نوع مقاله : مقاله پژوهشی
نویسندگان
دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران.
10.22099/ijes.2022.42396.1802
چکیده
در این مطالعه، رابطه علیت گرنجری بین شاخص استرس مالی و بازارهای مالی با استفاده از آزمون های علیت گرنجری متغیر طی زمان مورد بررسی قرار گرفته است. در این راستا، بعد از محاسبه شاخص استرس مالی با استفاده از روش انحراف معیار غلتان، رابطه علی بین این متغیر و متغیرهای قیمت طلا، نرخ ارز و نیز شاخص قیمت سهام طی دوره زمانی سپتامبر 2005 تا دسامبر 2019 با به کارگیری آزمون های علیت متغیر طی زمان و تخمین زننده های forward، rolling و recursive ارزیابی و براورد شده است. همچنین، در جهت تحلیل حساسیت، همه تخمین ها با لحاظ وجود ناهمسانی واریانس در سری های زمانی مجددا انجام یافت. با توجه به ماهانه بودن داده های مورد استفاده و احتمال بالای وجود ناهمسانی واریانس، نتایج حاصل از تخمین ها با لحاظ ناهمسانی واریانس دارای اعتبار بیشتری هستند. بر اساس نتایج مهم حاصل از تخمین مدل ها می-توان استدلال کرد که شاخص استرس مالی، علت نوسانات بازار طلا در ایران بوده ولی علیت گرنجری بازارهای ارز و سهام نیست.
کلیدواژهها
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