پیش‌بینی و بررسی اثر نااطمینانی نرخ ارز حقیقی بر واردات بخش کشاورزی ایران

محورهای موضوعی : فصلنامه علمی -پژوهشی تحقیقات اقتصاد کشاورزی

سیما شافعی ¹ , یدالله بستان ² , احمد فتاحی اردکانی ³ , درنا جهانگیرپور ⁴ , رحمان عرفانی مقدم ⁵

1 - دانشگاه شیراز دانشکده کشاورزی بخش اقتصاد
2 - دانش آموخته کارشناسی ارشد دانشگاه اردکان، موسسه تحقیقات برنج کشور، معاونت مازندران، آمل، ایران
3 - دانشیار و عضو هیئت علمی گروه اقتصاد کشاورزی دانشگاه اردکان
4 - دانشجوی دکتری اقتصاد منابع طبیعی و محیط زیست دانشگاه شیراز
5 - استادیار و عضو هیئت علمی موسسه تحقیقات برنج کشور، معاونت مازندران، سازمان تحقیقات، آموزش و ترویج کشاورزی، ایران

تاریخ دریافت : 1397/06/16 تاریخ پذیرش : 1399/04/09 تاریخ انتشار : 1399/08/01

کلید واژه: ایران, پیش‌بینی, ANN, نرخ ارز, وارادات,

چکیده مقاله :

هدف از مطالعه حاضر بررسی اثر نااطمینانی نرخ ارز حقیقی بر واردات کشاورزی ایران برای دوره 1395-1357 و پیش‌بینی میزان واردات کشاورزی ایران تا سال 1404 با استفاده از روش‌های GARCH، VAR، VECM و ANN است. بدین منظور، از الگوی واریانس ناهمسانی شرطی اتورگرسیو تعمیم‌یافته برای شاخص‌سازی نااطمینانی نرخ ارز حقیقی، از رهیافت الگوی‌های خودرگرسیونی و تصحیح خطای برداری برای برآورد رابطه هم‌جمعی و پویای‌های کوتاه‌مدت و بلندمدت و در نهایت برای پیش‌بینی از روش شبکه عصبی مصنوعی استفاده شد. نتایج نشان داد که رابطه غیرمستقیم از نوسانات نرخ ارز حقیقی و الگوی مصرفی جامعه بر واردات بخش کشاورزی و رابطه مستقیم از متغیر درآمد نفتی و متغیر جذب بر واردات بخش کشاورزی وجود دارد. سپس از مقایسه کارایی الگوی‌های خودرگرسیونی و الگوی تصحیح خطای برداری و شبکه عصبی مصنوعی، از شبکه عصبی طراحی شده در جهت پیش‌بینی واردات بخش کشاورزی ایران برای دوره زمانی 1396 تا 1404 تحت یک سناریو استفاده شد و پیش‌بینی برون نمونه‌ای انجام شد. نتایج حاکی از آن است که با افزایش نوسانات نرخ ارز، واردات بخش کشاورزی کاهش .......

چکیده انگلیسی:

The purpose of this study was to investigate the effect of real exchange rate uncertainty on Iran's agricultural imports for the period of 1977-1389 and predict the level of Iranian agricultural imports by 1404 using GARCH, VAR, VECM and ANN methods. For this purpose, a generalized autoregressive conditional heterogeneity variance model was used to index the real exchange rate uncertainty, using autoregressive patterns and vector error correction for estimating co-integration and short-term and long-term coherent relationships and finally for prediction of artificial neural network method. The results showed that there is an indirect relationship between the real exchange rate fluctuations and consumption pattern of the society on agricultural imports and the direct relation between oil revenue variable and the absorption variable on agricultural imports. Then, comparing the efficiency of self-regression models and Vector Error Correction Model and artificial neural network, a neural network designed to predict the import of Iranian agricultural sector for the period 1396 to 1404 was used under a scenario and exogenous predictions were .....

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