بررسی عدم تقارن درجۀ عبور نرخ ارز به تورم انتظاری در ایران با رویکرد NARDL

نوع مقاله : مقاله پژوهشی

نویسندگان

1 کارشناسی‌ارشد، گروه اقتصاد، دانشکدۀ علوم‌اجتماعی، دانشگاه رازی، کرمانشاه، ایران

2 دانشیار گروه اقتصاد، دانشکدۀ علوم‌اجتماعی، دانشگاه رازی، کرمانشاه، ایران (نویسندۀ مسئول)

3 دانشیار گروه اقتصاد، دانشکدۀ علوم‌اجتماعی، دانشگاه رازی، کرمانشاه، ایران

10.22084/aes.2024.29151.3683

چکیده

ازجمله عوامل مؤثر بر تورم و تورم انتظاری، که بسیاری از متغیرهای اقتصادی در ایران را تحت‌تأثیر قرار داده، تغییرات نرخ ارز است. پدیـدۀ عبـور نـرخ ارز توضیح‌دهندۀ رابطـۀ بـین تغییـرات ارزش پـول ملـی و روابـط تجـارت خارجی یک کشور است؛ لذا بررسی درجۀ عبور نرخ ارز بر تورم انتظاری در جهت اعمال سیاست‌های اقتصادی ضد تورمی ضرورت دارد؛ هدف این پژوهش، بررسی عدم تقارن درجۀ عبور نرخ ارز بر تورم انتظاری در ایران، با استفاده از رویکرد NARDL و با تکیه‌بر داده‌های سری زمانی طی سال‌های 1369تا 1399 است. نتایج حاصل از یافته‌های این مطالعه براساس الگوی NARDL نشان می‌دهد، اثر شوک‌های مثبت نرخ ارز بر تورم انتظاری در کوتاه‌مدت و بلندمدت دارای اثر منفی و معنی‌دار، اما شوک‌های منفی دارای اثر منفی و بی‌معنی را نشان‌دادند؛ هم‌چنین نتایج نشان می‌دهد اثر شوک‌های ارزی بر تورم انتظاری در کوتاه‌مدت متقارن است؛ درحالی‌که اثر شوک‌های ارزی بر تورم انتظاری در بلندمدت نامتقارن است؛ لذا بانک مرکزی می‌تواند ازطریق هدف‌گذاری تورم با تمرکز روی کانال انتظارات تورمی سیاست‌های خود را به‌طور مؤثر اجرا نماید. 

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Investigating the Asymmetry of Exchange Rate Pass-Through to Expected Inflation in Iran Using NARDL Approach

نویسندگان [English]

  • Mehdi Azimzadeh 1
  • Shahram Fattahi 2
  • Ali Flahati 3
1 MA in Economics, Department of Economics, Faculty of Social Sciences, Razi University, Kermanshah, Iran
2 Associate Professor, Department of Economics, Faculty of Social Sciences, Razi University, Kermanshah, Iran (Corresponding Author)
3 Associate Professor, Department of Economics, Faculty of Social Sciences, Razi University, Kermanshah, Iran
چکیده [English]

Exchange rate changes are one of the factors affecting inflation and expected inflation that affect many economic variables in Iran. The phenomenon of exchange rate pass-through explains the relationship between changes in the value of the national currency and foreign trade relations of a country. Therefore, it is necessary to investigate the degree of exchange rate pass-through to the expected inflation in order to implement anti-inflationary economic policies. The aim of this paper is to investigate the asymmetry of exchange rate pass-through to the expected inflation in Iran using the NARDL approach based on time series data during 1990-2020. The results show that the effect of positive exchange rate shocks on expected inflation in the short and long term is negative and significant but negative exchange rate shocks have a negative and insignificant effect. Also, the effect of foreign exchange shocks on expected inflation is symmetric in the short term while the effect of foreign exchange shocks on expected inflation is asymmetric in the long run. Therefore, the central bank can implement its policies effectively by targeting inflation and focusing on the inflation expectations channel.

کلیدواژه‌ها [English]

  • Exchange Rate Pass-Through
  • Inflation Expectations
  • Nonlinear ARDL

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فصلنامه مطالعات اقتصادی کاربردی ایران
دوره 13، شماره 52
اسفند 1403
صفحه 175-196

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