بررسی همزمانی سیکل‌های نرخ ارز با قیمت نفت، قیمت طلا و ارزش سهام در ایران: الگوی مارکف-سوئیچینگ با ساختار مؤلفه‌ای

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استاد گروه اقتصاد دانشکده اقتصاد و علوم سیاسی دانشگاه شهید بهشتی، تهران، ایران

2 دانشجوی دکتری اقتصاد دانشکده اقتصاد دانشگاه علامه طباطبائی، تهران، ایران

3 دانشجوی دکتری اقتصاد انرژی دانشکده علوم اداری و اقتصاد دانشگاه فردوسی، مشهد، ایران

چکیده

ارتباط و اثرگذاری بین بازارهای ارز، نفت، طلا و بورس موضوع مهمی است که همواره مورد توجه سیاستگذاران و محققان بوده است. نوسانات و روندهای بازارهای مربوطه در سال‌های اخیر در ایران اهمیت این بررسی را بیشتر می‌کند. از این رو، مقاله به بررسی و تحلیل سیکل‏ها در نرخ ارز، نفت، طلا و سهام با استفاده از الگو‏های مارکف-سوئیچینگ با ساختار مؤلفه‌ای می‌پردازد. سپس با بکارگیری شاخص ناپارامتریک به تعیین همبستگی میان سیکل‏های موردنظر در دوره زمانی فصل اول سال 1370 تا فصل دوم سال 1399 می‌پردازد. نتایج بیانگر آن‏است که میان نرخ ارز با طلا، نفت و سهام رابطه مثبت و موافق چرخه‏ای وجود دارد. نرخ ارز و طلا و همچنین نرخ ارز و نفت از منظر آماری به طور همزمان معنا‌دار و در رابطه با نرخ ارز و سهام بی‏معنا‏ است. علاوه بر این، ارتباط میان نرخ ارز و نفت (95%) بیشتر از نرخ ارز و طلا (84%) و نرخ ارز با سهام (81%) در دوره رونق است. در دوره رکود نیز ارتباط میان نرخ ارز و طلا (84%) بیشتر از نرخ ارز و نفت (20%) و نرخ ارز با سهام (20%) است.

کلیدواژه‌ها


عنوان مقاله [English]

Analyzing the Synchronization of Exchange Rate Cycles with Oil Price, Gold Price, and Stock Value in Iran: A Markov-Switching Model with Component Structure

نویسندگان [English]

  • Yadolah Dadgar 1
  • Fatemeh Fahimifar 2
  • Rouhollah Nazari 3
1 Professor of Economics, Faculty of Economics and Political Sciences, Shahid Beheshti University, Tehran, Iran
2 Ph.D. Student in Economics, Faculty of Economics, Allameh Tabataba'i University, Tehran, Iran
3 Ph.D. Student in Economics, Faculty of Administrative Sciences and Economics, Ferdowsi University, Mashhad, Iran
چکیده [English]

The correlation between the price of the foreign exchange market, Oil and Gold, markets have ever been significant for both policymakers and economic researchers as well. Recent fluctuations of markets in question in Iran inspired us to develop this article. Therefore, it is investigating the trends and related cycles of above mentioned three markets. In other words, and by using Markov-switching models, it is analyzing the cycles in the foreign exchange market, oil, and gold markets. By the way, it is applying non-parametric models to determine the correlation between the very cycles from 1991: Q1-2020: Q2. The results suggest that there is a significant and positive relationship between exchange rates and gold price. The relationship of oil price and the exchange rate is significant and negative in Iran in the same period. The exchange rate and oil price (compared to the exchange rate and gold price) are much more at the same regime. In addition, the correlation between exchange rates and oil prices is stronger than that of exchange rates and gold prices in the same periods. By applying the results of this article, Iranian policymakers can predict the trends of cycles and hence design the proper policies to fix the current fluctuations. By so doing, they can resolve the recent macro instability in the Iranian economy.

کلیدواژه‌ها [English]

  • Exchange Rate
  • Oil Price
  • Gold Price
  • Stock Value
  • Markov-Switching
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