بررسی سرریز سیاست پولی بانک مرکزی اروپا بر متغیرهای کلان اقتصادی ایران: رهیافت برداری ساختاری

نوع مقاله : مقاله پژوهشی

نویسندگان

1 کارشناس ارشد بخش اقتصاد دانشکده اقتصاد، مدیریت و علوم اجتماعی دانشگاه شیراز، شیراز، ایران

2 استادیار بخش اقتصاد دانشکده اقتصاد، مدیریت و علوم اجتماعی دانشگاه شیراز، شیراز، ایران

3 دانشیار بخش اقتصاد دانشکده اقتصاد، مدیریت و علوم اجتماعی دانشگاه شیراز، شیراز، ایران

چکیده

با توجه به جهانی شدن و همگرایی روزافزون اقتصاد‌ها و بازار‌ها، گسترش ارتباطات بین‌المللی و افزایش حجم تجارت جهانی، بررسی اثر‌گذاری تغییرات سیاست‌های پولی اقتصاد‌های بزرگ مانند آمریکا و کشورهای منطقه یورو بر متغیر‌های کلان اقتصادی سایر کشورها اهمیت ویژه‌ای دارد‌. در این راستا هدف این مطالعه بررسی تأثیر سرریز سیاست پولی منطقه یورو بر متغیرهای کلان اقتصادی ایران از کانال تجاری در چارچوب یک الگوی خودرگرسیون برداری ساختاری است. برای دست‌یابی به این هدف یک شاخص ترکیبی شرایط پولی منطقه یورو در بازه زمانی 2019:4-2001:1 با استفاده از تجزیه و تحلیل عاملی استخراج شده است. این شاخص ترکیبی از سیاست پولی متعارف و غیرمتعارف است. نتایج حاصل از برآورد توابع واکنش آنی بیانگر این است که شوک سیاست پولی انقباضی منطقه یورو به ترتیب حداقل برای 6، 5 و 6 دوره منجر به کاهش تولید، صادرات و واردات ایران شده است. به علاوه افزایش تورم و کاهش ارزش پولی ملی نیز از نتایج دیگر شوک سیاست پولی انقباضی منطقه یورو است. این نتایج با تغییر ترتیب متغیرها همچنان برقرار است.

کلیدواژه‌ها

عنوان مقاله [English]

Spillover Effects of the ECB’s Monetary Policy on Macroeconomic Variables in Iran: A Structural Approach

نویسندگان [English]

  • Naznin Azadi 1
  • Mahboubeh Jafari 2
  • Ebrahim Hadian 3
1 MA. in Economics, School of Economics, Management and Social Sciences, Shiraz University, Shiraz, Iran
2 Assistant Professor of Economics, School of Economics, Management and Social Sciences, Shiraz University, Shiraz, Iran
3 Associate Professor of Economics, School of Economics, Management and Social Sciences, Shiraz University, Shiraz, Iran
چکیده [English]

The globalization and increasing convergence of economies and markets, the expansion of international relations and the increase in global trade have raised the issue of how the monetary policy changes in large economies such as the United States and Euro area countries may affect the economy of other countries. In this paper, we use a structural vector auto-regressive approach to assess the spillover of ECB policy on Iran according to trade channel. Subsequently, we use the Factor Analysis to construct a synthetic index of overall Euro area monetary conditions (MCI) over the period of 2001:1-2019:4. This MCI captures both conventional and unconventional policies in Euro area countries. We find that a monetary tightening leads to a drop in Iran’s production, export, and import, peaking after 6, 5 and 6 seasons. Furthermore, the ECB policy leads to a significant depreciation and higher inflation in Iran. The results are robust to the order of variables.

کلیدواژه‌ها [English]

  • Iran
  • Spillover
  • ECB’s Monetary Policy
  • Macroeconomic Variables
  • SVAR

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