کاربرد الگوهای شکنندگی در ارزیابی عوامل مؤثر بر ریسک تکرار رکود: تجربه ایران و کشورهای منتخب

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکترای علوم اقتصادی دانشگاه آزاد اسلامی واحد اصفهان (خوراسگان)، اصفهان، ایران

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

3 استاد بازنشسته گروه اقتصاد دانشگاه اصفهان و هیات علمی دانشگاه شیخ بهایی، اصفهان، ایران

10.29252/jem.2022.228038.1772

چکیده

کاوش در خصوص علل و عوامل ایجاد دوره‌های تجاری از دیرباز مورد علاقه پژوهشگران حوزه اقتصاد بوده و در این زمینه پژوهش‌های فراوانی مبتنی بر روش‌های گوناگون انجام شده ‌است. پژوهش حاضر به دنبال تحلیل عوامل مؤثر بر مخاطره تکرار رکود، در ایران و برخی از کشورهای تحریم‌شده است. رکود مانند یک بیماری عودکننده فرض شده که مؤلفه‌های مؤثر بر مخاطره تکرار آن بررسی می‌گردد. بدین منظور از الگوهای شکنندگی که ذیل روش‌های پارامتریک تحلیل بقا تعریف می‌شود، استفاده می‌شود. ابتدا داده‌های سالانه 11 کشور تحریم شده مدنظر در بازه زمانی 2018-1990 دریافت و با استفاده از فیلتر هادریک- پرسکات، دوره‌های رکود آنها تعیین می‌شود. سپس با بکارگیری الگوی پارامتری دارای جزء شکنندگی، تأثیر متغیرهای تورم، نسبت تشکیل سرمایه ثابت به مخارج مصرفی نهایی دولت، قیمت نفت و تحریم، بر مخاطره تکرار رکود بررسی می‌گردد. نتایج نشان می‌دهد که تأثیر هیچ یک از متغیرهای مورد اشاره بر ریسک تکرار رکود معنادار نیست و تنها حضور عرض از مبداء در الگو رد نشده است. بنابراین می‌توان نتیجه گرفت که با توجه به شرایط کشورهای مورد مطالعه، عوامل ناشناخته و بعضا غیراقتصادی بر ریسک تکرار رکود تاثیر می‌گذارند.

کلیدواژه‌ها


عنوان مقاله [English]

The Application of Frailty Models in Investigating the Factors Affecting the Risk of Recurrence of Recession: Experience of Iran and Selected Countries

نویسندگان [English]

  • Mahdi Fazel 1
  • Karim Azarbayjani 2
  • Mostafa Emadzadeh 3
1 PhD Candidate in Economics, Department of Economics, Islamic Azad University, Isfahan(Khorasgan) Branch, Isfahan, Iran,
2 Professor of Economics, Faculty of Administrative Science and Economics, University of Isfahan, Isfahan, Iran
3 Professor of Economics, Faculty of Administrative Science and Economics, University of Isfahan and Faculty of Management, Sheikh Baha'i University, Isfahan, Iran
چکیده [English]

Exploring the causes and factors creating the business cycles has been of interest to researchers in the field of economics for a long time, and many research based on various methods have been conducted in this field. The current research seeks to analyze the factors affecting the risk of recession recurrence in Iran and some sanctioned countries. Recession is assumed to be a recurrent disease, and the factors affecting its recurrence risk are investigated. For this purpose, frailty models defined under the parametric methods of survival analysis are used. The annual data of the 11 sanctioned countries considered in the period of 1990-2018 are received and their recession periods are determined using the Hadrick-Prescott filter. Then, by using a parametric model with a frailty component, the effect of inflation, ratio of fixed capital formation to government final consumption expenditures, oil prices and sanctions on the risk of recession recurrence is investigated. The results show that the effect of the variables on the risk of recession recurrence is not significant. Therefore, it can be concluded that according to the conditions of these countries, unknown and sometimes non-economic factors affect the risk of recession recurrence.

