استرس مالی و رشد بخش های اقتصاد ایران

نوع مقاله : علمی-پژوهشی

نویسندگان

1 کارشناسی ارشد اقتصاد، دانشگاه تربیت مدرس

2 دانشیار پژهشکده‏ اقتصاد، دانشگاه تربیت مدرس

3 استادیار دانشکده مدیریت و اقتصاد، دانشگاه تربیت مدرس

10.30465/ce.2022.7347

چکیده

نظر به وقوع استرس‏ های مالی مکرر در زیربخش‏ های مختلف سیستم مالی ایران، ضرورت طراحی یک شاخص استرس مالیِ مناسب و اندازه‏گیری و بررسی آثار آن بربخش های مختلف کشور احساس می‏ شود. در مطالعه حاضر، بررسی تأثیر استرس مالی بر رشد بخش ‏های اقتصادی (کشاورزی، صنعت و خدمات) در ایران در دستور کار قرار گرفته است. برای این منظور، از داده‏ های فصلی 1370:1 تا 1396:4 بخش‏های بانکی، بازارهای سهام و ارز استفاده و با بهره‏ گیری از روش تجزیه مؤلفه‏ های اصلی، وزن‏دهی اعتباری و نیز رویکرد واریانس ناهمسانی شرطی خود توضیح تعمیم­ یافته نمایی (EGARCH) به برآورد شاخص‏ های قیمتی و مقداری چندبعدی استرس مالی «در داخل» و «در میان» بخش‏های مختلف سیستم مالی (بخش بانکی، بازار سهام و بازار ارز) پرداخته شده است. سپس، تأثیر استرس مالی بر رشد بخشی با استفاده از مدل مارکوف-سوئیچینگ بررسی شده است. نتایج حاکی از آن است که با وجود دوره ‏های استرس مالی شدید در ایران در بازه زمانی مورد نظر، تأثیر آن بر رشد بخش ‏های کشاورزی، صنعت و خدمات ناچیز و یا در بیشتر مواقع بی‏ معنی است. به ‏نظر می ‏رسد این نتایج مصداقی است از عدم کارکرد صحیح بخش اسمی و تأثیر نامحسوس آن بر بخش واقعی اقتصاد که ریشه در بانک محور بودن نظام تامین مالی، ناکارایی بازار سرمایه، مداخلات مختلف حاکمیت در بازار پول و سرمایه و ... دارد.
 

کلیدواژه‌ها


عنوان مقاله [English]

Financial Stress and Sectoral Growth in Iran’s Economy

نویسندگان [English]

  • Sahar Tohidi 1
  • Amir Hossein Mozayani 2
  • hassan heydari 3
1 M. A. in Economics, Tarbiat Modares University,
2 Associate professor in Economics, Tarbiat Modares Univesity
3 Assistant professor in Economics, Tarbiat Modares Univesity
چکیده [English]

Due to the variety of stress Occurance in financial markets and its impact on various sectors of the economy, efficient models and indicators to deal with crisis events and reduce their effects, are needed. In the present study, the effect of financial stress on the growth of economic sectors (including agriculture, industry and services) in Iran is on the agenda. For this purpose, we used the quarterly data (1370:1-1396:4) and applied the method of principal component analysis, credit weighting and EGARCH to estimate multidimensional price & quantitative indicators of financial stress "inter" and "intra" different parts of the financial system (including the banking system, stock markets and foreign exchange). Then, we investigated the effect of financial stress on sectoral growth using the Markov-switching model. The results indicate that despite the periods of severe financial stress in Iran, its impact on the growth of agriculture, industry and services sectors are negligible or in most cases insignificant. It seems that this issue is mainly rooted in the inappropriate performance of the nominal sector and its insignificant effect on the real sector of the economy during the period under study.
 

کلیدواژه‌ها [English]

  • Financial Stress
  • growth
  • Sectoral Economic
  • Markov-Switching Approach
  • Systemic Risk JEL Classification: C58
  • G20
  • G01
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