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نقش بی ثباتی قیمت نفت و نرخ ارز در بدهی دولت به شبکه بانکی: رهیافت مارکوف سویچینگ موجک بنیان | ||
| پژوهشنامه اقتصاد کلان Macroeconomics Research Letter | ||
| مقاله 12، دوره 14، شماره 27، شهریور 1398، صفحه 309-339 اصل مقاله (871.35 K) | ||
| نوع مقاله: علمی | ||
| شناسه دیجیتال (DOI): 10.22080/iejm.2020.17370.1715 | ||
| نویسندگان | ||
| پگاه زارعی1؛ امیر منصور طهرانچیان* 2؛ اسمعیل ابونوری3؛ وحید تقی نژادعمران2 | ||
| 1دانشجوی دکتری اقتصاد، دانشکده علوم اقتصادی و اداری، دانشگاه مازندران، بابلسر، ایران | ||
| 2دانشیار گروه اقتصاد، دانشکده علوم اقتصادی و اداری، دانشگاه مازندران، بابلسر، ایران | ||
| 3استاد گروه اقتصاد، دانشگاه سمنان، سمنان، ایران | ||
| تاریخ دریافت: 23 مهر 1398، تاریخ بازنگری: 12 دی 1398، تاریخ پذیرش: 12 بهمن 1398 | ||
| چکیده | ||
| در این پژوهش نقش بی ثباتی نرخ ارز و قیمت نفت در کنار مخارج جاری دولت بر بدهی دولت به شبکه بانکی با استفاده از الگوی چرخشی مارکف طی دوره زمانی 1397-1388 به صورت ماهانه بررسی شده است. برای استخراج نوسانات نرخ ارز، قیمت نفت و مخارج جاری دولت از الگوی تبدیل موجک استفاده شده است. نتایج پژوهش نشان می دهد تاثیر بی ثباتی نرخ ارز در رژیم های مختلف و دوره های زمانی گوناگون متفاوت است به گونه ای که در کوتاه مدت بی ثباتی نرخ ارز در رژیم بالای بدهی دولت به شبکه بانکی تاثیر متفاوتی نسبت به سایر دوره های زمانی دارد. همچنین بی ثباتی قیمت نفت و مخارج جاری دولت در تمامی ادوار و فارغ از رژیم بدهی تاثیر مثبت و معنادار دارند. این نتایج نشان می دهد که شبکه بانکی در راستای اعطای تسهیلات بایستی بی‌ثباتی بازارهای دارایی مختلف و همچنین رژیم بدهی بانکی دولت و افق زمانی را در نظر گیرد و همچنین تا زمانی که وابستگی اقتصاد به درآمدهای نفتی حداقل نگردد، انگیزه استفاده از نوسانات نرخ ارز در کوتاه مدت جهت واکنش به بدهی های دولت به شبکه بانکی می تواندوجود داشته باشد. | ||
| کلیدواژه‌ها | ||
| بی ثباتی نرخ ارز؛ بی ثباتی قیمت نفت؛ بدهی دولت به شبکه بانکی؛ الگوی چرخشی مارکف؛ الگوی تبدیل موجک | ||
| عنوان مقاله [English] | ||
| Assessing the Effects of Exchange rate and Oil Price Instability on Government Debt to the Banking System: Wavelet-based Markov Switching Model | ||
| نویسندگان [English] | ||
| pegah zarei1؛ Amirmansour Tehranchian2؛ Esmaeil Abounouri3؛ Vahid Taghinezhadomran2 | ||
| 1PhD student, Faculty of Economics and Administrative Sciences, Mazandaran University, Babilsar, Iran | ||
| 2Associate professor, Department of economics, University of Mazandaran, Babolsar, Iran | ||
| 3Professor, Department of Economics,, Semnan University, Semnan, Iran | ||
| چکیده [English] | ||
| In this research, the role of nominal exchange rate, current government expenditure and oil price volatilities on the government debt to the banking system was investigated by using Markov-Switching model during 1388-1397 monthly. To Extract the volatilities of Variables, we use wavelet transform. the evidence confirm that decomposition levels of variables is 3. The results show that the effect of exchange rate volatility in different regimes and different time periods is different, so that in the short run the exchange rate instability in the high regime of government debt to the banking system has a different effect rather than other time periods.In fact, according to the results, in short run exchange rate volatility in high regime of government debt has positive and signifcant effect on government debt to the banking system. Also, oil price instability and current government expenditure have a positive and significant impact on debt in all periods. These results suggest that the banking system in order to provide facilities should consider the instability of various asset markets and in addition government debt regimes and time horizons. As long as the economy's dependence on oil revenues is not decreased, there will be an incentive to use exchange rate volatility in the short run for decreasing the amount of government debt to banking system. | ||
| کلیدواژه‌ها [English] | ||
| Exchange rate Instability, Oil Price Instability, Government Debt to Banking System, Markov Switching Model, Wavelet Transform | ||
| مراجع | ||
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