کلیدواژه‌ها [English]

  • Business Cycles
  • Recession Relapse
  • Sanction
  • Survival Analysis
  • Frailty Models
- Abel, Andrew B., Bernanke, Ben S., Smith, Gregory, W. (2003). Macroeconomics. Addison Wesley. Canada.
- Arabmazar, A. & Golmoradi, H. (2010). An Investigation of Structural Shocks on Macroeconomic Fluctuations in Iran. Journal of Economics and Modeling, 1(1), 41-80 (In Persian).
- Amirirad, M & Mehregan, N. (2019). Evaluation of Sustainability of the Foreign Exchange Rate Regimes in Iran Based on Duration Models. Jemr, 9(35), 7-38 (In Persian).
- Anas. J., Billio. M., Ferrara. L. & Lo Duca. M. (2004). Business Cycle Analysis with Multivariate Markov Switching Models, GRETA working paper 04/02, [2].
- Beveridge, S. & Charles, R. N. (1981), A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components with Particular Attention to Measurement of the Business Cycle. Journal of Monetary Economics, 7, 151-174.
- Campbell, J.Y. & Deaton, A. (1987). Is Consumption Too Smooth? NBER Working Papers. No. 2134
- Campbell, J.Y. & Mankiw, N.G. (1987). Permanent and Transitory Components in Macroeconomic Fluctuations. American Economic Review Papers and Proceedings, 77,111-117.
- Caraiani, P. (2010). Modeling Business Cycles in the Romanian Economy Using the Markov Switching Approach. Romanian Journal of Economic Forecasting, 1, 130-136.
- Castro, V. (2012). The duration of Economic Expansions and Recessions: More than duration dependence. Journal of Macroeconomics, 32, 347-365.
- Clements, M.P. & Krolzig, H.M. (1997). A Comparison of the Forecast Performance of Markov-Switching and Threshold Autoregressive Models of US GNP. The Econometrics Journal, 1, 47–75.
- Diebold, F. & Rudebusch, G. (1990). A Nonparametric Investigation of Duration Dependence in the American Business Cycle. Journal of Political Economy, 98(3), 596-616.
- Diebold, F., Rudebusch, G. & Sichel, D. (1990). International evidence on business cycle duration dependence. Institute for Empirical Macroeconomics, DP 31.
- Faaljou, H.R. & Seyed Ahmadi, S.G. (2015). The Impact of Financial Crises on Duration of Economic Recession in Iran (Duration Models Approach). Ravand Journal, 72, 104-83. (In Persian)
- Fazel, M., Tavakoli, A. & Rajabi, M. (2013). Comparing the Performance of ARIMA and MS-AR Models to Forecast Business Cycles in Iran. Journal of Economical Modeling, 7(22), 63-81 (In Persian).
- Fazel, M., Azarbayjani, K. & Emadzadeh, M. (2021). Investigating the Factors Affecting the Risk of Recession Relapse in Selected Sanctioned Countries: The Survival Analysis Approach. Journal of Economics and Modeling, 12(2), 65-91 (In Persian).
- Feshari, M. (2016). The Effective Factors on Survival Duration of Economic Expansion in Selected Countries of Islamic Cooperation Organization (Survival Analysis Approach). Economic Modeling, 10(35), 97-120 (In Persian).
- Haberler, G. (1963), Prosperity and Depression. 4th edn, New York: Atheneum.
- Hamilton, J.D. (1989). A new Approach to the Economic Analysis of Non-stationary Time Series and the Business Cycle, Econometrica, 357–384.
- Kavkler, A., Daniela, E. & Babuca, G.A. (2009). Cox regression models for unemployment duration in Romania, Austria, Slovenia, Croatia and Macedonia. Romanian Journal of Economic Forecasting, 2, 81-104.
- Khalili Araghi, M. & Souri, A. (2014). Modern Macroeconomics (Its origins, Development and Current state). The Organization for Researching and Composing University (SAMT). (In Persian)
- Kleinbaum, D.G. & Mitchel, K. (2005). Survival Analysis: A Self-Learning Text. Springer-Verlag, New York
- Kontolemis, Z.G. (1999). Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model. IMF Working Paper. 1-19.
- Long, J.B. & Plosser, C.I. (1983). Real business cycles. Journal of Political Economy, 91(1), 39-69.
- Morten, O.R. & Uhlig, H. (2002). On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations. The Review of Economics and Statistics, 84(2), 371–380.
- Nelson, C.R. & Plosser, C.I. (1982). Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications. Journal of Monetary Economics, 10(2), 139–162.
- Zanjiran F. & Motarjem, K. (2019). Modeling Factors Affecting Unemployment Duration Using Survival Analysis. Iranian Journal of Official Statistics Studies, 30(2), 542-568 (In Persian).
- Sichel, D. (1991). Business Cycle Duration Dependence: A Parametric Approach. Review of Economics and Statistics, 73(2), 254-260.
- Taiebnia, A. & Taghi mollaei, S. (2017). Some Stylized Facts of Business Cycles in Iran. Qjerp, 24 (80), 57-84 (In Persian).