نوع مقاله : مقاله پژوهشی
نویسندگان
چکیده
این مطالعه واکنش پویای فشار بازار ارز را به وضعیت‌های مختلف بازار ارز و تورم در اقتصاد ایران و طی دوره‌ی: 1396:04-1367:04 مورد تحلیل قرار می‌دهد. نتایج این مطالعه با در نظر گرفتن تورم به عنوان متغیر آستانه و با استفاده از مدل خودرگرسیون برداری آستانه‌ای (TVAR) نشان می‌دهد که در رژیم تورمی پایین متغیرهای باوقفه اثر معنی‌داری بر EMP ندارند اما در رژیم تورمی بالا، تورم اثر معنی‌داری برEMP دارد. همچنین، نتایج مطالعه با استفاده از مدل خودرگرسیون برداری چرخش مارکوف (MS-VAR) نشان می‌دهد که در معادلات تورم و EMP ضرایب خودرگرسیونی در تمام وقفه‌ها و در هر دو رژیم معنی‌دار هستند و این بر ثبات مدل برآورد شده تأکید می‌کند. نتایج آزمون علیت گرنجر بر پایه معادلات MS-VAR نشان می‌دهد زمانیکه EMP به رژیم بالا چرخش می‌کند تورم تأثیر معنی‌داری بر EMP دارد اما در رژیم‌هایی با سطح پایین EMP، تورم علت گرنجری EMP نخواهد بود. EMP در رژیم‌های تورمی پایین می‌تواند بر تورم اثرگذار باشد اگرچه EMP در رژیم‌های تورمی بالا علت گرنجری تورم نخواهد بود. بنابراین سیاستگذاران باید به این موضوع توجه کنند که افزایش EMP در رژیم‌های تورمی پایین نیز می‌تواند منجر به فشار بر قیمت‌ها شود.
کلیدواژه‌ها
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