پژوهش ها و چشم اندازهای اقتصادی

پژوهش ها و چشم اندازهای اقتصادی

تحلیل اثر آستانه‌ای نااطمینانی کلان اقتصادی بر چرخه‌های تجاری در ایران

مقالات آماده انتشار
نویسندگان
شراره شیرمحمدی 1
حسین شریفی رنانی 2
سارا قبادی 3
1 دانشجوی دکتری رشته علوم اقتصادی، واحد اصفهان (خوراسگان)، دانشگاه آزاد اسلامی، اصفهان، ایران.
2 دانشیار گروه اقتصاد، واحد اصفهان (خوراسگان)، دانشگاه آزاد اسلامی، اصفهان، ایران.
3 استادیار گروه اقتصاد، واحد اصفهان (خوراسگان)، دانشگاه آزاد اسلامی، اصفهان، ایران.
10.48311/ecor.2025.24048
چکیده
مقاله حاضر با هدف تحلیل اثر آستانه‌ای نااطمینانی کلان اقتصادی بر چرخه‌های تجاری ایران طی دوره زمانی 1400:1- 1385:1 انجام شد. بدین منظور ابتدا چرخه‌های تجاری با استفاده از فیلتر هودریک پرسکات استخراج شد. سپس با در نظر گرفتن بازارهای پرنوسان ایران و با استفاده از روش تحلیل مؤلفه­های اصلی (PCA) اقدام به محاسبه شاخصی کلی برای متغیرهای کلان شد. برای اندازه‌گیری نااطمینانی در شاخص کلان اقتصادی از روش خودرگرسیونی واریانس شرطی (GARCH) استفاده شد. نتایج حاصل از برآورد اثرآستانه‌ای نااطمینانی کلان اقتصادی به روش رگرسیون انتقال ملایم (STR) نشان داد که وقفه دوم نااطمینانی کلان اقتصادی متغیر انتقال تابع لجستیک برای چرخه‌های تجاری با یک حد‌آستانه (برابر با 068/0) و دو رژیم حدی است. نااطمینانی کلان اقتصادی در هر دو رژیم حدی منجر به رکود اقتصادی شده‌ و اثر رکودی آن‌ در رژیم دوم بیشتر شده است. بیکاری با سطح تحصیلات پیشرفته و بیکاری با سطح تحصیلات مقدماتی در هر دو رژیم منجر به رکود اقتصادی شده‌اند و اثر رکودی آن‌ها در رژیم دوم بیشتر شده است. بهره‌وری نیروی کار، سلامت سیستم قانونی، تحرک سرمایه و مردم و چرخه‌های تجاری دوره گذشته در هر دو رژیم منجر به رونق اقتصادی شده‌ و اثر بهبود‌دهنده آن‌ها در رژیم دوم بیشتر شده است.
کلیدواژه‌ها
نااطمینانی
چرخه‌های تجاری
تحلیل مؤلفه‌های اصلی
خودرگرسیونی ناهمسانی واریانس شرطی تعمیم یافته
فیلتر هادریک-پرسکات
رگرسیون انتقال ملایم

موضوعات

عنوان مقاله English

Analysis of the Threshold Effect of Macroeconomic Uncertainty on Business Cycles in Iran

نویسندگان English

sharareh shirmahammadi 1
hossein sharifi renani 2
Sara Ghobadi 3
1 Ph.D. Student in Economics, Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran. Email: Sharareh.shirmohamadi55@gmail.com
2 Associate Professor of Economics, Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran.
3 Assistant Professor of Economics, Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran.
چکیده English

