پژوهش ها و چشم اندازهای اقتصادی

پژوهش ها و چشم اندازهای اقتصادی

برآورد قاعده بهینه سیاست پولی ایران در چارچوب مدل‌های هیبریدی

نوع مقاله : پژوهشی اصیل

نویسندگان
1 دانشجوی دکتری اقتصاد، دانشکده علوم اداری و اقتصادی، دانشگاه فردوسی مشهد
2 استاد گروه اقتصاد، دانشکده علوم اداری و اقتصادی، دانشگاه فردوسی مشهد
3 استادیار گروه اقتصاد، دانشکده علوم اداری و اقتصادی، دانشگاه فردوسی مشهد
چکیده
هدف این مطالعه، برآورد حالت هیبریدی قاعده بهینه سیاست پولی ایران با بهره­گیری از روش کنترل بهینه است. بدین منظور، فرض شد که مقامات پولی، مسأله بهینه یابی را با توجه به قیود ساختاری پنج گانه شامل معادله عرضه کل، تقاضای کل، نرخ ارز، تقاضای پول و مخارج دولت، حل می­کنند. پس از برآورد پارامترهای معادلات ساختاری با استفاده از روش حداقل مربعات معمولی (OLS) و روش رگرسیون­های به ظاهر نامرتبط (SUR) برای دوره زمانی ۱۳۹۵-۱۳۵۷، رجحان های مقامات پولی برای تثبیت تورم، تولید و هموارسازی رشد حجم نقدینگی با هدف حداقل کردن زیان رفاه اجتماعی، انتخاب شدند. نتایج بیانگر این است که بانک مرکزی باید انحراف رشد حجم نقدینگی و بعد از آن، شکاف تولید را مدنظر قرار دهد. همچنین قاعده بهینه سیاست پولی حاصله از رجحان­های بهینه، بیانگر این است که بانک مرکزی باید به طور همزمان به تغییرات تورم، شکاف تولید و نرخ ارز واقعی واکنش نشان دهد و شکاف تولید از اهمیت زیادی برخوردار است.
کلیدواژه‌ها

موضوعات


عنوان مقاله English

Estimating Optimal Monetary Policy Rule in Iran based on Hybrid Models

نویسندگان English

fereshteh jandaghi meybodi 1
Mohammad Ali Falahi 2
mahdi feizi 3
1 Ph.D. Candidate in Economics, Ferdowsi University of Mashhad
2 Professor of Economics, Ferdowsi University of Mashhad
3 Assistant Professor of Economics, Ferdowsi University of Mashhad
چکیده English

The purpose of this study is to estimate a “hybrid” version of the optimal monetary policy rule in Iran using the optimal control theory. To do this, it is assumed that monetary authorities solve an optimization problem with regard to the constraints of economic structure, which includes five equations of aggregate supply, aggregate demand, exchange rate, demand for money and government expenditure. First, the structural equations’ parameters are estimated using ordinary least squares (OLS) and seemingly unrelated regression (SUR) methods during 1978-2016. Then, the preferences of the monetary authorities for stabilizing inflation and output, and smoothing liquidity growth are chosen with the aim of minimization of social welfare loss. The results indicate that the central bank should consider the deviation of monetary growth rate and the output gap. In addition, the optimal rule of monetary policy derived from the optimal preferences indicates that the central bank must react simultaneously to the changes in inflation, output gap and real exchange rate, in which the role of output gap is of great importance.

کلیدواژه‌ها English

Central bank preferences
Optimal monetary rule
Optimal Control
linear quadratic dynamic programming
Iran Economy
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