نوع مقاله : مقاله پژوهشی

نویسندگان

1 دکتری اقتصاد، موسسه مطالعات و پژوهش‌های بازرگانی، تهران، ایران

2 دانشیار دپارتمان اقتصاد، دانشگاه مفید، قم، ایران.

3 استادیار دپارتمان اقتصاد، دانشگاه مفید، قم، ایران.

چکیده

در این تحقیق رابطه پویای نرخ ارز-تورم و همچنین وجود چرخه تشدیدشونده در اقتصاد ایران در دوره زمانی 1381:01- 1395:12 با استفاده از رویکرد تغییر رژیم مارکف بیزی در مدل خودتوضیح بردای مورد بررسی قرار گرفته است. بر این اساس وجود دو رژیم متفاوت تورمی(دارای واریانس‌های متفاوت) مورد تاکید قرار گرفته و نتایج توابع کنش- واکنش بیانگر وجود رابطه دوطرفه میان متغیرها در رژیم تورمی سطح پایین و یک رابطه انفجاری در رژیم تورمی سطح بالا است. در رژیم تورمی سطح پایین، واکنش تورم به شوک وارد شده به میزان یک انحراف معیار در نرخ ارز، مثبت و کمتر از یک و از طرف دیگر واکنش نرخ ارز به شوک تورمی به میزان یک انحراف معیار نیز مثبت اما برزگتر از حالت قبل است. همچنین رفتار انفجاری این توابع در رژیم تورمی سطح بالا حاکی از آن است که فرضیه چرخه تشدیدشونده در دوره موردبررسی در اقتصاد ایران صادق است.

کلیدواژه‌ها

عنوان مقاله [English]

Existence of Exchange Rate-Inflation Vicious Circle Hypothesis in Iran: A MSBVAR Approach

نویسندگان [English]

  • Mohammad hassan Saboori Deylami 1
  • Nasser Elahi 2
  • sayed Zia Aldin Kiaalhoseini 3
  • Mohammadreza Yousefi sheikh robaat 2

1 PhD in Economics, Institute for Trade Studies and Research (ITSR), Tehran, Iran.

2 Associate Professor, Economics Faculty, Mofid University, Qom, Iran

3 Assistant Professor, Economics Faculty, Mofid University, Qom, Iran

چکیده [English]

This paper examined the dynamic relationship between exchange rate and domestic inflation rate as well as the existence of vicious circle in Iran. The sample covers monthly data from 1381:01 to 1395:12 Solar Hijri (about 2002:04 – 2017:03). The model was estimated using Markov Switching Bayesian VAR approach and Gibbs sampling.
The empirical results confirm that there are two inflation regimes that vary in variances. The Impulse-Response Functions imply that there is a two-way linkage between these variables in the low inflation regime and the explosive behavior was experienced in the high inflation regime. The response of inflation to one standard
-deviation shock of the exchange rate is positive and less than unity in low inflation regime. And the reaction of the exchange rate to one standard-deviation shock of inflation is positive too but the later was larger than former. Although the explosive behavior in high inflation regime confirms the vicious circle hypothesis in Iran.

کلیدواژه‌ها [English]

  • Inflation
  • Exchange Rate
  • Vicious circle
  • Markov Switching Bayesian VAR
  • Gibbs Sampling

 

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