اثر رژیم‌محور نرخ ارز بر تورم در ایران: رویکرد بیزی با استفاده از مدل ترکیبی رگرسیون مبتنی بر فرآیند دریکله

امینی, مریم; حاتم راد, سامان; آدرنگی, بهرام

doi:10.22059/jte.2026.398371.1009017

اثر رژیم‌محور نرخ ارز بر تورم در ایران: رویکرد بیزی با استفاده از مدل ترکیبی رگرسیون مبتنی بر فرآیند دریکله

نوع مقاله : مقاله پژوهشی

نویسندگان

¹ گروه اقتصاد، دانشکده علوم انسانی، دانشگاه زنجان، زنجان، ایران.

² گروه اقتصاد، دانشگاه پورتلند، پورتلند، آمریکا.

10.22059/jte.2026.398371.1009017

چکیده

هدف اصلی این پژوهش، بررسی تأثیر رژیم‌محور نرخ ارز بر تورم با تمرکز بر نقش رشد نقدینگی، نوسانات قیمت جهانی نفت برنت و مخارج دولت است. در این راستا، از رویکرد ترکیبی بیزی مبتنی بر فرآیند دریکله (DPMR) بر داده‌های ۱۳۸۳Q۱ تا ۱۴۰۲Q۴ استفاده شد. مدل ، پنج خوشه ساختاریافته شناسایی کرد که در هر یک، شدت و جهت تأثیر متغیرها بر تورم متفاوت است. واریانس درون‌رژیمی از بسیار پایین (رژیم باثبات) تا بسیار بالا (رژیم ناپایدار) متغیر است. رژیم‌ها عبارتند از: نفت‌محور با تورم بالا (شوک‌های نفتی محرک اصلی، سیاست داخلی خنثی)؛ پایدار با اثر نفت کنترل‌شده (انضباط مالی و تثبیت ارزی مؤثر)؛ ناپایدار با اثر همزمان نفت و دولت (بحران ساختاری، تورم فزاینده)؛ تورم ناشی از تقاضای داخلی (فشار هزینه‌های دولت، نفت بی‌اثر)؛ ضدتورمی/رکودی (اثرات معکوس پول و مخارج، رکود تورم‌زدا). همچنین یافته‌ها نشان می‌دهد نوسانات قیمت نفت پایدارترین و قوی‌ترین محرک تورمی است که حتی در رژیم‌های باثبات، اثرات شدید و مثبت دارد. رشد نقدینگی اثر مثبت اما پراکنده دارد؛ میانه منفی و تنوع بین‌خوشه‌ای بالا نشان‌دهنده عدم ثبات رابطه پول–تورم است. در رژیم‌های بحرانی خنثی یا معکوس، در رژیم رکودی تورم‌زدا عمل می‌کند. این ناهمگنی، سیاست پولی زمینه‌محور را الزامی می‌سازد. مخارج دولت عملکرد دوگانه دارد: کنترل تورم در رژیم‌های نفت‌محور و رکودی (۱، ۲ و ۵) از تثبیت قیمت؛ و تحریک تورم در رژیم‌های بحرانی و تقاضایی (۳ و ۴) از طریق فشار بر تقاضای کل. این ناهمگنی ساختاری، روابط علّی ثابت را رد می‌کند و بر زمینه‌مندی سیاست‌گذاری تأکید دارد. پیامد سیاستی به‌طور قاطعانه نشان می‌دهد که نسخه واحد برای مهار تورم ناکارآمد است، و سیاست‌گذاران باید رژیم‌محور عمل کنند.

کلیدواژه‌ها

موضوعات

اقتصاد ایران و کلان

عنوان مقاله [English]

The Impact of the Exchange Rate Regime on Inflation in Iran: A Bayesian Approach Using a Dirichlet Process Mixture Regression Model

نویسندگان [English]

maryam amini ¹
saman hatamerad ¹
Bahram Adrangi ²

¹ Department of Economics, Faculty of Humanities, University of Zanjan, Zanjan, Iran.

² Department of Economics, University of Portland, Portland, USA.

چکیده [English]

The main objective of this study is to examine the impact of exchange rate regimes on inflation, focusing on the role of liquidity growth, global Brent oil price fluctuations, and government spending. DPMR used data from 1383Q1 to 1402Q4. The model identified five structured clusters, in each of which the magnitude and direction of the variables' impact on inflation differed. The within-regime variance ranges from very low (stable regime) to very high (unstable regime). The regimes are: oil-driven with high inflation (oil shocks as the main driver, neutral domestic policy); stable with controlled oil effect (fiscal discipline and effective exchange rate stabilization); unstable with simultaneous oil and government effect (structural crisis, rising inflation); domestic demand-driven inflation (government spending pressure, oil ineffective); Deflation/stagflation (reverse effects of money and spending, deflationary stagnation). The findings also show that oil price fluctuations are the most stable and powerful inflation driver, with strong and positive effects even in stable regimes. Liquidity growth has a positive but scattered effect; the negative median and high inter-cluster variation indicate instability of the money-inflation relationship. In neutral or reverse crisis regimes, it acts as a deflationary in a recessionary regime. This heterogeneity necessitates context-based monetary policy. Government spending has a dual function: controlling inflation in oil-driven and recessionary regimes (1, 2, and 5) through price stabilization; and stimulating inflation in crisis and demand-driven regimes (3, 4) through pressure on aggregate demand. This structural heterogeneity rejects fixed causal relationships and emphasizes the contextuality of policymaking. The policy implication strongly suggests that a single prescription for containing inflation is ineffective, and policymakers should act regime-oriented.

کلیدواژه‌ها [English]

Bayesian Model
Exchange Rate
Inflation

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