This study analyzes the threshold effect of macroeconomic uncertainty on Iran’s business cycles from 2006:2 to 2021:2. First, Iran’s business cycles were extracted using the Hodrick–Prescott (HP) filter. Given the volatility of Iranian markets, a composite index of macroeconomic variables was constructed using Principal Component Analysis (PCA). The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) method was then employed to measure macroeconomic uncertainty. The Smooth Transmission Regression (STR) approach was used to estimate the threshold effect of this uncertainty on business cycles. The findings indicate that the second lag of macroeconomic uncertainty acts as the logistic transition variable, with one threshold (0.068) and two distinct regimes. In both regimes, macroeconomic uncertainty induces economic recession, with intensified recessionary effects in the second regime. Similarly, unemployment at both elementary and advanced education levels contributes to economic stagnation, with stronger effects in the second regime. Conversely, labor productivity, legal system health, capital and labor mobility, and lagged business cycles promote economic growth, with their positive effects also intensifying in the second regime.
Aim and Introduction
In macroeconomics literature, business cycles refer to fluctuations in gross domestic product (GDP) around the long-term growth trend. Periods when GDP falls below or rises above this trend represent economic stagnation and prosperity, respectively. As fluctuations in national output significantly influence economic performance, understanding their causes is essential—particularly in the aftermath of the Great Recession, which highlighted the role of macroeconomic uncertainty in amplifying such fluctuations. Increases in uncertainty often lead to simultaneous declines in consumption, investment, and production.
In the context of Iran, a review of key macroeconomic variables over the past three decades reveals pronounced volatility, particularly in exchange rates, oil revenues, government spending, inflation, and—consequently—investment, consumption, and production. This persistent instability, coupled with ongoing stagflation, underscores the importance of examining how uncertainty in macroeconomic variables affects Iran’s business cycles. Thus, this study aims to estimate the threshold effects of macroeconomic uncertainty on Iran’s business cycles during the period 2006:2-2021:2.
Methodology
Following the frameworks established by Dery and Serletis (2021) and Jurado et al. (2015), this study employs the Hodrick–Prescott (HP) filter to extract the output gap as an indicator of business cycles. A composite macroeconomic index was constructed using Principal Component Analysis (PCA), incorporating variables from Iran’s volatile markets—oil, goods and services, capital, housing, currency, and credit. These variables include oil revenues, consumer and producer price indices, stock price index, money growth, physical capital, capital asset acquisition, housing prices, exchange rate differentials (official vs. black market), public-to-private sector borrowing ratio, and trade volume.
Macroeconomic uncertainty was then quantified using the GARCH model. Finally, the Smooth Transition Regression (STR) model was applied to assess the nonlinear and regime-dependent effects of macroeconomic uncertainty, institutional quality, capital mobility, and unemployment (by education level) on business cycles.
Findings
The analysis reveals that the second lag of macroeconomic uncertainty serves as the transition variable in the business cycle function, with a logistic transition function and a threshold of 0.068, leading to two distinct regimes. In both regimes, macroeconomic uncertainty negatively affects business cycles, with the recessionary impact being more pronounced in the second regime.
Unemployment at both the elementary and advanced education levels also has a negative effect on business cycles, with intensified recessionary outcomes in the second regime. In contrast, labor productivity, the health of the legal system, capital and labor mobility, and the lagged business cycle all exert a positive influence on economic activity, with enhanced growth-promoting effects in the second regime.
Discussion and Conclusion
Given the recessionary effect of macroeconomic uncertainty and the exacerbation of this effect beyond the identified threshold, reducing uncertainty should be a priority to mitigate recessionary cycles in Iran. Policymakers are urged to identify the underlying causes of macroeconomic fluctuations—especially those related to inflation and exchange rate volatility—to prevent stagflation.
The excessive expansion of the money supply has been a key driver of uncertainty. Therefore, effective monetary, fiscal, and exchange rate policies, along with enhanced independence of the Central Bank, are crucial in reducing economic volatility. Iran’s overreliance on oil revenues has also hindered the diversification of production and increased exposure to external shocks. This dependence, combined with rising government debt, has intensified the reliance on oil, making the economy vulnerable to oil price shocks and foreign disturbances. Consequently, the government should promote political stability, reduce current expenditures, increase capital expenditures, and replace oil revenues with sustainable tax income.
The persistent negative effect of unemployment—across all education levels—on business cycles suggests the need for comprehensive employment policies, particularly targeting educated workers. Enhancing labor productivity through education and training is essential. Policies encouraging entrepreneurship, such as loan programs, tax incentives, and government investment in job creation for university graduates, are recommended.
Furthermore, the strengthening of the legal and judicial systems, ensuring impartial law enforcement, and upholding justice can significantly enhance economic outcomes. Facilitating the mobility of people and capital, including the attraction of foreign investment, is also vital for promoting sustainable economic growth.

کلیدواژه‌ها English

Business Cycles؛ Generalized Autoregressive Conditional Heteroscedasticity (GARCH)؛ Hodrick&ndash
Prescott Filter؛ Macroeconomic Uncertainty؛ Principal component analysis (PCA)؛ Smooth transition regression (STR)
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