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بیثباتی در بازار غیررسمی ارز ایران: شکست ساختاری و پرش یا حافظه طولانی در تلاطم؟ | ||
| فصلنامه تحقیقات اقتصادی | ||
| مقاله 3، دوره 58، شماره 1 - شماره پیاپی 142، خرداد 1402، صفحه 61-94 اصل مقاله (1.28 M) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22059/jte.2023.93459 | ||
| نویسندگان | ||
| مجتبی رستمی1؛ مسلم نیلچی* 1؛ محمدمهدی مومن زاده2 | ||
| 1گروه اقتصاد، دانشکده اقتصاد مدیریت و حسابداری، دانشگاه یزد، یزد، ایران | ||
| 2گروه حسابداری، دانشکده مدیریت، دانشگاه تهران، تهران، ایران | ||
| چکیده | ||
| به نظر میرسد، تحریمهای سنگین اقتصادی منشا بیثباتی بازار غیررسمی ارز در دو دهه اخیر بوده است. این بیثباتی میتواند نتیجه مقاومت بالای شوکهای تلاطمی در جهت میرا شدن به سمت میانگین بلندمدت نرخ ارز باشد که پایداری بالای تلاطمی فرآیند را نشان میدهد. چنین پایداری در تلاطمهای بازار غیررسمی ارز میتواند ناشی از تغییرات گسترده در واریانس بلندمدت به علت شکستهای ساختاری یا وجود حافظه طولانی در بازده نرخ ارز باشد. پژوهش حاضر به دنبال ارائه چشماندازی از این دو حالت و بررسی تأثیر جوانب مختلف آنها بر تلاطم ارز غیررسمی است. بدین منظور پایداری تلاطم نرخ ارز غیررسمی در سه حالت؛ دادههای اصلی، دادههای اصلی با شکستهای ساختاری و دادههای پالایش شده از پرشهای جمعی و با شکست ساختاری در ترکیب با توابع خودهمبستگی نمایی (مدل GARCH و IGARCH) و هایپربولیک (مدلهای FIGARCH)، مورد تجزیه و تحلیل قرار گرفته است. نتایج این پژوهش نشان میدهد که بازار غیررسمی ارز ایران تحت تأثیر پرشهای جمعی و تغییرات ناگهانی در واریانس بازده میباشد. همچنین براساس معیارهای اطلاعاتی، مدل سازگار با دادهها، مدل (FIGARCH(1,d,1 با دادههای اصلی و در معرض شکستهای ساختاری دوگانه در واریانس است که بیانگر ناپایداری شدید بازار غیررسمی ارز ایران بوده و تأثیر شکستهای ساختاری ناشی از تحریمها بهطور عمده متوجه تلاطم بلندمدت یا تلاطم غیرشرطی میباشد. نتایج این مدل نشاندهنده آن است که پس از خروج یک جانبه آمریکا از برجام و بازگشت تحریمهای اقتصادی پس از سال 2018، عدم قطعیت در بازار ارز غیررسمی نسبت به سال 2011 تشدید شده است. طبقهبندی JEL: F31، F51، C58 | ||
| کلیدواژهها | ||
| پرش؛ تحریمهای اقتصادی؛ تغییرات ناگهانی؛ تلاطم؛ نرخ ارز | ||
| عنوان مقاله [English] | ||
| Instability in Iran's informal Foreign exchange market: structural breaks and jumps or long memory in volatility? | ||
| نویسندگان [English] | ||
| Mojtaba Rostami1؛ Moslem Nilchi1؛ Mohammad Mehdi Momenzadeh2 | ||
| 1Department of Economics, Faculty of Economics, Management and Accounting, University of Yazd, Yazd, Iran | ||
| 2Department of Accounting, Faculty of Management, University of Tehran, Tehran, Iran | ||
| چکیده [English] | ||
| It seems that heavy economic sanctions have been the source of the instability of the unofficial foreign exchange market in the last two decades. This instability can be the result of the high resistance of turbulent shocks in the direction of damping towards the long-term average of the exchange rate, which shows the high persistence of the process. Such stability in unofficial foreign exchange market fluctuations can be caused by large changes in long-term variance due to structural breaks or the existence of long memory in exchange rate returns volatility. this paper seeks to provide a perspective of these two modes and their different aspects on the volatility of the unofficial exchange rate. For this purpose, the persistence of unofficial exchange rate volatility in three cases; We examined original data, original data with structural breaks and refined data from mass jumps and with structural break in combination with exponential (GARCH and IGARCH) and hyperbolic (FIGARCH models) autocorrelation functions. The results of this research show that the unofficial foreign exchange market is affected by collective jumps and sudden changes in the variance of returns. Also, based on the information criteria, the model compatible with the data is the FIGARCH(1,d,1) model with the original data and exposed to double structural failures in the variance, which indicates the extreme instability of the unofficial foreign exchange market and the impact of structural failures caused by sanctions mainly It refers to long-term volatility or unconditional volatility. This model clearly shows the unilateral withdrawal of the United States from the JCPOA and the return of unilateral sanctions after 2018. The uncertainty in Iran's unofficial foreign exchange market is more severe than in 2011. JEL Classification: C63, D02, D44, E44, E52, E58 | ||
| کلیدواژهها [English] | ||
| Economic Sanctions, Exchange Rate, Jump, Sudden Changes, Volatility | ||
| مراجع | ||
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