ارزیابی اثرات شوک متغیرهای تراز پرداخت‌ها بر متغیرهای کلان اقتصادی منتخب با استفاده از الگوی خودرگرسیون برداری عامل افزوده (FAVAR)

نویسندگان
1 پردیس بین الملل دانشگاه فردوسی مشهد
2 دانشکده علوم اداری و اقتصادی دانشگاه فردوسی مشهد
چکیده
تراز پرداختهای بین المللی یکی از رایجترین معیارهای سنجش و اندازه‌گیری جریان مبادلات تجاری و انتقال سرمایه در یک اقتصاد باز است. سه جزء اساسی این تراز عبارتند از: تراز تجاری، حساب جاری (یا تفاضل بین صادرات و واردات کالا و خدمات) و حساب سرمایه. در این مطالعه جهت ارزیابی اثرات شوک های تراز پرداخت ها بر متغیرهای کلان اقتصادی در اقتصاد ایران از مدل خودرگرسیون برداری عامل افزوده FAVAR در دوره زمانی 1396-1368 استفاده شده است، فاکتورهای مورد استفاده در این مطالعه شامل رشد اقتصادی، درآمدهای نفتی، رشد حجم پولی، تورم، نرخ ارز و نرخ بهره است. نتایج بدست آمده بیانگر این بود که شوک وارد شده از ناحیه حساب جاری و حساب سرمایه منجر به افزایش در تولید، مصرف و سرمایه گذاری در اقتصاد شده است. همچنین واکنش متغیرهای بخش اسمی اقتصاد از قبیل نرخ تورم و نرخ بهره به شوک وارد شده مثبت بوده است. مقایسه نتایج بدست آمده از این مطالعه بیانگر این است که وارد کردن متغیرهای پنهان و فاکتورها در مدل منجر به واکنش سریع تر متغیرهای کلان اقتصادی به شوک وارد شده از ناحیه اجزاء تراز پرداخت ها بوده است.
کلیدواژه‌ها

عنوان مقاله English

Evaluating the Impacts of Balance of Payments Variables Shock on Selected Macroeconomic Variables Using FAVAR

نویسندگان English

Morteza Chashti 1
Mohammad reza Lotfalipour 2
Mehdi Behname 2
Taghi Enrahimi Salari 2
1 Ferdowsi University of Mashhad
2 Ferdowsi University of Mashhad
چکیده English

International balance of payments is one of the most common criteria for measuring the flow of trade and capital transfers in an open economy. The three main components of this balance are: trade balance, current account (or difference between export and import of goods and services) and capital account. In this study, factor augmented vector autoregressive model (FAVAR) was used to evaluate the effects of balance of payments shocks on macroeconomic variables in the Iran economy in periode 1989-2017. The factors used in this study included economic growth, oil revenues, money growth, inflation, exchange rates and interest rates. The results show that the shock from the current account and capital account led to an increase in production, consumption and investment. The reaction of nominal sector variables such as inflation and interest rate to positive shock was also positive. Comparison of the results of this study shows that incorporation of hidden variables and factors into the model resulted in faster response of macroeconomic variables to the shocks entered by the balance of payments components.

کلیدواژه‌ها English

Balance Payments
Current Account
Capital Account
Exchange Rate
Factor Augmented Vector Auto-Regressive Model (FAVAR)
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