طراحی یک الگوی خودتوضیح برداری عاملی تعمیم‌یافته (FAVAR) برای اقتصاد ایران با تاکید بر شوک‌های نفتی و پولی

نویسنده
حسن حیدری
دانشگاه تربیت مدرس
10.29252/jemr.9.34.71
چکیده
اخیرا توجه زیادی به مدل‌هایی معطوف شده است که در آنها از مجموعه گسترده‌تری از اطلاعات اقتصادی استفاده می‌شود. این امر با ابداع مدل‌های FAVAR از طریق تلفیق مدل‌های سنتی VAR با یک یا چند عامل غیرقابل مشاهده امکان‌پذیر شده است. بر خلاف این سیر گسترده از مطالعات در زمینه به کارگیری مدل‌های تکامل‌یافته FAVAR، مطالعات داخلی در این زمینه بسیار محدود است و هنوز این روشها به صورت گسترده‌ای درباره اقتصاد ایران به کار گرفته نشده‌اند. از این رو در این مقاله تلاش شده است تا یک مدل FAVAR برای اقتصاد ایران برآورد شود تا در آن با تاکید بر شوک‌های نفتی و شوک‌های پولی بتوان واکنش دسته گسترده ای از متغیرهای اسمی و حقیقی را برآورد کرد. بدین منظور مجموعه‌ای از 35 متغیر مهم اقتصاد ایران در دامنه زمانی سالهای 1353 تا 1393 برای برآورد الگو انتخاب شد. نتایج حاصل از برآورد توابع واکنش الگوی FAVAR نشان داد که واکنش «بخش حقیقی» اقتصاد ایران به شوک مثبت درآمدهای نفتی مثبت و معنادار است و مدت زمان تقریبا 5 سال طول می‌کشد که اثر آن به طور کلی تخلیه شود. همچنین واکنش «بخش اسمی» اقتصاد ایران به یک شوک مثبت در درآمدهای نفتی نیز در ابتدا مثبت اما بی‌معنا بوده و نسبت به واکنش بخش حقیقی سریع‌تر و کوتاه‌تر و نوسانی-تر است. همچنین نتایج نشان می‌دهد که متغیرهای اسمی به شوک پایه پولی واکنشی مشابه و مثبت نشان می‌دهند اما اثر این شوک موقتی و در حد 2 تا 4 سال است.
کلیدواژه‌ها
درآمد نفتی
مدل‌های FAVAR
شوک پولی

عنوان مقاله English

Constructing a Factor Augmented VAR Model to Analyze Transmission of Oil and Monetary Shocks to Iranian Economy

نویسنده English

Hassan Heydari
Tarbiat Modares University
چکیده English

There is a growing attention to models which contain a broader set of economic data. In recent decade, introduction of Factor Augmented VAR models through augmentation of traditional VAR models with unobservable “factors” has made a new route to econometric modeling. In spite of the growing number of international papers and researches which have used FAVAR approach to modeling policy shocks to various economies, there is little about Iranian economy. So the paper is an attempt to fill the gap in the literature using an FAVAR model to analyze transmission of oil and monetary shocks to Iranian economy. The model contains 35 major macroeconomic annual variables spanning from 1974 to 2014. The results show that “real sector” of Iranian economy responds positively to oil shocks up to 5 years. Also “nominal sector” of the economy responds positively to oil shocks but the responses are shorter, smaller and more volatile than “real sector” responses. Finally the model results show responses of “nominal sector” of Iranian economy to monetary shocks are positive which its duration varies between 2 and 4 years.

کلیدواژه‌ها English

Oil Incomes
FAVAR Models
Monetary Shocks
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