برآورد ماندگاری نظام‌های پولی و محیط‌های تورمی و تأثیر آن بر درجه عبور نرخ ارز: مطالعه موردی کشورهای درحال توسعه با نظام پولی لنگرگاه ارزی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشیار گروه اقتصاد دانشکده اقتصاد دانشگاه علامه طباطبائی، تهران، ایران

2 استادیار گروه اقتصاد دانشکده اقتصاد دانشگاه علامه طباطبایی، تهران، ایران

3 دانشیار گروه اقتصاد دانشکده اقتصاد دانشگاه خوارزمی، تهران، ایران

4 دانشجوی دکتری گروه اقتصاد دانشکده اقتصاد دانشگاه علامه طباطبائی، تهران، ایران

چکیده

هدف اصلی این مطالعه بررسی تأثیر ماندگاری نظام‌های‌ پولی به عنوان شاخص ثبات سیاست پولی و محیط‌های تورمی بر آثار انتقالی نوسانات نرخ ارز بر شاخص قیمت کالاهای وارداتی به عنوان نماینده درجه عبور نرخ ارز در 9 کشور در حال توسعه با نظام پولی لنگرگاه ارزی طی سال‌های 1999-2019 بر اساس طبقه‌بندی بانک جهانی از نظام‌های پولی و ترتیبات ارزی است. به این منظور نیل، با بهره‌گیری از روش مارکوف-سوئیچینگ محیط‌های تورمی آرام و شدید استخراج و اثر آن به همراه متغیرهای درجه باز بودن اقتصاد و تشکیل سرمایه ثابت ناخالص داخلی، با استفاده از رهیافت آماری الگو‌های بقا و روش‌های پارامتریک و شبه‌پارامتریک بر ماندگاری نظام‌های‌ پولی بررسی و در ادامه ریسک خروج از نظام‌های پولی به روش پارامتریک توزیع ویبول استخراج می‌گردد. در نهایت تأثیر این متغیر در کنار محیط‌های تورمی و سایر متغیرهای توضیحی به روش الگوی خودرگرسیونی با وقفه‌های توزیعی داده‌های تابلویی تخمین زده شد. نتایج تصریح الگوی بقا مبین تأثیر منفی و معنادار محیط‌های تورمی بر ماندگاری نظام‌های پولی است. همچنین افزایش ماندگاری نظام‌های پولی لنگرگاه ارزی و اندازه اقتصاد به کاهش درجه عبور نرخ ارز منجر شده در حالی که قرار گرفتن در محیط تورمی شدید، بی‌ثباتی نرخ مؤثر اسمی ارز و هزینه‌ نهایی تولید، آثار انتقالی تغییرات نرخ ارز بر شاخص قیمت کالاهای وارداتی را افزایش می‌دهد.

کلیدواژه‌ها

عنوان مقاله [English]

Estimation of Monetary Regimes Persistence and Inflationary Environment and It’s Effect on the Exchange Rate Pass-Through: The Case of Developing Countries with Exchange Rate Anchor Monetary Regimes

نویسندگان [English]

  • Morteza Khorsandi 1
  • Mohammad Mahdi Mojahedi Moakhar 2
  • Majid Afsharirad 3
  • Shahrzadsadat AleDavoud 4
1 Associate Professor of Economics, Faculty of Economics, Allameh Tabataba'i University, Tehran, Iran
2 Associate Professor of Economics, Faculty of Economics, Allameh Tabataba'i University, Tehran, Iran
3 Associate Professor of Economics, Faculty of Economics, Kharazmi University, Tehran, Iran
4 Ph.D. Candidate in Economics, Faculty of Economics, Allameh Tabataba'i University, Tehran, Iran
چکیده [English]

The main purpose of this study is to investigate the effect of monetary system survival (as an indicator for monetary policy stability) and inflationary environment on exchange rate pass-through (as measure of transitional effects of exchange rate fluctuations on the import price index) in 9 developing countries during 1999-2019. To this purpose, the inflationary environment index is estimated by Markov-switching model and its effect on monetary policy stability is estimated by Survival Model Approach. Then, the risk of monetary system failure is estimated by WEIBULL method and in the following, the effect of this variable with other explanatory variables is estimated by ARDL method on exchange rate pass-through. The results show the negative effect of the inflationary environment on the monetary system survival. Also, the monetary system survival, the inflationary environment, the nominal effective exchange rate and its instability will increase the exchange rate pass-through.

کلیدواژه‌ها [English]

  • Exchange Rate Pass-Through
  • Survival Analysis
  • Monetary Regime Survival
  • Exchange Rate Anchor
  • Inflationary Environment

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