پژوهش ها و چشم اندازهای اقتصادی

پژوهش ها و چشم اندازهای اقتصادی

‌تأثیر متغیرهای کلان اقتصادی بر نرخ ارز و مقایسۀ روش‌های اختلافات دوسویه و متغیرهای منفرد

نویسندگان
امیررضا سوری 1
فاطمه پناهی 2
1 دکتری اقتصاد، استادیار مؤسسۀ مطالعات و پژوهش‌های بازرگانی، تهران، ایران
2 پژوهشگر مؤسسۀ مطالعات و پژوهش‌های بازرگانی، تهران، ایران
10.22034/25.1.91
چکیده
هدف از تدوین این مقاله، مقایسۀ دو روش اختلافات دوسویه و متغیرهای منفرد است. بدین منظور، ‌تأثیر متغیرهای کلان اقتصادی بر نرخ ارز با هر دو روش برآورد شده است. مدل مورد استفادۀ تحقیق، مدل پولی با قیمت‏های چسبنده (SPMM) است که برای دو گروه از کشورهای توسعه‌یافته و کمتر توسعه‌یافته طی دورۀ زمانی 1996 تا 2022 به‌صورت فصلی، برآورد شده است.

نتایج تحقیق نشان می‏دهد که ‌تأثیر متغیرهای کلان اقتصادی بر نرخ ارز در کشورهای کمتر توسعه‌یافته، قوی‏تر از کشورهای توسعه‌یافته است؛ به‌عبارتی، نرخ ارز در کشورهای توسعه‌یافته از ثبات بیشتری نسبت به کشورهای کمتر توسعه‌یافته برخوردار است. همچنین استفاده از روش متغیرهای منفرد نسبت به روش اختلافات دوسویه با دقت بیشتری، ‌تأثیر متغیرهای کلان اقتصادی بر نرخ ارز را تبیین می‏کند، اما ممکن است دقت برآوردها در شرایط خاص کاهش یابد. بنابراین، مهم است که هنگام انتخاب روش برآورد، به عواملی همچون پیچیدگی مدل، اندازۀ جمله خطا و اندازۀ نمونه توجه شود.

همچنین در این مقاله، به منظور بهبود دقت برآوردها از شبکۀ الاستیک (Elastic Net) استفاده شده است. نتایج تحقیق نشان می‏دهد که تخمین مدل‏ها با استفاده از روش متغیرهای منفرد و شبکۀ الاستیک، منجر به MSE پایین‏تری نسبت به روش اختلافات دوسویه می‏شود. ضمن اینکه کاهش MSE در میان کشورهای کمتر توسعه‌یافته، بیشتر از کشورهای توسعه‌یافته است
کلیدواژه‌ها
نرخ ارز
متغیرهای کلان اقتصادی
مدل پولی با قیمت‌های چسبنده
شبکه الاستیک

موضوعات

عنوان مقاله English

Macroeconomic Variables, Exchange Rate and Comparing the Methods of Bilateral Differences and Individual Variables

نویسندگان English

amirreza souri 1
Fatemeh Panahi 2
1 Assistant Professor, Institute for Trade Studies and Research (ITSR), Tehran, Iran
2 Researcher, Institute for Trade Studies and Research (ITSR), Tehran, Iran
چکیده English

Aim and Introduction

The purpose of this article is to compare two methods of bilateral differences and individual variables to investigate the impact of macroeconomic variables on the exchange rate. The model used in the research is the monetary model with sticky prices (SPMM), which is used in order to improve the accuracy of the estimates from the Elastic Net. Research variables include exchange rate, gross domestic product (GDP), real interest rate (IR), consumer inflation (IN) and liquidity (M2) for two groups of developed and less developed countries. It has been estimated seasonally during the period from 1996 to 2022.

Methodology

The model used in this article is the modified model of Biswas et al. (2022) and by using the SPMM model, the impact of macroeconomic variables on the exchange rate for developed and less developed countries is estimated in the form of bilateral difference methods and individual variables. In this regard, the model simulation analysis is explained first, and then the SPMM model is estimated and described using the variables of bilateral differences and individual variables.

Results and Discussion

The results of the research show that when the real model uses individual variables, the estimation of the model using the two-sided differences method increases the mean square error (MSE), and when the real model uses two-sided differences, the estimation of the model using the ndividual variables method produce higher MSE. In general, the findings of the research show that using individual variables to estimate the real model is more accurate, but the accuracy of the estimates may decrease in certain conditions. Therefore, it is important to consider various factors such as true model complexity, error term size, and sample size when choosing between individual variables and pairwise differences.

Conclusion

Other research findings show that model estimation using individual variables and elastic network leads to lower MSE than bilateral differences. In addition, the reduction of MSE among less developed countries are more than that of developed countries. Also, the impact of macroeconomic variables on the exchange rate is stronger in less developed countries than in developed countries

کلیدواژه‌ها English

Exchange rate
Macroeconomic Variables
Monetary Model with Sticky Prices
Elastic Network
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