نویسندگان
رشته اقتصاد، دانشکده اقتصاد و مدیریت دانشگاه شهید باهنر کرمان
چکیده
این مطالعه تأثیر نوسانات نرخ ارز واقعی بر سرمایهگذاری استراتژیک شرکتها در ایران را بررسی می‌کند. بدین منظور داده‌های 92 شرکت پذیرفته شده در بورس اوراق بهادار تهران طی دوره زمانی 1380-1393 استفاده شده است. در این مقاله، نوسانات نرخ ارز از طریق مدل خودرگرسیونی تعمیم‌یافته (GARCH) برآورد و سپس روابط متقابل متغیرهای مدل با استفاده از دو روش GMM و GMM سیستمی بررسی شده است. مدل نظری با استفاده از تئوری Q توبین تجزیه و تحلیل شده است. نتایج حاصل نشان‌دهنده رابطه U شکل معکوس بین نوسانات نرخ ارز و سرمایهگذاری استراتژیک شرکتها است. نقطه آستانه در روش GMM برای متغیر نوسانات نرخ ارز 0.08 درصد و برای وقفه نوسانات نرخ ارز 0.13 درصد و در روش GMM سیستمی به ترتیب 0.05 درصد و 0.11 درصد محاسبه گردیده است. همچنین نتایج نشان می‌دهد که وقفه سرمایهگذاری و جریان نقدی اثر مثبت و معنیدار بر سرمایهگذاری دارند.
کلیدواژه‌ها
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