اثر مخارج دولت و نااطمینانی اقتصاد کلان بر سرمایه‌گذاری بخش خصوصی در ایران

نوع مقاله: مقاله پژوهشی

نویسندگان

1 استادیار گروه اقتصاد دانشکده علوم انسانی دانشگاه بجنورد

2 دانشجوی دکتری اقتصاد دانشکده اقتصاد و علوم سیاسی دانشگاه شهید بهشتی

چکیده

یکی از ارکان توسعه و رشد اقتصادی مبتنی بر گسترش سرمایه­گذاری بخش خصوصی است. ازاین­رو، توجه به متغیرهای مرتبط در این باره و بررسی نقش آن­ها امری ضروری است. بنابراین هدف مطالعه حاضر، بررسی نقش نااطمینانی اقتصاد کلان و مخارج دولت بر سرمایه­گذاری بخش خصوصی در ایران بر اساس داده­های فصلی و سالانه در بازه زمانی 1368-1394 است. برای این منظور، ابتدا نااطمینانی اقتصاد کلان با استفاده از الگوی تلاطم تصادفی استخراج گردیده و سپس برای بررسی اثر مخارج دولت و نااطمینانی اقتصاد کلان بر سرمایه­گذاری بخش خصوصی از روش داده­های ترکیبی با تواتر متفاوت (MIDAS) استفاده شده است. نتایج نشان می­دهد که افزایش نااطمینانی اقتصاد کلان و نیز افزایش تولید ناخالص داخلی بر سرمایه­گذاری بخش خصوصی در ایران به ترتیب اثرات منفی و مثبت داشته است. همچنین مخارج مصرفی دولت تأثیر منفی بر سرمایه­گذاری بخش خصوصی دارد.

کلیدواژه‌ها


عنوان مقاله [English]

The Effect of Public Expenditure and Macroeconomic Uncertainty on the Private Sector Investment in Iran

نویسندگان [English]

  • Behnam Elyaspour 1
  • Majid Dashtban 1
  • Sahar Dashtban faroji 2
1 Assistant Professor of Economics, Faculty of Humanities, University of Bojnord
2 Ph.D Candidate in Economics, Faculty of Economics and Political Sciences, Shahid Beheshti University
چکیده [English]

One of the foundations for development and economic growth is the expansion of private sector investment. It is necessary to pay attention to the relevant variables in this regard and to examine their role. Therefore, this study examines the role of macroeconomic uncertainty and public expenditure in determining private investment in Iran based on seasonal and annual data during 1368-1394. For this, first, the macroeconomic uncertainty was extracted using stochastic volatility model. Then, to investigate the effect of macroeconomic uncertainty and public expenditure on private investment, we usedMixed frequency Data Sampling (MIDAS) approach. The results showed that the increase of macroeconomic uncertainty as well as the increase of GDP have negative and positive effectson the private sector investment in Iran, respectively. Furthermore, the public consumption expenditure has a negative and significant effect on private sector investment and significant effect on private sector investment and significant effect on private sector investment

کلیدواژه‌ها [English]

  • Macroeconomic Uncertainty
  • Private Sector Investment
  • Stochastic Volatility Model
  • Mixed frequency Data Sampling
- Abel, A.B. (1983). Optimal Investment under Uncertainty. American Economic Review, 73, 228-233.

- Ahmad, I., & Qayyum, A. (2008). Effect of Government Spending and Macro- Economic Uncertainly on Private Investment in Services Sector: Evidence from Pakistan. European Journal of Economics, Finance and Administrative Sciences, 11, 84-96.

- Akkina, R. K., & Celebi, A. M. (2002). The Determinants of Private Fixed Investment and the Relationship between Public and Private Capital Accumulation in Turkey. Pakistan Development Review, 41(3), 243-254.

- Ale Emran, R., & Ale Emran, S. A. (2011). Privatization and General Policies of Article 44 of the Constitution. Monthly Quarterly Journal of Economic Research and Policies. 11(12), 73-88 (In Persian).

- Arabmazar, A. & NazariGovar, S. (2012). The Effect of Inflation Uncertainty on Private Investment in Iran. Journal of Iran’s Economic Essays, 9(18), 59-76 (In Persian).

- Aschaver, D. A. (1989). Does Public Capital Crowd-out Private Capital. Journal of Monetary Economics, 24, 171-188.

