ریسک‌گریزی و چرخه‌های تجاری در اقتصاد ایران

نوع مقاله: مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری دانشکده علوم اقتصادی و اجتماعی دانشگاه بوعلی سینا، همدان، ایران

2 استاد گروه اقتصاد دانشکده علوم اقتصادی و اجتماعی دانشگاه بوعلی سینا، همدان، ایران

3 استاد گروه اقتصاد دانشکده علوم اجتماعی و اقتصادی، دانشگاه الزهرا، ایران

4 استادیار گروه دانشکده علوم اقتصادی و اجتماعی دانشگاه بوعلی سینا، همدان، ایران

چکیده

ترجیحات افراد نسبت به ریسک یکی از متغیرهای مهم اقتصادی بوده و تأثیر بسیاری در تصمیمات اقتصادی دارد. تصمیمات سرمایه‌گذاری، مصرف، پس­انداز، خرید بیمه و قراردادهای آتی از جمله تصمیماتی هستند که ترجیحات ریسک در آن نقش کلیدی را بازی می‌کند. با توجه به اهمیت ترجیحات ریسکی در فرآیند تصمیم­گیری، محاسبه شاخصی که بتواند به نحوی وضعیت گرایش ریسک در کل اقتصاد را نشان دهد، ضروری است. هدف از این پژوهش، برآورد سری زمانی پارامتر ریسک گریزی در اقتصاد ایران بر اساس اطلاعات فصلی طی دوره 1396-1381 است. به این منظور از الگوی گارچ در میانگین با پارامترهای متغیر طی زمان استفاده شد. نتایج برآورد ریسک گریزی در اقتصاد ایران نشان داد، این پارامتر در اقتصاد ایران ثابت نبوده و طی دوره‌ی مورد بررسی بین 81/0 تا 6/7 در نوسان بوده است. همچنین نتایج پژوهش نشان داد، ریسک گریزی در دوره‌ی رونق نسبت به رکود به‌مراتب پایین­تر بوده و رفتار ضدچرخه‌‌ای دارد.

کلیدواژه‌ها


عنوان مقاله [English]

Risk Aversion and Business Cycles in Iran’s Economy

نویسندگان [English]

  • Mehdi Aminirad 1
  • Nader Mehregan 2
  • Abolfazl Shahabadi 3
  • Davood Jafari Seresht 4
1 Ph.D Candidate in Economics, Faculty of Economics and Social Sciences, Bu-Ali Sina University, Hamedan, Iran
2 Professor of Economics, Faculty of Economics and Social Sciences, Bu-Ali Sina University, Hamedan, Iran
3 Professor of Economics, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran
4 Assistant Professor of Economics, Faculty of Economics and Social Sciences, Bu-Ali Sina University, Hamedan, Iran
چکیده [English]

The preferences of individuals towards risk are one of the most important economic variables and have a significant impact on economic decisions. Investment decisions, consumption, saving, purchases of insurance and future contracts are among the decisions where risk preferences play a key role. Considering the importance of risk preferences in the decision-making process, it is necessary to calculate an indicator that can show the state of risk-orientation in the whole economy. The purpose of this paper is to estimate the time series of the risk aversion parameter in Iran's economy based on quarterly data during the period of 2002-2017. For this purpose, Time- Varying parameter GARCH in mean models was used. Estimates of risk aversion in Iran's economy showed that this parameter was not constant and fluctuated between 0.81 and 7.6 over the period of study. The results also showed that risk aversion is much lower in the boom period than the recession and has a countercyclical behavior.

کلیدواژه‌ها [English]

  • business cycles
  • Kalman Filter
  • Risk aversion
  • Risk Premium

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