اثر یکپارچگی مالی بین‌المللی بر تلاطم اقتصاد کلان در ایران: رهیافت الگوی تلاطم تصادفی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار گروه اقتصاد دانشکده علوم انسانی دانشگاه بجنورد، خراسان شمالی، ایران

2 دانشجوی دکتری اقتصاد دانشکده اقتصاد و علوم سیاسی دانشگاه شهید بهشتی، تهران، ایران

10.29252/ecoj.10.3.201

چکیده

هدف اصلی مقاله حاضر بررسی اثر یکپارچگی مالی بین‌المللی بر تلاطم اقتصاد کلان است. نظریه­ های اقتصادی به­وضوح اثرات یکپارچگی مالی را بر تلاطم اقتصاد کلان نشان نمی­دهند، لذا مسأله مذکور اساساً یک مسأله تجربی است. از­این­رو، با ارائه یک الگوی تجربی، اثر یکپارچگی مالی بین‌المللی بر تلاطم اقتصاد کلان در ایران در بازه زمانی 1395-1352 آزمون گردید. برای این منظور، ابتدا تلاطم اقتصاد کلان با استفاده از الگوی تلاطم تصادفی و روش تجزیه مؤلفه‌های اصلی محاسبه گردید. نتایج نشان می‌دهد که در بلندمدت، توسعه مالی بین­المللی، یکپارچگی مالی و تلاطم رابطه مبادله بر تلاطم اقتصاد کلان در ایران اثر مثبت دارند، درحالی‌که اثر باز بودن تجارت بر تلاطم اقتصاد کلان در ایران منفی است. در کوتاه‌مدت نیز رابطه معناداری بین متغیرهای مورد نظر و تلاطم اقتصاد کلان وجود ندارد.

کلیدواژه‌ها

عنوان مقاله [English]

The Effects of International Financial Integration on Macroeconomic Volatility in Iran: A Stochastic Volatility Model Approach

نویسندگان [English]

  • Majid Dashtban Farooji 1
  • Abdollah khoshnoodi 1
  • Behnam Elyaspour 1
  • Sahar Dashtban Farooji 2
1 Assistant Professor of Economics, School of Humanities, University of Bojnord, Iran
2 Ph.D Candidate in Economics, Faculty of Economics and Political Sciences, Shahid Beheshti University, Tehran, Iran
چکیده [English]

The main purpose of this paper is to examine the effects of financial integration on macroeconomic volatility in Iran. Economic theories do not clearly explain the effects of financial integration on macroeconomic volatility and this is essentially an empirical problem. Hence, we have presented an empirical model to test the effect of international financial integration on macroeconomic volatility in Iran over the period 1973-2016. For this purpose, first, the macroeconomic uncertainty was extracted using stochastic volatility model with leverage effects and using the principal component analysis method. The results show that in the long run, international financial development, international financial integration, and terms of trade volatility have a positive effect on macroeconomic volatility in Iran, while the effect of trade openness on macroeconomic volatility in Iran is negative. In addition, in the short run, there is no significant relationship between the relevant variables and macroeconomic volatility.

کلیدواژه‌ها [English]

  • Financial Integration
  • Macroeconomic Volatility
  • Stochastic Volatility Model
  • Iran

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