آزمون فرضیه بی‌ثباتی پول فریدمن در ایران: رویکردی نامتقارن از مدل بسط یافته VARMA, GARCH-M

نویسندگان
حامد عبدالملکی
حسین اصغرپور
جعفر حقیقت
دانشگاه تبریز
10.29252/jemr.7.28.75
چکیده
حجم پول و سرعت گردش پول به عنوان متغیرهای مهم اقتصادی موثر بر تورم و تولید شناخته می شوند. سرعت گردش پول، یک مفهوم بسیار با اهمیت برای سیاست‌گذاری‌های اقتصادی است و از آنجا که به طور تنگانگی با رفتار تقاضا برای پول مرتبط است، اهمیت آن ‌را بیش از پیش نمایان می‌کند. در این رابطه فریدمن معتقد است بی‌ثباتی رشد پول عامل اصلی نوسانات سرعت گردش پول می‌باشد که در ادبیات اقتصاد پولی به فرضیه بی‌ثباتی پولی فریدمن معروف است. هدف اصلی این تحقیق بررسی نوسانات سرعت گردش پول و تبیین علت آن از دیدگاه پول‌گرایان می‌باشد. در این راستا با استفاده داده‌های فصلی 1393:4-1367:1 اقتصاد ایران و در چارچوب آزمون علیت، فرضیه فریدمن مبنی‌بر تاثیر بی‌ثباتی رشد پول بر نوسانات سرعت گردش پول، برای کل‌های پولی (M1 و M2) مورد آزمون قرار گرفته است. الگوی مورد استفاده در این تحقیق مدل بسط یافته VARMA, GARCH-M و روش برآورد شبه حداکثر درستنمایی (QML) می‌باشد. نتایج نشان دهنده تأیید فرضیه فریدمن برای دوره مورد بررسی می‌باشد. به بیان دیگر، نتایج تحقیق دلالت بر وجود رابطه علی از بی‌ثباتی رشد پول به سرعت گردش پول می‌باشد
کلیدواژه‌ها
بی‌ثباتی رشد پول
سرعت گردش پول
مدل VARMA
GARCH-M

عنوان مقاله English

Examination of Friedman’s Monetary Volatility Hypothesis in Iran: Asymmetric Approach From Extended VARMA, GARCHM Model

نویسندگان English

Hamed Abdolmaleki
Hossein Asgharpur
Jafar Hghighat
Tabriz University
چکیده English

Money supply and velocity of money are important variables that affect inflation and product. Velocity of money is a key concept for economic policy, and it's getting more important since it is closely related to behavior of the demand for money. In this regard, Friedman believes that the volatility of money growth is the main factor of velocity of money, which in monetary economics literature is known as Friedman’s monetary volatility hypothesis. The purpose of this study is to explore and explain the fluctuations in the velocity of mony from the perspective of Monetarism. In this regard, using Iran’s economic quarterly data for the period 1988(3)-2015(1) and in the framework of causality test, the Friedman hypothesis based on the impact of volatility of money growth on velocity of money is tested for monetary aggregates (M1 and M2). The model used in this paper is extended VARMA, GARCH-M and the estimated method is quasi maximum likelihood (QML). The results support the Friedman hypothesis for the period under study; in other words, there is a causal relationship from money growth volatility to velocity of money.

کلیدواژه‌ها English

Money Growth Volatility
Velocity Of money
Monetary Aggregate
Asymmetric
VARMA
GARCH-M Model
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