اقتصاد و سیاست گذاری مالی

اقتصاد و سیاست گذاری مالی

تحلیل رابطه علی گرنجری بین نرخ ارز مؤثر اسمی و شاخص کل قیمت سهام در اقتصاد ایران: رویکرد Toda-Yamamoto

نوع مقاله : مقاله پژوهشی

نویسندگان
گروه اقتصاد، دانشکده علوم انسانی، دانشگاه شاهد، تهران، ایران.
چکیده
نوسانات نرخ ارز و شاخص کل بازار سهام از مهم‌ترین عوامل بی‌ثباتی مالی در اقتصاد ایران به شمار می‌روند. درک رابطه این دو متغیر می‌تواند به سیاست‌گذاران و فعالان بازار سرمایه در تصمیم‌گیری کمک کند. این پژوهش با استفاده از داده‌های روزانه دوره ۱۳۸۷ تا ۱۴۰۳، به بررسی رابطه علی گرنجری بین نرخ ارز مؤثر اسمی و شاخص کل بورس تهران می‌پردازد. پس از آزمون‌های ریشه واحد و تعیین وقفه بهینه، مدل VAR برآورد شده و آزمون Toda–Yamamoto برای بررسی علیت میان متغیرها به کار گرفته شده است. نتایج نشان می‌دهد هر دو متغیر در سطح ناایستا و در تفاضل اول ایستا هستند. بر اساس ضرایب مدل و آزمون علیت، رابطه‌ای دوطرفه میان نرخ ارز و شاخص سهام وجود دارد؛ اما شوک‌های ارزی اثر قوی‌تری بر شاخص سهام دارند و نقش پیشروتری در پویایی‌های مالی کشور ایفا می‌کنند. این امر با ساختار صادرات‌محور بنگاه‌های بزرگ بورسی و تأثیر انتظارات تورمی بر جریان نقدینگی سازگار است. یافته‌ها ضرورت هماهنگی سیاست‌های ارزی و مالی و توسعه ابزارهای مدیریت ریسک ارزی را برجسته می‌کند.

چکیده تصویری

تحلیل رابطه علی گرنجری بین نرخ ارز مؤثر اسمی و شاخص کل قیمت سهام در اقتصاد ایران: رویکرد Toda-Yamamoto
کلیدواژه‌ها
موضوعات

عنوان مقاله English

Granger Causality Analysis Between Nominal Effective Exchange Rate and Aggregate Stock Price Index in the Iranian Economy: Toda-Yamamoto Approach

نویسندگان English

Ali Amoei
Mohammad Javad Rezaei
Department of Economics, Faculty of Humanities, Shahed University, Tehran, Iran.
چکیده English

Exchange rate fluctuations and the total stock market index are among the most important factors of financial instability in the Iranian economy. Understanding the relationship between these two variables can help policymakers and capital market activists in decision-making. This study examines the Granger causal relationship between the nominal effective exchange rate and the total index of the Tehran Stock Exchange using daily data from 2008 to 2024. After unit root tests and determining the optimal lag, the VAR model is estimated and the Toda–Yamamoto test is used to examine the causality between the variables. The results show that both variables are non-stationary at the level and stationary in the first difference. Based on the model coefficients and the causality test, there is a two-way relationship between the exchange rate and the stock index; however, exchange rate shocks have a stronger effect on the stock index and play a more leading role in the country's financial dynamics. This is consistent with the export-oriented structure of large listed firms and the effect of inflation expectations on cash flow. The findings highlight the need to coordinate monetary and fiscal policies and develop currency risk management tools.

کلیدواژه‌ها English

Nominal Effective Exchange Rate
Aggregate Stock Price Index
Granger Causality Test
Vector Autoregression Model (VAR)
Toda-Yamamoto Approach
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