تحلیل زمان- فرکانس درجه عبور قیمت نفت و نوسان‌های آن به تورم در ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 کارشناس‌ارشد گروه اقتصاد دانشکده علوم اجتماعی، اقتصاد و حسابداری دانشگاه رازی، کرمانشاه، ایران

2 دانشیار گروه اقتصاد دانشکده علوم اجتماعی، اقتصاد و حسابداری دانشگاه رازی، کرمانشاه، ایران

10.48308/jem.2025.236195.1929

چکیده

یکی از ویژگی‌های کشورهای صادر‌کننده نفت نظیر ایران، وابستگی ساختار اقتصادی به درآمدهای حاصل از صادرات نفت است که این وضعیت موجب تأثیرپذیری اقتصاد ایران از شرایط رکود یا رونق حاکم بر اقتصاد جهانی می‌گردد. در این حالت، نوسانات شدید قیمت نفت می‌تواند تورم را تحت تأثیر قرار دهد. در این تحقیق ویژگی‌های زمان-فرکانس رابطه قیمت نفت-تورم و تلاطم قیمت نفت-تورم با رویکرد تحلیل موجک و با استفاده از داده‌های ماهانه طی دوره زمانی 2020-1980 بررسی می‌شود. نتایج نشان می‌دهد که در کوتاه‌مدت همبستگی مثبت، هم‌فاز و معنادار بین قیمت نفت و تورم وجود دارد. با این وجود در برخی سال‌ها، همبستگی منفی‌ و غیر هم‌فاز برقرار بوده است به طوریکه با گذشت زمان و در میان‌مدت و بلند مدت همبستگی بین دو سری از میان رفته است. همچنین همبستگی مثبت و معنادار بین نوسان قیمت نفت و تورم وجود دارد و پس از کنترل اثر رشد نقدینگی، همبستگی قیمت نفت و نوسانان آن با تورم تشدید شده است. لذا پیشنهاد می‌شود وابستگی کشور به درآمدهای نفتی به حداقل مقدار ممکن کاهش یابد.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Time-Frequency Analysis of Oil price and its Volatility Pass-Through into Inflation in Iran

نویسندگان [English]

  • Zahra Hemati 1
  • Shahram Fattahi 2
  • Mojtaba Almasi 2
1 MA in Economics, Faculty of Social Sciences, Economics and Accounting, Razi University, Kermanshah, Iran
2 Associate Professor of Economics, Faculty of Social Sciences, Economics and Accounting, Razi University, Kermanshah, Iran
چکیده [English]

One of the characteristics of oil-exporting countries like Iran is the dependence of the economic structure on the income from oil exports, which causes the Iranian economy to be affected by the conditions of recession or boom prevailing on the world economy. In this case, extreme oil price fluctuations can affect inflation. In this research, the time-frequency characteristics of the oil price-inflation relationship and oil price-inflation volatility with wavelet analysis approach and monthly data are investigated for the period 1980-2020. The results show that there is a positive, in-phase and significant coherence between inflation and oil prices in the short term. However, in some years, a negative and out-of-phase correlation has been established, so that with the passage of time and in the medium and long term, the coherence between the two series has disappeared. Also, there is a positive and significant correlation between inflation and oil price volatility and by controlling the effect of liquidity growth, the correlation of oil price and oil price volatility with inflation has intensified. Therefore, it is suggested to reduce the country's dependence on oil revenues to the minimum possible amount.

کلیدواژه‌ها [English]

  • Time-Frequency Analysis
  • Oil Price
  • Volatility
  • Inflation

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