پایداری بدهی دولت در ایران: شواهدی از الگوی رگرسیون آستانه‌ای

نوع مقاله : مقاله پژوهشی

نویسندگان

1 گروه اقتصاد دانشکده علوم اقتصادی و اداری دانشگاه مازندران

2 عضو هیات علمی دانشگاه مازندران

چکیده

بحران مالی سالهای 2008-2007 و هزینه ناشی از اصلاح سیاست‌های مالی، بیش از پیش بر اهمیت بحث "پایداری بدهی دولت" در ادبیات اقتصادی افزوده است. بر این اساس پژوهش حاضر تلاش کرده است تا با استفاده از الگوی رگرسیون انتقال ملایم (STR) و داده‌های دوره زمانی 1393-1350، به بررسی پایداری بدهی دولت در قالب "تابع واکنش مالی" بپردازد. نتایج حاصل از برآورد الگوی رگرسیون آستانه‌ای، ضمن لحاظ یک ساختار دو رژیمی برای تابع واکنش مالی دولت، نشان می‌دهد در رژیم اول (هنگامی که نسبت بدهی خارجی دولت به تولید ناخالص داخلی کمتر از 90/3 درصد است) واکنش دولت در برابر بدهی به بانک مرکزی و بدهی به بانک‌ها و سایر موسسات مالی غیربانکی داخلی از پایداری لازم برخوردار نیست. اما در رژیم دوم (هنگامی که نسبت بدهی خارجی دولت به تولید ناخالص داخلی بیشتر از 90/3 درصد است) واکنش دولت به هر سه نوع بدهی (بدهی به بانک مرکزی، بدهی به بانک‌ها و سایر موسسات مالی غیربانکی داخلی و بدهی خارجی) پایدار بوده، اگرچه ضرایب کوچک برآورد شده نشان دهنده یک پایداری ضعیف است. بنابراین، با توجه به اثرگذاری سطح بدهی دولت بر رشد اقتصادی از کانال‌های متعدد، لازم است "پایداری بدهی دولت"، به عنوان یک متغیر اصلی در تابع هدف سیاست‌های مالی دولت ایران لحاظ شود.

کلیدواژه‌ها

عنوان مقاله [English]

Government Debt Sustainability in Iran: Evidence from a Threshold Regression Model

نویسندگان [English]

  • Ahmad Jafarisamimi 1
  • Saeed Karimi Potanlar 2
  • Jalal Montazeri Shoorekchali 1
1 Department of Economics, Faculty of Economics and Administrative Science, University of Mazandaran
2 Department of Economics, Faculty of Economics and Administrative Science, University of Mazandaran
چکیده [English]

The financial crisis during 2007-2008 and the cost of fiscal policy reform, increasingly revealed the importance of "government debt sustainability" in economic literature. Accordingly, this paper examines "government debt sustainability" based on a nonlinear fiscal reaction function. For this purpose, a fiscal reaction function has been estimated using a Smooth Transition Regression (STR) model in Iran for the period 1971-2014. The findings support a threshold behavior of two regimes in the fiscal reaction functions. In addition, the results indicate that in the first regime (when the ratio of government foreign debt to GDP is less than 3.90%), the government reaction to central bank and domestic banks and non-bank financial institutions debts are not sustainable.  However, in the second regime (when the ratio of government foreign debt to GDP is greater than 3.90%), the government reaction to all three types debt (central bank, domestic banks and non-bank financial institutions and foreign debts) are sustainable. Therefore, due to the impact of public debt on economic growth through various channels, it is necessary that "debt sustainability" be considered as a main variable in the objective function of fiscal policies in Iran.

کلیدواژه‌ها [English]

  • Debt Sustainability
  • Fiscal Reaction Function
  • Government Debt
  • business cycles
  • Iran

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