آزمون وجود حباب عقلایی قیمت در بازار ارز ایران: کاربردی از آزمون‌های ریشه واحد زنجیره‌ای

نوع مقاله: علمی - پژوهشی

نویسندگان

1 استاد گروه اقتصاد دانشکده علوم اقتصادی و اداری دانشگاه مازندران

2 عضو هیات علمی گروه اقتصاد دانشگاه خاتم

چکیده

نرخ ارز در کنار نرخ تورم و نرخ بهره، یکی از مهم‌ترین تعیین‌کننده‌های کارکرد اقتصاد در هر کشور محسوب می‌شود. ازاین‌رو و با توجه به اهمیت نرخ ارز در اقتصاد، هدف اصلی از پژوهش حاضر، بررسی وجود حباب عقلایی قیمت در بازار ارز ایران است. برای این منظور، از آزمون‌­های ریشه واحد زنجیره‌ای که به تازگی در اقتصاد معرفی شـده‌اند و داده‌هـای ماهانه نرخ ارز (ریال- دلار) برای دوره زمانی 1369:1-1392:12 استفاده ‌شده است. بر اساس آزمون سوپریمـم عمومی دیکی- فولـر تعمـیم‌یافته، فرضیه وجود حبـاب‌هـای چنـدگـانه قـیمت در بـازار ارز مورد تأیید قرار گرفت (دوره‌های 1372:11-1373:3، 1377:11-1378:1، 1381:3- 1381:6، 1386:11-1387:2، 1387:6- 1387:9 و 1389:6- 1392:6). همچنین به منظور بررسی اهمیت و عوامل مؤثر بر حباب قیمت نرخ ارز، استفاده از قیمت‌های نسبی کالاهای قابل‌مبادله و غیرقابل‌مبادله نشان داده شد که بخشی از رفتار انفجاری نرخ ارز، به واسطه قیمت‌های نسبی کالاهای قابل‌مبادله است.

کلیدواژه‌ها


عنوان مقاله [English]

Testing Existence of Rational Price Bubble in foreign exchange Market of Iran: Application of sequential Unit Root Tests

نویسندگان [English]

  • ahmad jafari samimi 1
  • Roozbeh Balounejad Nouri 2
چکیده [English]

Beside inflation and interest rates, Exchange rate is one of the most important determinants of economic performance in the each country. Given the importance of the exchange rate in the economy, the main objective of this study is to investigate the existence of price bubbles in the foreign exchange market. To this end, a series of unit root tests that have recently been introduced in economics and monthly data of exchange rate (rial- dollar) for the period 1369:1-1392:12 is used. Based on Generalized Supremum Augmented Dickey- Fuller Test, multi price bubbles hypothesis was confirmed in the foreign exchange market of Iran (In Period 1372:11-1373:3, 1377:11-1378:11, 1381:3-1381:6, 1386:11-1387:2, 1387:9-1387:11, 1389:6-1392:6). Also Relative prices of tradable and non-tradable goods using shown that a part of explosive behavior of the exchange rate, due to the relative prices of tradable goods.

کلیدواژه‌ها [English]

  • Exchange rate
  • Price Bubbles
  • Tradable and non-tradable goods
  • sequential Unit Root Tests

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