انحراف نرخ ارز حقیقی در اقتصاد کشورهای درحال توسعه: کاربرد رگرسیون انتقال ملایم داده‌های ترکیبی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری گروه اقتصاد دانشکده علوم اداری و اقتصاد دانشگاه اصفهان، اصفهان، ایران

2 استاد گروه اقتصاد دانشکده علوم اداری و اقتصاد دانشگاه اصفهان، اصفهان، ایران

3 دانشیار گروه اقتصاد دانشکده علوم اداری و اقتصاد دانشگاه اصفهان، اصفهان، ایران

چکیده

از آنجا که اولین گام در کنترل انحراف نرخ ارز حقیقی شناخت صحیح مقادیر تعادلی آن است، در پژوهش حاضر اثر برخی از متغیرهای بنیادی بر نرخ ارز حقیقی در چارچوب یک الگوی غیرخطی و با استفاده از داده‌های 120 کشور درحال‌توسعه مربوط به دوره زمانی 2019-2000 مورد بررسی قرار گرفت. بر این اساس، الگوی تصریح شده نرخ ارز حقیقی شامل متغیرهای توضیحی مانند بهره‌وری، نسبت سرمایه‌گذاری به تولید، نسبت مخارج دولت به تولید، بازبودن تجاری، رابطه مبادله و خالص دارایی‌های خارجی بوده است، که به روش الگوی رگرسیون انتقال ملایم داده‌های ترکیبی برآورد شد. نتایج حاصل از برآورد الگو نشان داد که تمامی این متغیرها اثرات معناداری بر نرخ ارز داشته است. همچنین نتایج نشان‌دهنده وجود انواع مختلف انحراف نرخ ارز (ارزش‌گذاری بیشتر یا کمتر از حد) در تمامی کشورها و تقریباً در همه سال‌های مورد بررسی بود. در بین کشورهای مورد بررسی، ایران نوسان‌های زیادی را در بازار ارز خود تجربه کرده است، به طوری که شاهد نوسان‌های گسترده در نرخ ارز حقیقی تا سال 2002 بود و پس از آن تا حدودی از میزان انحراف از مقدار تعادلی کاسته شد. دلیل این انحراف مبتنی بر هر دو پدیده ارزش‌گذاری بیش از حد و کمتر از حد پول داخلی بوده است.

کلیدواژه‌ها

عنوان مقاله [English]

Real Exchange Rate Misalignment in Developing Economies: An Application of Panel Smooth Transition Regression

نویسندگان [English]

  • Seyed Hasan Malekhosseini 1
  • Seyed Komail Tayebi 2
  • Monireh Rafat 3
1 PhD Candidate in Economics, Faculty of Administrative Sienese and Economics, University of Isfahan, Isfahan, Iran
2 Professor of Economics, Faculty of Administrative Sienese and Economics, University of Isfahan, Isfahan, Iran
3 Associate Professor of Economics, Faculty of Administrative Sienese and Economics, University of Isfahan, Isfahan, Iran
چکیده [English]

Real exchange rate misalignment from its equilibrium level can have negative effect on economies worldwide, especially on developing countries. For this reason, it is important to economic policymakers to make attempts in order to control for any misalignment. As detection of the real exchange rate is a first step to control for its misalignments, this study has explored the effects of the main determinants on real exchange rate within a framework of a non-linear model using data of 120 developing countries over the period 2000-2019. The model, which was specified as a panel smooth transition regression, contained a set of explanatory variables such as productivity index, the ratio of investment to GDP, the ratio of government spending to GDP, trade openness, term of trade and net foreign assets. The empirical results indicated that changes in all aforementioned explanatory variables affected significantly the countries` exchange rates. In addition, the results revealed that existence of various types of exchange rate misalignments, like over/under- valuation of exchange rate, in most countries during the period, even those the intensity of misalignments were different in the countries under consideration. Among them, Iran experienced the vast fluctuations in the real exchange rate by 2002, while the less deviation from the equilibrium rate happened in the rest of the period. The reason for such misalignment has been typically based on the overvaluation and undervaluation of the domestic currency. 

کلیدواژه‌ها [English]

  • Exchange Rate Misalignment
  • Developing Countries
  • Iran
  • Panel Smooth Transition Regression

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