بررسی اثر شوک‌های ساختاری (نرخ سود بین بانکی، نقدینگی و درآمدهای نفتی) بر رشد اقتصادی و تورم در ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشیار گروه اقتصاد نظری دانشکده اقتصاد دانشگاه علامه طباطبایی، تهران، ایران

2 استادیار گروه برنامه‌ریزی و توسعه اقتصادی دانشکده اقتصاد دانشگاه علامه طباطبایی، تهران، ایران

3 کارشناس‌ارشد اقتصاد دانشکده اقتصاد دانشگاه علامه طباطبایی، تهران، ایران

10.48308/jem.2025.237266.1946

چکیده

نوسانات رشد اقتصادی و تورم تأثیرات زیان‌باری بر اقتصاد یک کشور دارند. از این رو شناخت علل ایجاد این نوسانات از اهمیت بالایی برخوردار است. هر چند مطالعات محدودی در داخل به نقش نرخ بهره در نوسانات اقتصادی پرداخته‌اند، اما در هیچ‌یک از آن‌ها، نرخ سود بین ‌بانکی که معیار دقیق‌تری در مقایسه با نرخ سود تسهیلات یا سپرده است، مورد استفاده قرار نگرفته است. لذا هدف مقاله حاضر، بررسی اثر شوک‌های ساختاری نرخ بهره (نرخ سود بین بانکی)، حجم نقدینگی و درآمد نفتی بر رشد اقتصادی و تورم با استفاده از داده‌های فصلی اقتصاد ایران در دوره 1387:1 الی 1402:4 در چارچوب الگوی خودرگرسیون برداری ساختاری است. یافته‌ها حاکی از آن است که نخست، براساس توابع واکنش آنی، شوک نرخ بهره (نرخ سود بین بانکی) باعث کاهش معنادار رشد اقتصادی در دوره‌های اولیه می‌شود، هر چند تأثیر آن در بلندمدت ناچیز است. دوم، شوک درآمد نفتی و شوک حجم نقدینگی اثر مثبت بر رشد اقتصادی در دوره‌های اولیه بر جای می‌گذارد و اثر شوک درآمد نفتی در مقایسه با شوک حجم نقدینگی، پایدارتر و قوی‌تر است. سوم، شوک نرخ بهره (نرخ سود بین بانکی) باعث افزایش تورم در دوره‌های اولیه می‌شود. چهارم، شوک درآمد نفتی و شوک حجم نقدینگی باعث افزایش تورم می‌گردند، هرچند اثر شوک حجم نقدینگی بر تورم پایدارتر است. با عنایت به این که شوک‌های نقدینگی صرفاً در کوتاه‌مدت بر رشد اقتصادی اثرگذار بوده و در بلندمدت منجر به تورم می‌شوند و همچنین شوک‌های نرخ بهره، تأثیر منفی بر رشد اقتصادی در کوتاه‌مدت داشته و در بلندمدت نیز به تورم دامن می‌زنند، لذا پیروی از قواعد پولی و اجتناب از سیاست‌های صلاحدیدی پیشنهاد می‌شود.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Investigating the Impact of Structural Shocks (Interbank Interest Rate, Liquidity, and Oil Revenues) on Economic Growth and Inflation in Iran

نویسندگان [English]

  • Parisa Mohajeri 1
  • Reza Talebloo 1
  • Ali Arabmazar Yazdi 2
  • Shokrolah Kolahkaj 3
1 Associate Professor of Economics, Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran
2 Associate Professor of Economics, Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran
3 MA in Economics, Faculty of Economics, Allameh Tabataba’i University, Tehran, Iran
چکیده [English]

Fluctuations of economic growth and inflation pose significant challenges for national economies, highlighting the importance of understanding their underlying causes. While some studies have explored the role of interest rates in economic fluctuations in Iran, none have specifically utilized the interbank interest rate, which provides a more accurate measure than deposit or loan rates. This study aims to analyze the impact of structural shocks -specifically those from the interbank interest rate, liquidity, and oil revenue- on economic growth and inflation in Iran. Using seasonal data from 2008:2 to 2024:1 within a structural vector autoregressive model, the findings reveal the following: First, an interest rate shock (interbank interest rate) significantly reduces economic growth in the short run, though the effect becomes negligible in the long term. Second, oil revenue and liquidity shocks have a positive impact on economic growth in the short term, with oil revenue exerting a more stable and pronounced influence than liquidity. Third, an interest rate shock causes a significant rise in inflation in the short term; and fourth, both oil revenue and liquidity shocks lead to increased inflation, with the inflationary effect of liquidity shocks being more persistent over time. Since liquidity shocks only affect economic growth in the short term and lead to inflation in the long term, and interest rate shocks also have a negative impact on economic growth in the short term and exacerbate inflation in the long term, it is recommended to follow monetary rules and avoid discretionary policies.

