رابطۀ نااطمینانی اقتصادی جهانی و قیمت نفت‌خام: تحلیلی با مدل‌های ترکیبی VAR و MGARCH

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانش‌آموختۀ کارشناسی ارشد علوم اقتصادی، گرایش انرژی، دانشکدۀ مدیریت و اقتصاد، دانشگاه تربیت‌مدرس، تهران، ایران.

2 دانشیارگروه علوم اقتصادی، دانشکدۀ مدیریت و اقتصاد، دانشگاه تربیت مدرس، تهران، ایران (نویسندۀ مسئول).

3 دانشیارگروه علوم اقتصادی، دانشکدۀ مدیریت و اقتصاد، دانشگاه تربیت مدرس، تهران، ایران.

10.22084/aes.2025.30786.3781

چکیده

این پژوهش به بررسی رابطۀ نااطمینانی سیاست اقتصاد کلان جهانی و نوسانات قیمت نفت خام می‌پردازد. در این مطالعه، از شاخص  GEPU‌به‌عنوان معیار سنجش نااطمینانی اقتصادی جهانی استفاده‌شده است و رابطه آن با قیمت نفت از سال 1997 تا 2024م.  بررسی شده است. برای تحلیل داده‌ها از مدل‌های VAR، BEKK-GARCH،DCC-GARCH ، VECH-GARCH و CCC-GARCH استفاده‌شده است تا روابط پویای بین این متغیرها بررسی شوند. نتایج نشان می‌دهد که افزایش نااطمینانی اقتصادی در اکثر دوره‌ها با افزایش نوسانات قیمت نفت همراه است، اما در برخی دوره‌ها، افزایش قیمت نفت می‌تواند به کاهش نااطمینانی اقتصادی منجر شود. هم‌چنین، مدل‌های DCC-GARCH  و BEKK-GARCH  توانایی بیشتری در تحلیل پویای نوسانات قیمتی و ارتباط آن با نااطمینانی اقتصادی نشان دادند.. نتایج نشان می‌دهد که بین شاخص عدم اطمینان اقتصادی جهانی و قیمت نفت رابطه پیش‌بینی‌پذیر دوسویه و سرایت نوسانات وجود دارد، اما اثر مستقیم و کوتاه‌مدت شوک‌های آن‌ها بر یکدیگر ضعیف و اغلب بی‌معناست. این رابطه بیشتر در سطح هم‌بستگی نوسانات قابل مشاهده است. در بلندمدت، افزایش قیمت نفت می‌تواند بی‌ثباتی اقتصادی جهانی را افزایش دهد. 

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

The Relationship Between Global Macroeconomic Policy Uncertainty and Oil Prices Using Combined VAR and MGARCH Models

نویسندگان [English]

  • Mandana Shiravand 1
  • Sajjad Faraji Dizaji 2
  • Abbas Asari Arani 3
1 M.A. graduate in Economics, Energy Economics specialization, Faculty of Management and Economics, Tarbiat Modares University, Tehran, Iran.
2 Associate Professor, Department of Economics, Faculty of Management and Economics, Tarbiat Modares University, Tehran, Iran (Corresponding Author).
3 Associate Professor, Department of Economics, Faculty of Management and Economics, Tarbiat Modares University, Tehran, Iran.
چکیده [English]

This study investigates the relationship between global macroeconomic policy uncertainty and crude oil price volatility. The Global Economic Policy Uncertainty (GEPU) index is employed as a measure of global economic uncertainty, and its relationship with oil prices is examined over the period from 1997 to 2024. To analyze the data, various models including VAR, BEKK-GARCH, DCC-GARCH, VECH-GARCH, and CCC-GARCH are utilized to explore the dynamic interactions between these variables. The results indicate that increased economic uncertainty is generally associated with greater oil price volatility across most periods. However, in certain periods, rising oil prices may contribute to a reduction in economic uncertainty. Among the models used, the DCC-GARCH and BEKK-GARCH frameworks demonstrate superior capability in capturing the dynamic volatility transmission and the relationship with economic uncertainty. The findings suggest a bidirectional and predictable relationship, along with volatility spillovers, between global economic policy uncertainty and oil prices. However, the direct and short-term effects of shocks from one variable on the other are weak and often statistically insignificant. This relationship is more evident in terms of volatility correlations. In the long run, increases in oil prices may contribute to heightened global economic instability.

کلیدواژه‌ها [English]

  • Global Economic Policy Uncertainty
  • Energy Markets
  • VAR Model
  • BEKK-GARCH Model
  • DCC-GARCH Model

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فصلنامه مطالعات اقتصادی کاربردی ایران
دوره 14، شماره 54
مرداد 1404
صفحه 35-63

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