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اثر شوکهای قیمت نفت بر بازده بازار سهام منتخبی از کشورهای صادرکننده نفت (رهیافت رگرسیون پارامترمتغیر درطول زمان) | ||
پژوهشنامه اقتصاد کلان Macroeconomics Research Letter | ||
مقاله 6، دوره 18، شماره 38، دی 1402، صفحه 131-160 اصل مقاله (1.05 M) | ||
نوع مقاله: علمی | ||
شناسه دیجیتال (DOI): 10.22080/iejm.2024.26299.2014 | ||
نویسندگان | ||
یوسف محنت فر* 1؛ زینب رمضانی دارابی2؛ زهرا کریمی موغاری3 | ||
1دانشیار گروه اقتصاد انرژی دانشکده علوم اقتصادی و اداری-دانشگاه مازندران-بابلسر-ایران | ||
2کارشناسی ارشد توسعه اقتصادی و برنامه ریزی-دانشگاه مازندران-بابلسر-ایران. | ||
3عضو هیات علمی | ||
تاریخ دریافت: 23 آبان 1402، تاریخ بازنگری: 19 دی 1402، تاریخ پذیرش: 16 دی 1402 | ||
چکیده | ||
این مطالعه به بررسی اثر شوکهای قیمت نفت بر بازده سهام منتخبی از کشورهای صادرکننده نفت با استفاده از یک روش دومرحلهای بر اساس مدل خودرگرسیون برداری ساختاری(SVAR) و مدلهای رگرسیون پارامتر متغیر در طول زمان (TVP) میپردازد. دادههای استفاده شده در این پژوهش برای کشورهای ایران، امارات، قطر، عربستان، کویت، الجزایر و ونزوئلا از کشورهای عضو اوپک و روسیه، مکزیک و بحرین از کشورهای عضو اوپک پلاس، در قالب دوسری داده سری زمانی ماهانه شامل دادههای مربوط به بازار نفت و بازار سهام از سال 2000 الی 2021 میباشند. قیمت نفت با تفکیک کردن شوکهای عرضه و تقاضا موردمطالعه قرار گرفته است، نتایج شواهدی از واکنش متغیر در طول زمان بازدههای بازار سهام به شوکهای نفتی مختلف( شوک عرضه نفت ، تقاضای کل و تقاضای نفتی) را گزارش میکند. علاوه بر این، بازده سهام به شوکهای تقاضا بیشتر از شوکهای عرضه واکنش نشان میدهد. همچنین، اثر شوک عرضه بر بازده سهام؛ منفی و اندک است، درحالیکه شوک تقاضایکل تأثیر مثبتی بر بازده سهام کشورها بهغیراز ایران و الجزایر دارد. شوکهای تقاضای نفت نیز دارای اثرات مثبتی برای کشورهای روسیه،قطر و مکزیک است اما نسبت به تقاضای کل از قدرت کمتری برخوردارند. این درحالیاستکه این شوک، در ابتدای دورههای موردمطالعه برای کشورهای امارات، الجزایر، ایران،بحرین، عربستان اثر منفی و در سایر دورهها اثرات معناداری ندارد. | ||
کلیدواژهها | ||
شوک های قیمت نفت؛ بازده بازار سهام؛ کشورهای صادرکننده نفت؛ رگرسیون پارامتر متغیر در طول زمان | ||
عنوان مقاله [English] | ||
The Effect of Oil Price Shocks on the Stock Market Returns of Selected Oil Exporting Countries (Variable Parameter Regression Approach over Time) | ||
نویسندگان [English] | ||
yousef Mehnatfar1؛ Zeinab Ramezani Darabi2؛ Zahra Karimi Moghri3 | ||
1Associated Professor of Economics, Department of Economics, University of Mazandaran, Babolsar, Iran | ||
2MSc in Economic Development and Planning, University of Mazandaran, Babolsar, Iran. | ||
3Faculty member | ||
چکیده [English] | ||
The present study examines the effect of oil price shocks on the returns of selected stocks from oil-exporting countries using a two-stage method based on the structural vector auto-regression (SVAR) and time-varying parameter regression (TVP) models. The data used in this study were from Iran, UAE, Qatar, Saudi Arabia, Kuwait, Algeria, and Venezuela, which are OPEC member countries, as well as Russia, Mexico, and Bahrain, which are members of OPEC+, in the form of two monthly time series data, including oil market and stock market data, from 2000 to 2021. Oil prices have been studied by separating supply and demand shocks. The results report evidence of the time-varying response of stock market returns to different oil shocks (oil supply, aggregate demands, and demand shocks). It shows that stock returns react to demand shocks more than supply shocks. In addition, the effect of supply shocks on stock returns is negative and small, while the total demand shock has a positive effect on the stock market of the countries rather than Iran and Algeria. It also indicates that oil demand shocks positively affect countries like Russia, Qatar, and Mexico but are also less powerful than the total demand. At the same time, this shock has a negative effect at the beginning of the studied periods for countries like Algeria, UAE, Iran, and Saudi Arabia. It should be noted that it has no significant effect in other periods. | ||
کلیدواژهها [English] | ||
Oil Price Shocks, Stock Market Returns, Oil Exporting Countries, Variable Regression Parameter over Time | ||
مراجع | ||
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