گروه‎بندی دارایی‎های پولی در ایران بر اساس تحلیل ناپارامتریک تقاضای پول

نوع مقاله: مقاله پژوهشی

نویسندگان

1 دانشیار دانشگاه سمنان

2 استاد گروه اقتصاد دانشگاه شهید بهشتی

3 دانشجوی دکترای اقتصاد دانشگاه سمنان

چکیده

در میان اساسی‌ترین مفروضات موجود در اقتصاد خرد، حداکثرسازی مطلوبیت و تفکیک‎پذیری اقلام در تابع مطلوبیت مصرف‎کننده، به‌لحاظ نظری و نیز کاربرد تجربی، از مهم‎ترین آن‎ها به شمار می‌رود. هدف از این مقاله بررسی نتایج آزمون ناپارامتریک این مفروضات بر رفتار مصرف‎کننده، در مورد دارایی‎های پولی در ایران است. برای این منظور از رویکرد هال واریان با دو آزمون سازگاری با اصل حداکثرسازی مطلوبیت (GARP) و نیز آزمون تفکیک‎پذیری ضعیف بهره گرفته شده است. با استفاده از داده‎های ماهانه در بازه‌ی زمانی 1387:1 تا 1391:12، نتایج نشان می‌دهد که داده‎های دارایی‎های پولی، به‌دلیل وجود 2 مشاهده‌ی نقض‎کننده‌ی اصل، به‌طورکلی سازگار با اصل حداکثرسازی مطلوبیت نمی‎باشد. لذا مطابق با روش استانداردی، دو زیرمجموعه‌ی زمانی 1387:1 تا 1388:12 و نیز 1389:1 تا 1391:12 مورد آزمون قرار گرفته و سازگاری آن‎ها بدون هیچ‎گونه نقضی مورد تأیید قرار گرفته شده است. سپس آزمون تفکیک‎پذیری ضعیف تابع مطلوبیت در 15 زیرگروه از دارایی‏های پولی مورد بررسی قرار دادیم. طبق نتایج شرط لازم و کافی تفکیک‎پذیری ضعیف در برخی از زیرگروه‎‎ها دربازه‌ی زمانی اول و دوم برقرار است، در نهایت این نتیجه حاصل می‌شود که بازه‎های زمانی‌ای وجود دارد که در آن در برخی از زیرگروه‏ها از دارایی‎های پولی، اگر فرم تابعی خاصی در ادبیات موضوع تقاضای پول رد می‎شود، به معنای رد تحلیل تقاضای پول مبتنی بر مطلوبیت نیست، بلکه به معنای رد تصریح خاص تابع و یا رد گروه خاص دارایی‎های پولی می‌باشد.
طبقه بندی JEL: E41, E52

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Grouping of Monetary Assets in Iran Based on Nonparametric Approach to the Money Demand

نویسندگان [English]

  • alireza erfani 1
  • parviz Davoodi 2
  • Farzaneh Sadeqi 3
1 Associate Professor, Economics department of Semnan University
2 Faculty of Shahid Beheshti University
3 PH.D Student in Economics, Semnan University
چکیده [English]

Among the most basic assumptions in microeconomics, utility maximization and separability of items in the consumer utility function is the most important, both in terms of theory and empirical application. The purpose of this study was to evaluate nonparametric test results from these assumptions on consumer behavior in monetary assets in Iran. For this purpose, we used Hal Varian approach to test compatibility with the principle of utility maximization (GARP), and also the weak separability test.By using monthly data for the period 2008:3 to 2013:2, the results indicate that monetary asset data is not generally consistent with GARP, due to the violation of two observations. Therefore, in accordance with the standard procedure, two sub-sample of time 2008:3 to 2010:2 and 2010:3 to 2013:2 has been tested and their compatibility was approved without any violation. Then we apply weak separability test of utility function to 15 sub-group of monetary assets. According to the results, necessary and sufficient condition of weak separability were satisfied in some of the sub-groups in the first and second sub-sample. Finally, we can generally conclude that there are periods of data in which in some sub-group of monetary assets, if a specific functional form of money demand is rejected in the literature of money demand, doesn’t mean the rejection of the utility-based analysis of demand for money, but it would mean the rejection of specification of the specific function or rejection of the specific group of monetary assets

کلیدواژه‌ها [English]

  • Monetary integration
  • utility maximization
  • Nonparametric approach
  • compatibility test with GARP
  • weak separability
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