دوره 9، شماره 33 - ( 7-1397 )
سال9 شماره 33 صفحات 116-89 |
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Sarrafi Zanjani M, Mehregan N. Asymmetric Effect of Exchange Rate Risk on the Stock Index of Export-Oriented Industries Using the NARDL Model. jemr 2018; 9 (33) :89-116
URL: http://jemr.khu.ac.ir/article-1-1623-fa.html
URL: http://jemr.khu.ac.ir/article-1-1623-fa.html
صرافی زنجانی محمد، مهرگان نادر. اثر نامتقارن ریسک نرخ ارز بر شاخص سهام صنایع صادرات محور با استفاده از مدل NARDL. تحقیقات مدلسازی اقتصادی. 1397; 9 (33) :89-116
1- دانشگاه خاتم ، m.sarrafi.khatamuniversity@gmail.com
2- دانشگاه بوعلی سینا
2- دانشگاه بوعلی سینا
چکیده: (7229 مشاهده)
با توجه به نوسانات نرخ ارز در اثر سیاست¬های ارزی مختلف طی سال¬های اخیر، بررسی اثر شوک¬های ارزی بر بازار سهام می¬تواند نتایج مفیدی را در بر داشته باشد. لذا در این مقاله به بررسی تقارن یا عدم تقارن اثر شوک¬های مثبت و منفی دلار در بازار آزاد بر شاخص صنایع شیمیایی و فلزات اساسی به عنوان دو صنعت بورسی که دارای بیش‌ترین صادرات غیر‌نفتی کشور هستند، با استفاده از داده‌های هفتگی در دوره 1385-1395 پرداخته شده است. به این منظور ابتدا وجود رابطه تعادلی بلند¬مدت به وسیله آزمون کرانه¬های پسران بررسی و تأیید گردید. در ادامه ضمن پذیرش تأثیر نامتقارن شوک¬های ارزی مثبت و منفی بر شاخص¬های مورد بررسی به کمک آزمون والد، بر اساس نتایج به دست آمده از مدل اصلی تحقیق یعنی مدل خودرگرسیون با وقفه توزیعی نامتقارن (NARDL) مشخص گردید اثر افزایش نرخ دلار بر هر دو شاخص در کوتاه‌مدت و بلندمدت مثبت و معنی¬دار و اثرگذاری کاهش آن بی معنی می‌باشد. به علاوه ضرایب استخراج شده نشان از اثرگذاری بیش¬تر شوک مثبت دلار آزاد بر شاخص شیمیایی نسبت به شاخص فلزات اساسی دارد. متغیر کنترلی در نظر گرفته شده تحقیق یعنی قیمت نفت خام اوپک نیز اثر مستقیم و معنی¬داری بر هر دو شاخص مورد بررسی در کوتاه‌مدت و بلندمدت نشان می¬دهد.
واژه‌های کلیدی: اثر نامتقارن، نرخ دلار، شاخص شیمیایی، شاخص فلزات اساسی، مدل خودرگرسیون با وقفه توزیعی نامتقارن (NARDL).
نوع مطالعه: كاربردي |
موضوع مقاله:
پولی و مالی
دریافت: 1396/7/23 | پذیرش: 1397/7/21 | انتشار: 1397/9/28
دریافت: 1396/7/23 | پذیرش: 1397/7/21 | انتشار: 1397/9/28
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