- Bairam, E., & Ward, B. (1993). The Externality Effects of Government Expenditure on Investment in OECD Countries. Applied Economics, 25, 711-716.

- Bayat, M., & Noferesti, M. (2015). Applied Time Series Econometrics: Mixed Frequency Data Sampling Model. First Edition, Hamedan: Noor-e-Elm (In Persian).

- Blejer, M. I., & Khan, M. S. (1984). Government Policy and Private Investment in Developing Countries. Staff Papers, 31(2), 379-403.

- Caballero, R. J. (1991). On the Sign of the Investment-Uncertainty Relationship. The American Economic Review, 81(1), 279-288.

- Carruth, A., A. Dickerson & Henley, A. (2000). What Do We Know about Investment under Uncertainty? Journal of Economic Surveys, 14, 119-153.

- Cuthbertson, K., & Gasparro, D. (1995). Fixed Investment Decisions in UK Manufacturing: The Importance of Tobin's Q, Output and Debt. European Economic Review, 39, 919-941.

- Dixit, A.K. & Pindyck, R.S. (1994). Investment under Uncertainty. In Economics Books, Princeton University Press, New Jersey.

- Dornbush, R, Fisher, S., & Startz, R. (1999). Macroeconomics. Seventh Edition, Mc Graw-Hill International Editions, New York.

- Eghbali, A., Hallafi, H. R., & Gaskari, R. (2004). Investigating the Relationship between Public Expenditure and Private Investment (Case Study of Iran). Journal of Economics Research, 4(12), 137-167 (In Persian).

- Emami, K., & Ahmadi, L. (2011). The Effect of Uncertainty in the Current and Constructional Governments Expenses on the Investment of Private Section in Iran Economy. Quarterly Journal of Economical Modeling, 5(16), 41-56 (In Persian).

- Favero, C. A., Pesaran, M. H., & Sharma, S. (1994). A Duration Model of Irreversible Oil Investment: Theory and Empirical Evidence. Journal of Applied Econometrics, 9(S), 95-112.

- Fujii, T., Hiraga, K., & Kozuka, M. (2013). Effects of public investment on sectoral private investment: A factor augmented VAR approach. Journal of the Japanese and International Economies, 27, 35-47.

- Gaskari, R., Ghanbari, H. & Eghbali, A. (2006). Instability in Macroeconomic and Private Investment in Iran. Journal of Economic Research, 6(23), 113-132 (In Persian).

- George, A., & Morisset, J. (1993). Does Price Uncertainty Really Reduce Private Investment (A small model applied to Chile). The international bank for reconstruction and development. Washington DC; World Bank Policy Research Working Paper, WPS 1114.

- Ghura, D., & Goodwin, B. (2000). Determinants of Private Investment: A Cross-Regional Empirical Investigation. Applied Economics, 32, 1819-1829.

- Greene, J., & Villanueva, D. (1991). Private Investment in Developing Countries. IMF Staff Papers, 38(1), 33-58.

- Guiso, L. & Parigi, G. (1999). Investment and Demand Uncertainty. Quarterly Journal of Economics, 114, 185-227.

- Hartman, R. (1972). The Effects of Price and Cost Uncertainty on Investment. Journal of Economic Theory, 5, 258-266.

- Heng, K. T. (1997). Public capital and crowding-in. The Singapore Economic Review, 42(2), 1-10.

- Jalaee Esfand Abadi, S.A. & Samimi, S. (2014). Investigating the Barriers of Private Investment in Iran. Quarterly Journal of the Macro and Strategic Policies, 2(7), 89-109 (In Persian).

- Kazerooni, A., & Dolati, M. (2007). The Effect of the Uncertainty of the Real Exchange Rate on Private Sector Investment (Case Study of Iran). Journal of Trade Studies, 12(45), 283-306. (In Persian)

- Khan, M. S., & Carmen M. R. (1990). Private Investment and Economic Growth in Developing Countries. World Development, 18(1), 19-27.

- Koetse, M.J., van der Vlist, A.J., & de Groot, H.L.F. (2006). The Impact of Perceived Expectations and Uncertainty on Firm Investment. Small Business Economics, 26, 365-376.

- Looney, R. E. (1997). Infrastructure and Private Sector Investment in Pakistan. Journal of Asian economics, 8(3), 393-420.

- Lutfi, E., & Randall, G.H. (2005. The effects of Public Investment on Private Investment in Developing Economics. Public Finance Review, 33(5), 575- 602

- Mamatzakis, E. C. (2001). Public Spending and Private Investment: Evidence from Greece. International Economic Journal, 15(4), 33-46.

