بررسی فراوانی-زمان سرریز نوسانات میان نرخ ارز، تورم، قیمت سهام و قیمت مسکن در ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار گروه‌ اقتصاد دانشکده علوم اقتصادی و اداری، دانشگاه قم، قم ایران

2 استاد گروه اقتصاد دانشکده علوم اقتصادی و اداری دانشگاه قم، قم، ایران

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

4 دانشیار گروه اقتصاد دانشکده علوم اقتصادی و اداری دانشگاه قم، قم، ایران

10.29252/jem.2022.228781.1783

چکیده

در پژوهش حاضر نحوه انتقال و دریافت و همچنین رابطه علی انتقال نوسانات با توجه به دوره زمانی بروز نوسانات میان نرخ ارز، تورم، قیمت مسکن و بازار سهام در دوره زمانی 1401:07-1385:01 با تواتر ماهانه با استفاده از الگوی خودرگرسیون برداری با پارامترهای متغیر در زمان- مقیاس بررسی است. نتایج نشان می‌دهد که عمده ارتباط میان نوسانات متغیرهای مورد بررسی به‌صورت کوتاه‌مدت بوده است. چنانچه نوسانات کوتاه‌مدت ارز ادامه‌دار باشد و منجر به ایجاد نوسانات تورم و قیمت مسکن شود، در میان‌مدت نوسانات تورم و قیمت مسکن زمینه انتقال نوسان به نرخ ارز را ایجاد خواهد کرد و با افزایش نوسانات ارزی، بازار سهام بشدت متلاطم خواهد شد. بنابراین کنترل نوسانات ارز در کوتاه‌مدت مانع از افزایش نوسانات تورم و قیمت مسکن خواهد شد و چنانچه سیاست‌گذار این مهم را مدنظر قرار ندهد در میان‌مدت مجدداً نرخ ارز از کانال تورم و قیمت مسکن متلاطم خواهد شد و متعاقبا نوسانات با شدت بیشتری به بازار سهام منتقل خواهد شد. 

کلیدواژه‌ها

عنوان مقاله [English]

Investigating the Time-Frequency Volatility Spillover among Exchange Rate, Inflation, Stocks and Housing Prices in Iran

نویسندگان [English]

  • Soheil Roudari 1
  • Saeed Farahanifard 2
  • Abolfazl Shahabadi 3
  • Omidali Adeli 4
1 Assistant Professor of Economics, Faculty of Economics Sciences and Administration, University of Qom, Qom, Iran
2 Professor of Economics, Faculty of Economics Sciences and Administration, University of Qom, Qom, Iran
3 Professor of Economics, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran
4 Associate Professor of Economics, Faculty of Economics Sciences and Administration, University of Qom, Qom, Iran
چکیده [English]

In the present study, the transferring and receiving, as well as the causal relationship of volatilities transmission according to the time-frequency across exchange rate, inflation, housing and stock market in the period of 2006:03-2022:03, is investigated using time-varying parameters vector autoregression model. The results show that the main relationship between the volatilities of the variables was in the short run. If short run exchange rate volatilities continue and lead to inflation and housing volatilities in the medium term, inflation and housing price volatilities will create the basis for transferring volatilities to the exchange rate. The stock market will be volatile with the increase in exchange rate volatility. Therefore, the control of exchange rate volatilities in the short term will prevent the increase of inflation and housing price volatilities. If the policymaker does not consider it, the exchange rate will volatile again in the medium term through the inflation and housing channel. Subsequently, the volatilities will transmit to the stock market intensively.

کلیدواژه‌ها [English]

  • Exchange Rate
  • Inflation
  • Stock Price
  • Housing Price
  • TVP-VAR-BK Model

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