اثرات نامتقارن نرخ ارز بر انتظارات تورمی در اقتصاد هدف‌گذاری تورمی ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دیوان محاسبات کشور، تهران، ایران

2 گروه اقتصاد، دانشکده مدیریت و اقتصاد، دانشگاه تربیت مدرس، تهران، ایران

چکیده

عبور نرخ ارز و پیامدهای آن برای جنبه‌های گوناگون اقتصاد کلان و ثبات قیمت از موضوعات بحث‌ برانگیز و قدیمی می‌باشد. در این بحث، موضوعی که مورد توجه و بررسی قرار نگرفته این است که آیا انتظارات تورمی به‌عنوان کانالی برای عبور نرخ ارز تحت رژیم هدف‌گذاری تورم عمل می‌کند یا خیر. در این مطالعه پیامدهای عبور نرخ ارز و سایر عوامل تعیین‌کننده تورم برای انتظارات تورمی مورد تجزیه‌وتحلیل قرار گرفته است. به‌عنوان یک چارچوب تجربی تحلیل و برای استنباط و نتیجه‌گیری، از مدل غیرخطی خود رگرسیونی با وقفه توزیعی (NARDL) با به‌کارگیری داده‌های ماهانه برای دوره 1402:M1- 1399:M1   استفاده شده است. نتایج نشان می‌دهد که کاهش نرخ ارز سطح قیمت‌های انتظاری را افزایش داده، درحالی‌که افزایش نرخ ارز آن را کاهش می‌دهد. تورم نیز خود تأثیر قابل ملاحظه‌ای بر انتظارت تورمی دارد، به این معنی که می‌تواند در دوره‌های ثبات قیمت به تثبیت و کاهش انتظارت تورمی کمک کند. سایر عوامل تعیین‌کننده انتظارات تورمی از جمله عرضه پول و کسری بودجه نیز تأثیر قابل‌توجهی را نشان می‌دهند.
طبقه‌بندی JEL:
C12, C13, E31, E52, E58, E61, E62

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Asymmetric Effects of Exchange Rate on Inflation Expectations in Iran's Inflation Targeting Economy

نویسندگان [English]

  • Hamed Khezrzadegan 1
  • Hassan Heydari 2
1 Supreme Audit Court, Tehran, Iran.
2 Department of Economics, Faculty of Management and Economics, Tarbiat Modares University, Tehran, Iran
چکیده [English]

Exchange rate pass-through (ERPT) and its implications for the various aspects of macroeconomic and price stability are longstanding and much debated issues. In this debate, an underappreciated and unexplored issue is whether inflation expectations act as a channel for the ERPT under an inflation targeting regime. In this study are analyzed the implications of ERPT and other determinants of inflation for inflation expectations. As an empirical framework of analysis and to draw some inferences and conclusions, the Non-linear Autoregressive Distributed Lag (NARDL) model has been used during the period of April 2020 to April 2023. The results show that exchange rate depreciation increases expected price levels, while exchange rate appreciation reduces them. Inflation itself has very significant impact on inflation expectations, which implies that periods of price stability can help to anchor and moor inflation expectations. The other determinants of inflation expectations, including money supply and budget deficit also show considerable impact.
JEL Classification: C12, C13, E31, E52, E58, E61, E62

کلیدواژه‌ها [English]

  • Exchange rate pass-through
  • Inflation expectations
  • Inflation targeting
  • Non-linear ARDL

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سابقه مقاله

  • تاریخ دریافت: 15 مهر 1402
  • تاریخ بازنگری: 20 دی 1402
  • تاریخ پذیرش: 26 دی 1402

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