اثر بی‌ثباتی نرخ ارز بر رشد اقتصادی تحت رژیم‌های مختلف ارزی و ساختار مالی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد، دانشکده اقتصاد، مدیریت و بازرگانی، دانشگاه تبریز، تبریز، ایران

2 استاد گروه اقتصاد، دانشکده اقتصاد، مدیریت و بازرگانی، دانشگاه تبریز، تبریز، ایران

10.29252/ecoj.10.3.75

چکیده

این پژوهش به بررسی نقش رژیم­های ارزی و ساختار مالی بر رابطه بین بی‌ثباتی نرخ ارز و رشد اقتصادی می‌پردازد. هدف اصلی این است که علیرغم این که بی‌ثباتی نرخ ارز می‌تواند بر عملکرد متغیرهای کلان اقتصادی اثر منفی بگذارد، اما ساختار مالی همانند یک کانال می‌تواند، اثر این بی ثباتی را تغییر دهد. برای بررسی این رابطه، داده‌های 53 کشور با رژیم ارزی شناور و ثابت طی بازه زمانی 2016-1987 در نظر گرفته شده است. به منظور برآورد بی‌ثباتی نرخ ارز از الگوی واریانس ناهمسانی شرطی اتورگرسیو تعمیم یافته و برای تشخیص اثر بی‌ثباتی ارز بر رشد اقتصادی از روش پویای گشتاورهای تعمیم یافته استفاده شده است. نتایج حاصل نشان می‌دهد که در کشورهای با رژیم ارزی شناور، اثر بی‌ثباتی نرخ ارز بر رشد اقتصادی در ساختار مالی بانک محور منفی بوده و با افزایش سطح شاخص ساختار مالی از یک سطح آستانه ای، اثر مثبت بی‌ثباتی نرخ ارز بر رشد تولید ناخالص داخلی مشاهده شده است. پس می‌توان نتیجه گرفت که کشورهای با رژیم ارزی شناور در بلندمدت با انتقال نظام مالی از بانک محور به بازار محور می‌توانند از اثرات نامطلوب بی‌ثباتی نرخ ارز جلوگیری کنند.

کلیدواژه‌ها


عنوان مقاله [English]

The Impact of Exchange Rate Volatility on Economic Growth under Different Exchange Rate Regimes and Financial Structures

نویسندگان [English]

  • Elham Mohammadi 1
  • Ali Reza Kazerooni 2
  • Hossein Asgharpur 2
1 Ph.D Candidate in Economics, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran
2 Professor of Economics, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran
چکیده [English]

This paper examines the role of different exchange rate regimes and financial structures on nexus between  exchange rate volatility on economic growth. The main goal is that, despite the fact that the exchange rate volatility can negatively affect the performance of macroeconomic variables, the financial structure, like a channel, can change the effect of these volatility. To investigate this relationship, information of 53 countries with floating and fixed exchange rate regimes in the period of 1980-2016 are considered. GARCH technique is used to estimate exchange rate volatility and Difference GMM technique for estimating the model. Based on the results of the estimation for the whole of the selected countries, the financial structure has a positive and significant effect on economic growth and decreases the negative effect of the exchange rate volatility on economic growth, but with a separate estimate for countries with fixed and floating exchange rate regimes, The results indicate that the financial structure index has a positive and significant effect on the economic growth of countries with floating exchange regime. Therefore it can be argued that countries with floating exchange rate regime in the long run with the transfer of the financial system from the bank-based to the market-based can prevent the adverse effects of exchange rate volatility, but for countries with fixed exchange rate regime, has no significant effect.

کلیدواژه‌ها [English]

  • Dynamic Panel
  • Exchange rate volatility
  • Economic Growth
  • financial structure
- Aghion, P., Bacchetta, P., Ranciere, R., & Rogoff, K. (2009). Exchange rate volatility and productivity growth: The role of financial development. Journal of monetary economics, 56(4), 494-513.
- Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The review of economic studies, 58(2), 277-297.
- Barguellil, A., Ben-Salha, O., & Zmami, M. (2018). Exchange rate volatility and economic growth. Journal of Economic Integration, 33(2), 1302-1336.
- Bain, K., & Howells, P. (2005). The Economics of Money, Banking and Finance–A European Text, 3. FT Prentice Hall.
- Bristy, H. J. (2014). Impact of financial development on exchange rate volatility and long-run growth relationship of Bangladesh. International Journal of Economics and Financial Issues, 4(2), 258-263.
- Bigi, A., Bahmani, M. & Jalai Esfand Abadi, A. (2018). The effect Exchange rate volatility on the productivity growth: The role of financial development.  Quarterly Journal of Economics and Modelling , 35, 35-61(In Persin).
- Chit, M., & Judge, A. (2009). The Role of Financial Sector Development on the Impact of Exchange Rate Volatility and Exports: Evidence from the emerging East Asian economies. International Review of Applied Economics, 25(1), 107-119.
- Combes, J. L., Kinda, T., Ouedraogo, R., & Plane, P. (2019). Financial flows and economic growth in developing countries. Economic Modelling, 83(C), 195-209
- Gerschenkron, A. (1962). Economic backwardness in historical perspective: a book of essays (No. 330.947 G381). Cambridge, MA: Belknap Press of Harvard University Press.
- International Monetary Fund. (2014). Annual Report on Exchange Arrangements and Exchange Restrictions, October.
- Khatai, M., & Mousavi Nick, S . (2008).The effect of Exchange Rate Volatility on economic growth with regard to the level of development of financial markets. Iranian Economic, 37, 1-20 (In Persin).
- Komijani, A., & Ebrahimi, S. (2013). The effect of Exchange Rate Volatility on productivity growth in developing countries in terms of financial development level. Journal of Applied Economic Studies in Iran, 2(6), 1-27 (In Persian).
- Levy-Yeyati, E., & Sturzenegger, F. (2005). Classifying exchange rate regimes: Deeds vs. words. European economic review, 49(6), 1603-1635.
- Luintel, K., Khan, M., Arestis, P., & Theodoridis, K. (2008). Financial structure and economic growth. Working Papers.
- Levine, R., Loayza, N., & Beck, T. (2002). Financial intermediation and growth: causality and causes. Journal of Monetary Economics, 46 (1), 31–77.
- Mussa, M., Masson, P., Swoboda, A., Jadresic, E., Mauro, P., & Berg, A. (2000). Exchange rate regimes in an increasingly integrated world economy (Vol. 193). Washington, DC: International monetary fund.
- Pedram, M., & Hafezian, F. (2016). Investigating the role of financial development in the relationship between exchange rate and productivity growth (with emphasis on capital market development). Fiscal and Economic Policy Quarterly, 15, 7-22 (In Persin).
- Rodriguez, C. M. (2017). The growth effects of financial openness and exchange rates. International Review of Economics & Finance, 48, 492-512.
- Shahabudini, H. (2013). financial structure. New Economy, 136, 205-207.
- Slavtcheva, D. (2015). Financial development, exchange rate regimes and productivity growth: Theory and evidence. Journal of Macroeconomics, 44, 109-123.