کلیدواژه‌ها [English]

  • Structural Shocks
  • Economic Fluctuations
  • Structural Vector Autoregressive Model
  • Interbank Interest Rate

مراجع

  • Aghaei, K., Jabari, A., & Karimi, M. (2007). An Analysis of the Sources of Macroeconomic Fluctuations in Iran with an Emphasis on the Real Exchange Rate during 1970-2005. Economic Research Quarterly, (2), 41-61 (In Persian).
  • Agrawal, U. (2019). The fall of Venezuela: An Oil Crisis. Emory Economics Review. (31) 43-58.
  • A.H, & Pentecost. Eric J (2012). Identifying Aggregate Supply and Demand Shocks in Small Open Economies: Empirical Evidence from African Countries. International Review of Economics and Finance, (21), 272–291.
  • Arab Mazar, A., & Golmoradi, H. (2010). Examining the Effects of Structural Shocks on Macroeconomic Fluctuations in Iran. Journal of Economics and Modeling, 1(1), 41-80 (In Persian).
  • A., & Dorta. M. (2004). Sources of Macroeconomic Fluctuations in Venezuela, Banco Central de Venezuela. Vicepresidencia de Estudios Oficina de Investigaciones Economicas, 1-28
  • Bernanke, B. S., & Blinder, A. S. (1992). The Federal Funds Rate and the Channels of Monetary Transmission. American Economic Review, 82(4), 901-921.
  • Blanchard, O., & Quah. D. (1988). The Dynamic Effects of Aggregate Demand and Supply Disturbances. NBER Working Papers. No 2737.
  • Blanchard, O.J., & Watson, M. W. (1986), Are Business Cycles All Alike? Gordon, Robert (Ed.), The American Business Cycle: Continuity and Change, University of Chicago Press, Chicago.
  • Christiano, L. Eichenbaum, M., & Evans, C. (1999), Onetary Policy Shocks: What Have We Learned and to What End? In: J.B Taylor and M. Woodford (eds), Handbook of Macroeconomics, Vol. 1.
  • Dargahi, H., & Sedaghat-Parast, E. (2013). Examining the Effects of Price and Policy Shocks on Production and Inflation in the Iranian Economy: An SVA Approach. Journal of Economics and Modeling, 4(13), 1-33 (In Persian).
  • Dibooglu S., & Eisa, A. (2004). Oil Price, Trade Shocks and Macroeconomic Fluctuations in Saudi Arabia. Contemporary Economic Policy, 21(1), 50-62.
  • M., & Nautz. D. (2021). Long-term Inflation Expectations and the Transmission of Monetary Policy Shocks: Evidence from a SVAR Analysis. Journal of Economic Dynamics & Control, (130), 104-192.
  • Di Pietro, M., & Saltari, E. (2018). Economic Fluctuations in the US and Euro Area: Quantifying the Contribution of Technical Change. Southern Economic Journal, 85(1), 203-216.
  • N., Cota. B., & Jakšić. S. (2012). Impact of Macroeconomic Shocks on Real Output Fluctuations in Croatia. Zagreb International Review of Economics & Business, (15), 69-78
  • Fischer, S., & Dornbusch, R. (1992). Macroeconomics (M. H. Tizhoosh-Taban, Trans.). Soroush Publications.
  • Fischer, S. (1977). Long-Term Contracts, Rational Expectations, and the Optimal Money Supply Rule. The Journal of Political Economy, 85(1) 191-205.
  • Friedman, M. (1968). The Role of Monetary Policy. American Economic Review, 58, 1-17.
  • F., Ravazzolo. F., & Sarferaz. S. (2014). Identification of Financial Factors in Economic Fluctuations. KOF Working Papers, (364), 1-55.
  • Glasner, D. (1997), Business Cycles and Depressions: An Encyclopedia, Garland Publishing, Inc.
  • Gorji, E., & Madani, S. (2003). Examining the Role of Economic Stability on Economic Growth Performance in Iran using Simultaneous Equations Systems. Business Research Quarterly, (25), 21-24 (In Persian).
  • Hamilton, J. D. (2011). Historical Oil Shocks. The Energy Journal, 32(1), 1-22.
  • Hoffmaister, A. Jore, W. & Roldos, E. (1997). Are Business Cycles Different in Asia and Latin American? IMF Working Paper
  • M., Lee. J., & Zhao. M. (2020). Economic Fluctuations, Volatility Changes and the Role of Government Spending in China: A Structural Analysis. Wiley/pacific Economic Review, 25(4), 512-538.
  • Kanczuk, Fabio (2004). Real Interest Rates and Brazilian Business Cycles. Review of Economic Dynamics, (7), 436–455.
