تحلیل اثرات نامتقارن نرخ ارز بر شاخص قیمت سهام بورس اوراق بهادار تهران: رهیافت NARDL

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استاد گروه اقتصاد دانشکده علوم اداری و اقتصاد دانشگاه اصفهان

2 دانشجوی دکتری اقتصاد دانشکده علوم اداری و اقتصاد دانشگاه اصفهان

چکیده

بازار سهام، یکی از بارزترین نمونه‌های بازارهای مالی است که شناخت ماهیت، نحوه عملکرد و عوامل مؤثر بر آن همواره مورد توجه اقتصاددانان بوده است. در این بین، بازار ارز می‌تواند به عنوان یک رقیب برای بازار سهام در نظر گرفته شود و بسته به صادرات­ یا واردات­محور بودن اقتصاد، بر کشور و بازار سهام اثرگذار باشد. پژوهش‌های انجام‌شده‌‌ی تجربی اثرات نرخ ارز بر شاخص قیمت سهام را در هر دو شکل مثبت و منفی نشان­ داده­اند، بنابراین با توجه به اهمیت این موضوع، هدف این پژوهش تحلیل اثرات نامتقارن نرخ ارز بر شاخص قیمت سهام در دوره‌ی زمانی 3/1396-1/1380 با استفاده از داده‌های فصلی برای اقتصاد ایران است. بدین منظور، الگوی خود­رگرسیونی با وقفه توزیع شده‌ی غیرخطی برآورد شده و تأثیر متغیرهای نرخ ارز، نرخ بهره ، نقدینگی حقیقی و شاخص قیمت مصرف‌کننده بر شاخص قیمت سهام بررسی گردید. نتایج برآورد الگو حاکی از آن است که کاهش نرخ ارز اثر مثبت و معناداری در کوتاه‌مدت و بلندمدت بر شاخص قیمت سهام دارد، اما افزایش نرخ ارز در هر دو دوره اثر معناداری بر بازار سهام نداشته است. بنابراین نرخ ارز اثر نامتقارن بر شاخص قیمت سهام دارد.

کلیدواژه‌ها

عنوان مقاله [English]

Analyzing the Asymmetric Effects of Exchange Rate on the Stock Price Index of Tehran Stock Exchange: the NARDL Approach

نویسندگان [English]

  • Karim Azarbayjani 1
  • Mostafa Mobini Dehkordi 2
  • Alireza Kamalian 2
1 Professor of Economics, Faculty of Administrative Sciences and Economics, University of Isfahan
2 PhD Candidate in Economics, Faculty of Administrative Sciences and Economics, University of Isfahan
چکیده [English]

The stock market is one of the most prominent examples of financial markets, which has always attracted economists’ attentions in terms of understanding its nature, the mode of its performance, and factors affecting it. Meanwhile, the foreign exchange market can be considered as a competitor for the stock market and, depending on the export or import-based nature of the economy, may affect the country and the stock market differently. Empirical research has indicated positive and negative effects of the exchange rate on stock price index. Therefore, considering the significance of this issue, the aim of this study was to analyze the asymmetric effects of the exchange rate on stock price index in the period of 2001/1-2017/3using seasonal data for Iran's economy. To this end, the nonlinear autoregressive distributed lag (NARDL) model was estimated and the effects of exchange rate, interest rate, real liquidity and consumer price index on the stock price index were investigated. The results show that the decrease in the exchange rate has a positive and significant effect on the stock price index in the short and long-run, but the increase in the exchange rate in both periods has not significant effect on the stock market. Therefore, the exchange rate has an asymmetric effect on the stock price index.

کلیدواژه‌ها [English]

  • Stock Price Index
  • Asymmetry
  • Nonlinear Autoregressive Distributed Lag (NARDL)
  • Exchange rate

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