اثر نا اطمینانی نرخ ارز بر تقاضای واردات کشورهای عضو منا

نوع مقاله : مقالات پژوهشی

نویسندگان

• مهدی بهراد امین
• غلامرضا زمانیان

https://doi.org/10.22067/erd.v21i8.43936

چکیده

چکیده
نرخ ارز همواره به‌عنوان یک متغیر کلیدی و مهم اقتصادی در سیاست گذاری‌ها قلمداد می‌شود. علاوه بر این، بعد از به کارگیری نظام نرخ ارز شناور در دهه هفتاد میلادی، نوسانات و نا اطمینانی نرخ ارز و اثرات آن بر تجارت بین‌الملل نیز موردتوجه محققین واقع شد. اگرچه بیشتر مدل‌های تجارت استدلال می‌کنند که نوسانات نرخ ارز، نا اطمینانی و ریسک را افزایش می‌دهد و درنتیجه موجب کاهش جریان‌های تجاری ازجمله واردات می‌شود؛ بااین‌حال، برخی از مطالعات دیگر خلاف آن را نشان می‌دهند. مطالعه حاضر اثر نا اطمینانی نرخ ارز واقعی بر تقاضای واردات پنج کشور منتخب از کشورهای عضو منا، طی دوره زمانی 2012- 1980 را با استفاده از داده های سالانه موردبررسی قرار داده است. مدل EGARCH برای تولید لگاریتم سری‌های واریانس GARCH (تخمین نا اطمینانی نرخ ارز) و روش داده‌های تابلویی با اثرات تصادفی برای برآورد مدل استفاده‌شده است. نتایج، حاکی از اثر منفی متغیر نا اطمینانی نرخ ارز واقعی بر واردات واقعی در بلند مدت است. در بلند مدت، افزایش در نا اطمینانی نرخ ارز واقعی می‌تواند تراز تجاری کشور را از طریق کاهش تقاضای واردات بهبود بخشد، اما درعین‌حال ممکن است تولیدات صنعتی در اثر کاهش واردات کالاهای سرمایه‌ای و واسطه‌ای آسیب ببیند؛ بنابراین ازدیدگاه سیاستی، تثبیت نرخ ارز مؤثر واقعی از طریق نرخ‌های ارز اسمی عمده، ضروری به نظر می‌رسد.
کلید واژه ها: نا اطمینانی نرخ ارز، ای گارچ (EGARCH)، واردات، داده های تابلویی.

طبقه‌بندی JEL : F11، F14، F17، F31

کلیدواژه‌ها

• نا اطمینانی نرخ ارز
• ای گارچ (EGARCH)
• واردات
• داده های تابلویی

عنوان مقاله [English]

Effect of Exchange Rate Uncertainty on the Import Demand of MENA Member Countries

نویسندگان [English]

• Mehdi Behrad-Amin
• Gholamreza Zamanian

چکیده [English]

University of Sistan and Baluchestan

Abstract
The exchange rate as a key variable in economic policies have been considered. Moreover , the volatility and uncertainty of exchange rates and their effects on international trade in terms of policy is extremely important. Although most trade models argue that exchange rate volatility increases the uncertainty and risk and therefore reduce trade flows, including imports, however, some studies suggests the opposite. This study investigates the impact of real exchange rate uncertainty on import demand of member countries of the MENA. The period of study is during 1980 – 2012. The EGARCH model is used to generate the log of GARCH variance series and the panel data with random effects method was used to estimation of the model. The variable of real exchange rate uncertainty imposes a negative impact on real import in the long run. In the long run, a rise in real exchange rate uncertainty can improve the country’s trade balance by substantially lowering import demand, but can harm industrial production at the same time. Therefore, stabilization of real effective exchange rate via major nominal exchange rates may deem necessary.

Key words : exchange rate uncertainty, EGARCH, imports, Panel data

JEL Classification : F11, F14, F17, F31

کلیدواژه‌ها [English]

• exchange rate uncertainty
• EGARCH
• imports
• Panel Data

مراجع

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