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بررسی تأثیر نوسانات قیمت نفت بر ارتباط بین اقتصاد کلان و نظام بانکی در ایران به عنوان کشور صادرکننده نفت با استفاده از مدلهای خودرگرسیون برداری مارکوف سوئیچینگ | ||
پژوهشهای رشد و توسعه اقتصادی | ||
مقاله 2، دوره 14، شماره 53، دی 1402، صفحه 52-31 اصل مقاله (984.25 K) | ||
شناسه دیجیتال (DOI): 10.30473/egdr.2023.66116.6631 | ||
نویسندگان | ||
ریحانه لاریجانی1؛ سید کمال صادقی2؛ زهرا کریمی تکانلو* 3؛ رضا رنج پور4 | ||
1دانشجوی دکتری دانشگاه تبریز. | ||
2استاد دانشکده اقتصاد و مدیریت دانشگاه تبریز. | ||
3دانشیار دانشکده اقتصاد و مدیریت دانشگاه تبریز. | ||
4دانشیار دانشکده اقتصاد و مدیریت دانشگاه تبریز | ||
چکیده | ||
این مطالعه جهت بررسی اثر نوسانات قیمت نفت بر سیستم بانکی و نحوه ارتباط آن با اقتصاد کلان، از معیار شکنندگی بانکی معرفی شده توسط کبریتچی اقلو و روش خودرگرسیون برداری با الگوی چرخشی مارکوف استفاده نموده است. از آنجا که شرایط اقتصادی با نوسان و بیثبات بر تشخیص اثر قیمت نفت بر شرایط اقتصادی و نظام بانکی تأثیرگذار است؛ لذا با استفاده از متغیرهای شاخص شکنندگی و قیمت نفت، نرخ رشد ارز و نرخ رشد تولید ناخالص داخلی، الگوی خودرگرسیون برداری با چرخش مارکوف ((MSH(3)-VAR(1) و دادههای فصلی طی دوره 1383 تا 1398 مورد برآورد قرار گرفته است. این مقاله سه رژیم باثبات، پر ریسک و با ریسک متوسط، برای شرایط بخش بانکی و اقتصاد ایران که متأثر از نوسانات قیمت نفت است شناسایی نموده است. نتایج نشان میدهد که شوک قیمت نفت در رژیم با ثبات، تغییر کوچکتری در مقدار شاخص شکنندگی نسبت به دو رژیم دیگر ایجاد میکند و با افزایش تولید ناخالص داخلی سبب بهتر شدن شرایط اقتصادی و نظام بانکی میشود. از طرفی در رژیم با ریسک متوسط، نوسان قیمت نفت سبب افزایش در شکنندگی بانکی میشود اما به دلیل تأثیر شوک قیمت نفت بر افزایش تولید ناخالص داخلی و کاهش نرخ ارز، قابلیت تبدیل به رژیم با ثبات را دارد. در حالیکه وقوع شوک قیمت نفت در رژیم پرریسک سبب بدتر شدن شرایط اقتصادی و تأثیر متقابل آن بر نظام بانکی میشود. | ||
کلیدواژهها | ||
ارتباط بین اقتصاد کلان و بخش بانکی؛ الگوی چرخشی مارکوف؛ شکنندگی بانکی؛ خودرگرسیون برداری؛ نفت و اقتصاد کلان | ||
عنوان مقاله [English] | ||
Examination of Oil Price Fluctuations Effects on Macroeconomy and Banking System in Iran as an Oil-Exporting Country with Vector Autoregressive Markov Switching Models | ||
نویسندگان [English] | ||
Reihaneh Larijani1؛ Seyed Kamal Sadeghi2؛ Zahra Karimi Takanlu3؛ Reza Ranjpur4 | ||
1Ph.D. Candidate ,Faculty of Economics and Management, Tabriz University. | ||
2Proffosor of Economics, Faculty of Economics and Management, Tabriz University. | ||
3Associate Professor, Faculty of Economics and Management, Tabriz University. | ||
4Associate Professor, Faculty of Economics and Management, Tabriz University. | ||
چکیده [English] | ||
This study has been used to investigate the effect of oil price fluctuations on the banking system and how it is related to the macroeconomics, using the quality of bank fragility introduced by Kibritçioglu (2003) and the selection auto regression method with the Markov switching model. Since fluctuating and unstable economic conditions have an impact on economic conditions and the banking system to detect the effect of oil prices, using the variables of fragility index and oil price, currency growth rate and GDP growth rate, the vector auto regression model with Markov switching (MSH(3)-VAR(1)) and seasonal data from 2004 to 2019 have been evaluated. The results show that the oil price shock in the stable regime causes a smaller change in the value of the fragility index compared to the other two regimes, and with the increase in GDP, it improves the economic conditions and the banking system. On the other hand, in the regime with moderate risk, the oil price fluctuation causes an increase in bank fragility, but due to the effect of the oil price shock on the increase in GDP and the decrease in the exchange rate, it has the ability to become a stable regime. While the occurrence of oil price shock in a high-risk regime causes economic conditions to worsen and its reciprocal effect on the banking system. | ||
کلیدواژهها [English] | ||
Macro-Financial Linkages, Banking System Fragility, Vector Autoregression, Markov Switching Models | ||
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