- Mehnatfar, U. (2015). Public Expenditure Impact on Private Investment in Iran: Crowding out or crowding in? Journal of Applied Theories of Economics, 2(1), 143-162 (In Persian).

- Meyer, R., & Yu, J. (2000). BUGS for a Bayesian analysis of stochastic volatility models. The Econometrics Journal, 3(2), 198-215.

- Nakamura, T. (1999). Risk Aversion and the Uncertainty-Investment Relationship: A Note. Journal of Economic Behavior and Organization, 38, 357-363.

- Nakamura, T. (2002). Finite Durability of Capital and the Investment-Uncertainty Relationship. Journal of Economic Behavior and Organization 48, 51-56.

- Noferesti, M. & Bayat, M (2013). Forecasting Iranian’s Economic Growth Using Mixed Frequency Data Sampling Technique. Journal of Economics and Modelling, 4(14-15), 1-23 (In Persian).

- Noferesti, M. & Norouzi, z (2012). Private Investment Response to User Cost of Capital, Uncertainty and Capacity Utilization Rate. Journal of Economics and Modelling, 3(11-12), 44-62 (In Persian).

- Office of Economic Studies. (2008). Investigating the Investment Trend of the Private Sector and Economic Growth in Iran. Research Center of the Islamic Consultative Assembly of Iran, Thematic Code 220, Serial Number 9474 (In Persian).

- Oral, W., & Darius, R. (1998). Private Investment Adjustment with in the ECCB Monetary Union. Social and Economic Studies, 47(2 and 3), 59-87.

- Oshikoya, T. W. (1994). Macroeconomic Determinants of Domestic Private Investment in Africa: An Empirical Analysis. Economic Development and Cultural Change, 42(3), 573-596.

- Pattillo, C. (1998). Investment, Uncertainty, and Irreversibility in Ghana. Staff Papers, 45(3), 522-553.

- Pereira, A. M., & Roca-Sagales, O. (2001). Infrastructures and Private Sector Performance in Spain. Journal of Policy Modeling, 23(4), 371-384.

- Pindyck, R.S. (1982). Adjustment Costs, Uncertainty, and the Behavior of the Firm. American Economic Review, 72, 415-427.

- Pindyck, R.S. (1988). Irreversible Investment, Capacity Choice, and the Value of the Firm. American Economic Review, 78, 969-985.

- Pindyck, R.S. (1993). A Note on Competitive Investment under Uncertainty. American Economic Review, 83, 273-277.

- Ramirez D. M. (1994). Public and Private Investment in Mexico, 1950-90: An empirical Analysis. Southern Economic Journal, 61 (1), 1-17.

- Saltari, E. & D. T. (2005). Risk Aversion and the Investment-Uncertainty Relationship: A Comment. Journal of Economic Behavior and Organization, 56, 121-125.

- Serven, L. (1998). Macro Economic Uncertainity and Private Investment in Developing Countries an Empirical Investigation. Policy Research Working Paper, 2035, World Bank, Development Research Group, Macro economics and Growth.

- Serven, L. (2002). Real Exchange Rate Uncertainty and Private Investment in Developing Countries. Policy Research Working Paper, 2823, World Bank, April 2002.

- Serven, L., & Solimano, A. (1993). Debt Crisis, Adjustment Policies and Capital Formation in Developing Countries: Where Do We Stand? World Development, 21(1), 127-140.

- Serven, L., & Andres, S. (1991). Adjustment Policies and Investment Performance in Developing Countries: Theory, Country Experiences and Policy Implications. Washington DC: World Bank, Working paper Series No. 606.

- Tobin, J. (1969). A General Equilibrium Approach to Monetary Theory. Journal of Money, Credit, and Banking, 1, 15-29.

- Van der Sluis, J., Van Praag, M., & Vijverberg, W. (2005). Entrepreneurship Selection and Performance: A Meta-Analysis of the Impact of Education in Developing Economies. The World Bank Economic Review, 19(2), 225-261.

- Wai, U. T., & Wong, C. H. (1982). Determinants of Private Investment in Developing Countries. The Journal of Development Studies, 19(1), 19-36.

- Yu, J. (2005). On Leverage in a Stochastic Volatility Model. Journal of Econometrics, 127(2), 165-178.