmed/the high speed adjustement for money market 0.85 and real market also was confirmed.The money variable coefficient and its effect on consumption was also high, i.e. any unstability in the money market overflows toward consumption.Analyzing the stability of the system showed that the system is locally unstable.
Aghevli, B. B., & Sassanpour, C. (1982), "Prices, output and the trade balance in Iran, World Development", 10 (9), 791-800
Anderson L. C., & Carlson K. M. (1970), "A monetarist model for economic estabilization", Federal Reserve Bank of St. Louis Review, 52.
Bartlett, M. S. (1946),"On TheTheoretical Specification and Sampling Properties of Autocorrelated Time-Series", Journal of the Royal Statistical Society Supplement, 8, 27-41
Bergstrom, A. R. (1984),"Continuous Time Stochastic Models and Issues of Aggrigation over Time,in Handbook of Econometrics,North-Holland,Amsterdam.
Bergstrom, A. R. (1988), "The history of continuous-time econometric models", Econometric Theory, 4, 365-383
Bergstrom, A. R. (1990)," Continuous-time econometric modeling", Oxford University Press.
11-Bergstrom, A. R. , Nowman, K. B. and Wymer, C. R. (1991), "Gaussian stimation of a second order continuous-time macroeconometric model of the united Kingdom", (mimeo).
Donaghy, K. P. (1992), "A continuous-time model of the united states economy", Continuous-Time Econometrics.
Fair, R. C. (1984), "spiecification, stimation and analysis of macroeconometric models", Harvard University Press.
Gandolfo, G. (1981), "Quantitative Analysis and econometrics estimation of continuous-time dynamic models", North-Holland.
Gandelfo, G., & Padoan, P. C. (1990b), "The Italian continuous-time model": Theory and Empirical resultes, Economic Modeling, 7, 91-132.
Haavelmo, T. (1943), "The Statistical Implications of a System of Simultaneous Equations" Econometrica, 11, 1-12.
Hendry, D. H., & Ungern- Sternberg, T. V. (1981),"Liquidity and Inflation Effects on Concumer`s Expenditure. Cambridge University Press.
Koopmans, T. C., Rubin, H., & Leipnik, R. B. (1950). "Measuring the Equation Systems of Dynamic Economics", Statistical Inference in Dynamic Economic Models.
Phillips, A. W. (1959) "The Estimation of Parameters in Systems of Stochastic Differential Equations" Biometrica, 46, 67-76.
Tavakoli A. (1997). Time Series Analysis, Institute for Trade Studies and Research. Commercial Publishing Company, (In Persian).
Wymer, C. R. (1972), "A continuous disequilibrium adjustment model of United Kingdom financial markets", Economic Studies of Macro and Monetary, 301-334.
Wymer, C. R. (1972b)," Econometric stimation of stochastic differential equation systems", Econometrica, 40, 565-577.
_||_
Aghevli, B. B., & Sassanpour, C. (1982), "Prices, output and the trade balance in Iran, World Development", 10 (9), 791-800
Anderson L. C., & Carlson K. M. (1970), "A monetarist model for economic estabilization", Federal Reserve Bank of St. Louis Review, 52.
Bartlett, M. S. (1946),"On TheTheoretical Specification and Sampling Properties of Autocorrelated Time-Series", Journal of the Royal Statistical Society Supplement, 8, 27-41
Bergstrom, A. R. (1984),"Continuous Time Stochastic Models and Issues of Aggrigation over Time,in Handbook of Econometrics,North-Holland,Amsterdam.
Bergstrom, A. R. (1988), "The history of continuous-time econometric models", Econometric Theory, 4, 365-383
Bergstrom, A. R. (1990)," Continuous-time econometric modeling", Oxford University Press.
11-Bergstrom, A. R. , Nowman, K. B. and Wymer, C. R. (1991), "Gaussian stimation of a second order continuous-time macroeconometric model of the united Kingdom", (mimeo).
Donaghy, K. P. (1992), "A continuous-time model of the united states economy", Continuous-Time Econometrics.
Fair, R. C. (1984), "spiecification, stimation and analysis of macroeconometric models", Harvard University Press.
Gandolfo, G. (1981), "Quantitative Analysis and econometrics estimation of continuous-time dynamic models", North-Holland.
Gandelfo, G., & Padoan, P. C. (1990b), "The Italian continuous-time model": Theory and Empirical resultes, Economic Modeling, 7, 91-132.
Haavelmo, T. (1943), "The Statistical Implications of a System of Simultaneous Equations" Econometrica, 11, 1-12.
Hendry, D. H., & Ungern- Sternberg, T. V. (1981),"Liquidity and Inflation Effects on Concumer`s Expenditure. Cambridge University Press.
Koopmans, T. C., Rubin, H., & Leipnik, R. B. (1950). "Measuring the Equation Systems of Dynamic Economics", Statistical Inference in Dynamic Economic Models.
Phillips, A. W. (1959) "The Estimation of Parameters in Systems of Stochastic Differential Equations" Biometrica, 46, 67-76.
Tavakoli A. (1997). Time Series Analysis, Institute for Trade Studies and Research. Commercial Publishing Company, (In Persian).
Wymer, C. R. (1972), "A continuous disequilibrium adjustment model of United Kingdom financial markets", Economic Studies of Macro and Monetary, 301-334.
Wymer, C. R. (1972b)," Econometric stimation of stochastic differential equation systems", Econometrica, 40, 565-577.