  • Karras, G. (1993). Sources of U.S. Macroeconomic Fluctuations: 1973–1989. Journal Of Macroeconomics, 15(1), 47-68.
  • Karras, G. (1994). Source of Business Cycles in Europe: 1960-1988. European Economic Review, 38(9), 1763-1778.
  • Kilian, L. (2009). Not all oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude oil Market. American Economic Review, 99(3), 1053-1069.
  • Korley, M., & Giouvris, E. (2022). The Impact of oil Price and oil Volatility Index (OVX) on the Exchange Rate in Sub-Saharan Africa. Economies, 10(11), 272.
  • Kpughur Tule. M., Funmilade Onipede. S., & Uwawunkonye Ebuh. G. (2020). Monetary and Fiscal Policy Mix in a Small Open Economy: Evidence from Nigeria. Scientific African (8), 300-346.
  • Lacheheb, M., & Sirag, A. (2019). Oil Price and Inflation in Algeria: A Nonlinear ARDL Approach. The Quarterly Review of Economics and Finance, (73), 217-222.
  • Letendre, M., & Obaid, S. (2020). Emerging Economy Business Cycles: Interest rate Shocks vs Trend Shocks. Economic Modelling (93), 526–545.
  • X. (2021). On Fiscal and Monetary Policy-Induced Macroeconomic Volatility Dynamics. Journal of Economic Dynamics & Control (127), 104-123.
  • Lucas, R. E. (1977). Understanding Business Cycles, in: K. Brunner & A. H. Meltzer (eds.) Stabilization of the Domestic and International Economy. Amsterdam and New York: North Holland, 306-327.
  • Lütkepohl. H., & Netshunaev. A. (2017). Structural Vector Autoregressions with Smooth Transition in Variances. Journal of Economic Dynamics & Control (84), 43–57.
  • Mankiw, N.G. (1989). Real Business Cycles: A New Keynesian Perspective. Journal of Economic Perspectives, 3(2), 79-90.
  • Mertens, E. (2010). Structural Shocks and the Co-movements between Output and Interest Rates. Journal of Economic Dynamics & Control (34), 1171–1186.
  • Mehrara, M., & Niki Oskoui, K. (2007). The Sources of Macroeconomic Fluctuations in Oil Exporting Countries: A Comparative Study. Economic Modelling, 24(3) 365-379.
  • Neumeyer, P. A., & Perri, F. (2005). Business Cycles in Emerging Economies: the Role of Interest rates. Journal of Monetary Economics (52), 345–380.
  • Pradhan, R. P., Arvin, M. B., & Ghoshray, A. (2015). The Dynamics of Economic Growth, Oil Prices, Stock Market Depth, and other Macroeconomic Variables: Evidence from the G-20 Countries. International Review of Financial Analysis, (39), 84-95.
  • Prieto, E., Eickmeier, S., & Marcellino, M. (2016). Time Variation in Macro-Financial Linkages. Journal of Applied Econometrics, 31(7), 1215-1233.
  • Qelich, V., & Shakeri, A. (2015). Factors Affecting Business Cycles in Iran’s Economy: A Structural Vector Autoregression Model. Monetary and Banking Research Journal, 25, 455-480 (In Persian).
  • Rahaman, A., & Leon-Gonzalez, R. (2021). The Effects of Fiscal Policy Shocks in Bangladesh: An Agnostic Identification Procedure. Economic Analysis and Policy (71), 626–644.
  • S. (2007). Maintaining low Inflation: Money, Interest Rates, and Policy Stance. Journal of Monetary Economics (54), 1441–1471.
  • Sadeghi, H., Shahab Lavasani, K., & Baghjeri, M. (2010). The Effects of Energy Price Adjustments on Macroeconomic Variables using a Structural Autoregression Model. Economic Modeling Research Quarterly, (1), 49-76 (In Persian).
  • Shahbazi, K., & Kalantari, Z. (2012). The Effects of Monetary and Fiscal Policy Shocks on Housing Market Variables in Iran: An SVAR Approach. Economic Research and Policy Quarterly, 20(61), 77-104 (In Persian).
  • Shaukat, B., Zhu, Q., & Khan, M. I. (2019). Real Interest Rate and Economic Growth: A Statistical Exploration for Transitory Economies. Physica A (534), 122-193.
  • Y., & Dibooglu. S. (2006). The Exchange Rate System and Macroeconomic Fluctuations in Sub-Saharan Africa. Economic Systems, 30(2), 141-156.
  • G, & Almahadin. H. A. (2021). Does Interest Rate and its Volatility Affect Banking Sector Development? Empirical Evidence from Emerging Market Economies. Research in International Business and Finance (58), 1-11.

فایل ها

هم رسانی

ارجاع به این مقاله

آمار