اثرات شوک‌های قیمت نفت بر پویایی‌های انتقال چرخه‌های تجاری در اقتصاد ایران: مدل مارکوف سوئیچینگ با احتمال انتقال متغیر

نویسندگان
سیاب ممی پور
حدیث عبدی
دانشگاه خوارزمی
10.29252/jemr.9.34.31
چکیده
ادوار تجاری یکی از مهم‌ترین شاخص‌های اقتصادی محسوب می‌شود که تغییر در فعالیت‌های اقتصادی در طول زمان را نشان می‌دهد. بررسی ادوار تجاری از آن جهت اهمیت دارد که درک و توجه به چگونگی نوسانات تولید ناخالص داخلی و عوامل مؤثر بر این نوسانات همچون شوک‌های قیمت نفت به سیاست‌گذاران اقتصادی در برنامه‌ریزی بهتر و مؤثرتر کمک می‌کند. این مطالعه با استفاده از مدل غیرخطی مارکوف سوئیچینگ با احتمال انتقال متغیر (MS-TVTP )، اثرات شوک‌های قیمت نفت بر پویایی‌های انتقال چرخه‌های تجاری ایران به صورت فصلی بین سال‌های 1384 تا 1395 را مورد بررسی قرار داده است. بدین منظور ابتدا شوک‌های قیمت نفت با چهار روش مختلف استخراج شده و سپس تأثیرآنها بر دوره‌های رکود و رونق بررسی شده است. نتایج حاصل از مدل مارکوف سویچینگ با احتمال انتقال متغیر نشان می‌دهد چرخه‌های تجاری در اقتصاد ایران تحت تاثیر نوسانات و شوک‌های قیمت نفت است؛ به طوری که در همه چهار حالتی که شوک قیمت نفت محاسبه شده است، شوک‌های مثبت قیمت نفت، نه تنها احتمال ماندن در رژیم رونق در اقتصاد ایران را افزایش می‌دهد بلکه احتمال خروج از وضعیت رکود و انتقال به رژیم رونق را نیز افزایش می‌دهد. همچنین از مقایسه نسبی ضرایب شوک‌های قیمت نفت در احتمال ماندن در رژیم رونق و انتقال از رژیم رکود به رونق می‌توان استدلال کرد، بروز شوک‌های مثبت در دوره رکود، احتمال گذار یا خروج از رکود را به مقدار بیشتری نسبت به رژیم رونق افزایش می‌دهد. به عبارت دیگر، در اقتصاد ایران شوک‌های قیمت نفت در دوره رکود اثر بیشتری در چرخش وضعیت اقتصادی دارد و احتمال خروج اقتصاد از دوره رکود را به مقدار بیشتری افزایش می‌دهد اما در دوره رونق اقتصادی، بروز یک شوک مثبت، احتمال ماندن در دوره رونق را به مقدار کمتری، افزایش می‌دهد.
کلیدواژه‌ها
چرخه‌های تجاری
شوک‌های قیمت نفت
مدل مارکف سوئیچینگ
احتمال انتقال متغیر
ایران

عنوان مقاله English

The Effects of Oil Price Shocks on Transitional Dynamics of Business Cycles in Iran: Markov Switching Model with Time Varying Transition Probabilities (MS-TVTP)

نویسندگان English

Siab Mamipour
Hadis Abdi
Kharazmi University
چکیده English

The business cycles are one of the most important economic indicators that they show the changes in economic activities during time. The study of business cycles is important because the understanding fluctuations in GDP and effective factors on these fluctuations help policy makers to plan better and more efficient. The main purpose of this paper is to investigate the effects of oil price shocks on business cycles dynamics in Iranian economy during period of 2005 to 2017 by using non-linear Markov switching model with the time varying transitional probabilities (MS-TVTP). So, first, the oil price shocks were extracted in four different modes, and then the effect of them on recession and boom regimes are investigated. The results of MS-TVTP model show that business cycles are affected by oil price fluctuations and shocks in Iran’s economy. The results indicate that, in all four modes which oil price shocks were calculated, the positive shocks in oil price increase the probability of staying in boom regime. Also positive oil price shocks increase the probability of transition from the recession regime in Iran’s economy. Also, with relative comparison of the coefficients of oil price shocks in the probability of staying in boom regime and transition from recession to boom regime, it can be argued that positive oil price shocks in recession period increases the probability of transition from recession more than the boom regime. In other words, oil price shocks in recession periods have a greater effect on rotation of economic situation and increase the probability of transition from recession regime, but in the boom regime, the positive oil price shock lead to increases the probability of staying in boom regime a little.

کلیدواژه‌ها English

Business Cycles
Oil Price Shocks
Markov Switching Model
Time Varying Transition Probabilities
Iran
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