Government Spending Fluctuations and Their Effects on Value of Firms

Document Type : Research Paper

Authors

1 Faculty of Economics, University of Tehran, Tehran, Iran.

2 Ministry of Economic Affairs and Finance, Tehran, Iran.

Abstract

This paper investigates the fluctuations effect in government spending on the value of firms in preferred industries in the TSE. We employed the TVP-FAVAR method and analyzed seasonal data from 2011 to 2018. The findings indicate that the nature and intensity of the impact of government expenditure on value of firm vary across different sectors. This suggests that as circumstances change over time, the effects of fluctuations in government expenditure also evolve, and industries respond differently to these behavioral changes. Specifically, the value of firms in the automotive industry consistently showed a negative response throughout the entire period studied. In contrast, the food and beverage industry, as well as the pharmaceutical materials and products sector, exhibited a positive reaction to changes in government behavior. Furthermore, the impact of government spending on the chemical, plaster, cement, lime, base metals, and products industries fluctuated over time, with both positive and negative effects observed in the short run and long run. We recommend that the government take into account the status and performance of firms when formulating policies.

Keywords

Main Subjects


Article Title [Persian]

نوسانات مخارج دولت و آثار آن بر ارزش بنگاه‌ها

Authors [Persian]

  • سجاد برخورداری 1
  • رضا امیری 2
1 دانشکده اقتصاد، دانشگاه تهران، تهران، ایران.
2 وزارت امور اقتصاد و دارایی، تهران، ایران.
Abstract [Persian]

این مقاله آثار نوسانات در مخارج دولت بر ارزش بنگاه‌ها را در صنایع منتخب در بازار سهام تهران مورد بررسی قرار می‌دهد. روش TVP-FAVAR با استفاده از داده های فصلی برای دوره 2011-2018 استفاده شده است. نتایج بدست آمده نشان می‌دهد که ماهیت و شدت اثرات نوسان مخارج دولت بر ارزش بنگاه‌ها در صنایع مختلف، تغییر می کند. این نتیجه نشان می‌دهد به محض تغییر در زمان، اثرات نوسانات در مخارج دولت تغییر کرده و صنایع واکنش متقاوتی به این تغییرات رفتاری نشان می‌دهند. به‌طور ویژه، ارزش بنگاه‌ها در صنعت خودروسازی به طور سازگاری در کل دوره منفی است. در مقابل، واکنش صنعت خوراکی‌ها و آشامیدنی‌ها، همانند صنعت مواد و محصولات دارویی، به تغییرات در رفتار دولت مثبت است. بعلاوه، اثر مخارج دولت بر صنایع شیمیایی، گچ، سیمان، آهک، فلزات اساسی و فرآورده‌ها در طول زمان تغییر می‌کند و هر دو اثر مثبت و منفی در دوره کوتاه مدت و بلندمدت مشاهده گردید. بر اساس یافته‌ها این مقاله، پیشنهاد می‌شود که دولت وضعیت و عملکرد بنگاه‌ها را در سیاست‌گذاری اقتصادی خود مدنظر قرار دهد.

Keywords [Persian]

  • روش TVP-FAVAR
  • مخارج دولت
  • ارزش بنگاه
  • نوسانات
  • بازار سهام تهران (TSE)
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