پویایی‌های چرخه‌های تجاری در حضور اصطکاک مالی در ایران: رویکرد غیرخطی (نامتقارن) خودرگرسیون با وقفه‌های توزیعی (NARDL)

نوع مقاله : علمی-پژوهشی

نویسندگان

1 دانشیاراقتصاد، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه

2 استادیار اقتصاد، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه

3 دانشجوی دکتری اقتصاد، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه

10.30465/ce.2023.42076.1811

چکیده

هدف اصلی این مطالعه بررسی پویایی‌های چرخه‌های تجاری در حضور اصطکاک مالی در اقتصاد ایران است. در این راستا از الگوی غیرخطی خودرگرسیون با وقفه-های توزیعی (NARDL) و داده‌های فصلی طی دوره زمانی 1400:2– 1370:3 استفاده شده است. همچنین نسبت تسهیلات غیرجاری به کل تسهیلات پرداختی به عنوان معیاری از اصطکاک مالی مورد استفاده قرار گرفته است. نتایج آزمون کرانه‌ها حاکی از آن است که رابطه هم‌جمعی بین متغیرهای مدل وجود دارد. در کوتاه‌مدت و بلندمدت یک رابطه مثبت و منفی معنی‌داری بین تولید ناخالص داخلی و نسبت تسهیلات غیرجاری به کل تسهیلات پرداختی وجود دارد. همچنین نتایج نشان می‌دهد که بخش مالی از یک الگوی چرخه‌ای پیروی می‌کند. اثرات شوک اصطکاک مالی بر چرخه‌های تجاری نامتقارن است. در نهایت، این مطالعه نشان می‌دهد رونق اقتصادی می‌تواند در طول زمان باعث کاهش نسبت تسهیلات غیرجاری به کل تسهیلات پرداختی شود و منعکس‌کننده اثر رونق بر اشتغال و شرایط تجاری و در نتیجه توانایی وام‌گیرندگان برای بازپرداخت وام‌ها است. از منظر سیاست، نتایج حاکی از آن است که سیاست‌گذاران باید اقدامات سیاستی ضدچرخه ای را با هدف کاهش قابل‌توجه در نسبت تسهیلات غیرجاری به کل تسهیلات پرداختی در طول دوره‌های رکود اقتصادی اجرا کنند.
طبقه‌بندی JEL:
E32،G01، E43, G28

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

The business cycle dynamics due to the presence of financial frictions in Iran: NARDL approach

نویسندگان [English]

  • Ali Rezazadeh 1
  • Shahab Jahangiri 2
  • Roghayeh Mohseninia 3
1 Associate Professor, Departmet of Economics and Management, Urmia University
2 Assistant Professor, Departmet of Economics and Management, Urmia University
3 PhD. Candidate of Economics, Departmet of Economics and Management, Urmia University
چکیده [English]

The purpose of this study is to investigate the nonlinear business cycle dynamics due to the presence of financial frictions in Iran's economy. For this purpose, a NARDL model is estimated by using seasonal data during 1991q4- 2021q3. Also, this study used of the ratio Non-Performing Loans/Total Loans as a measure of financial friction. The results of the Bounds test indicate that there is a cointegration relationship between the model variables. The results of the model estimation show that the GDP has an asymmetric behavior in the short and long term. Based on this, in the short and long term, there is a significant relationship between GDP and the ratio Non-Performing Loans/Total Loans and financial market conditions have a significant non-linear effect on the dynamics of business cycles. According to the results, the effects of financial friction shock on business cycles are asymmetric, and therefore the predictive efficiency of all linear models is questioned. Finally, this study shows that economic prosperity can reduce the ratio of non-performing loans to total paid facilities over time, and this most likely reflects the effect of prosperity on employment and business conditions, and as a result, the ability of borrowers to repay loans.

کلیدواژه‌ها [English]

  • Business cycles
  • Financial Frictions
  • financial accelerators
  • Asymmetric effects
  • Non-linear Autoregressive Distributed Lagged (NARDL) model JEL Classification: E22
  • E31
  • E32
  • G01
  • E43

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بررسی مسائل اقتصاد ایران
دوره 10، شماره 1 - شماره پیاپی 19
فروردین 1402
صفحه 119-152

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  • تاریخ دریافت: 21 تیر 1401
  • تاریخ بازنگری: 14 آبان 1401
  • تاریخ پذیرش: 17 دی 1401

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