دانش سرمایه‌گذاری

دانش سرمایه‌گذاری

بررسی اثرات نامتقارن انعطاف پذیری نرخ ارز بر شاخص قیمت سهام در ایران

نوع مقاله : مقاله پژوهشی

نویسندگان
شهرام حیدری 1
کامبیز هژبر کیانی 2
فرید عسکری 3
1 دانشجوی دکتری گروه اقتصاد، واحد ابهر، دانشگاه آزاد اسلامی، ابهر، ایران
2 استاد گروه اقتصاد، واحد علوم تحقیقات، دانشگاه شهید بهشتی و دانشگاه آزاد اسلامی، تهران، ایران
3 استادیار گروه اقتصاد، واحد ابهر، دانشگاه آزاد اسلامی، ابهر، ایران
10.22034/jik.2025.76092.4445
چکیده
هدف از این تحقیق بررسی آثار خطی و غیرخطی متغیرهای پولی در ایران می‌باشد. دوره زمانی تحقیق سال‌های 1357-1401 است و تأثیر متغیرهای پولی شامل نرخ حقیقی ارز، انعطاف‌پذیری نرخ ارز، عرضه پول و تورم بر شاخص قیمت سهام با روش خود توزیع با وقفه‌های گسترده (ARDL) موردبررسی قرارگرفت. نتایج نشان می‌دهد در بلندمدت تأثیر نرخ حقیقی ارز، منفی (ضریب 86/3-)، انعطاف‌پذیری نرخ ارز، مثبت (ضریب 14/1)، تورم، مثبت (ضریب 004/0) و عرضه پول، مثبت (ضریب 158/0) بر شاخص قیمت سهام است. همچنین، اثرات نامتقارن متغیر انعطاف‌پذیری نرخ حقیقی ارز بر شاخص قیمت سهام با رویکرد NARDL ارزیابی شد. مقادیر بالاتر این شاخص به معنای ثبات بیشتر در بازار ارز می‌باشد و بالعکس. نتایج نشان می‌دهد تأثیر تغییرات مثبت انعطاف‌پذیری نرخ ارز بر شاخص قیمت سهام مثبت و تغییرات منفی این شاخص منفی می‌باشد؛ بنابراین عدم تقارن اثرگذاری انعطاف‌پذیری نرخ ارز بر شاخص قیمت سهام مورد تائید است.
کلیدواژه‌ها
عدم تقارن؛ شاخص قیمت سهام؛ رویکرد خودبازگشتی با وقفه های توزیعی غیرخطی (NARDL)
انعطاف‌پذیری نرخ ارز

عنوان مقاله English

Investigating the Asymmetric Effects of Exchange Rate Flexibility on the Stock Price Index in Iran

نویسندگان English

shahram heydary 1
Kambiz Hojabrkiani 2
farid asgari 3
1 PhD student in the Department of Economics, Abhar Branch, Islamic Azad University, Abhar, Iran
2 2. Professor of Economics Department, Research Sciences Unit, Shahid Beheshti University and Islamic Azad University, Tehran, Iran
3 3. Assistant Professor, Department of Economics, Abhar Branch, Islamic Azad University, Abhar, Iran
چکیده English

The purpose of this research is to investigate the linear and non-linear effects of monetary variables in Iran. The time period of the research is 1401-1357 and the effect of monetary variables including the real exchange rate, exchange rate flexibility, money supply and inflation on the stock price index was investigated using the autodistribution method with extended intervals (ARDL). The results show that in the long term the effect of real exchange rate is negative (coefficient -3.86), flexibility of exchange rate is positive (coefficient 1.14), inflation is positive (coefficient 0.004) and money supply is positive (coefficient 0.158). ) on the stock price index. Also, the asymmetric effects of the real exchange rate flexibility variable on the stock price index were evaluated with the NARDL approach. Higher values of this index mean more stability in the currency market and vice versa. The results show that the effect of positive changes in exchange rate flexibility on the stock price index is positive and negative changes of this index are negative; Therefore, the asymmetry of the effect of exchange rate flexibility on the stock price index is confirmed.

کلیدواژه‌ها English

Asymmetry
Stock Price Index
Nonlinear Autoregressive Distributed Lag (NARDL), Exchange Rate Flexibility
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