بررسی رابطه علّی بین نرخ ارز و پایه پولی در اقتصاد ایران: یافته‌هایی نو از الگوی رگرسیون متقاطع و همبستگی متقاطع چندگانه محلی موجک

نوع مقاله : مقاله پژوهشی

نویسنده

استادیار، گروه اقتصاد، دانشکده علوم اقتصادی و اداری، دانشگاه قم، قم، ایران

چکیده

در دنیای امروز، نوسانات ارزی و سیاست‌های پولی به‌عنوان دو عامل کلیدی در پویایی‌های اقتصاد ملی شناخته می‌شوند. برای اقتصاد ایران، که به‌طور قابل توجهی به درآمدهای نفتی وابسته است و تحت تأثیر تحریم‌های اقتصادی قرار دارد، اهمیت این دو متغیر به‌ویژه بیشتر است. در این راستا، تحلیل رابطه بین پایه پولی و نرخ ارز در ایران می‌تواند تأثیر بسزایی در سیاست‌گذاری‌های اقتصادی و اتخاذ تصمیمات مؤثر داشته باشد. این مقاله به بررسی رابطه علّی بین پایه پولی و نرخ ارز در اقتصاد ایران با استفاده از مدل موجک (WL-WCRC) و داده‌های ماهانه از فروردین 1380 تا مرداد 1403 پرداخته است. این دو متغیر نقش اساسی در تأثیرگذاری بر تورم، رشد اقتصادی، قدرت خرید و ثبات مالی دارند. نتایج این تحقیق نشان می‌دهند که تأثیر پایه پولی بر نرخ ارز و بالعکس در مقیاس‌های زمانی مختلف تفاوت‌های معناداری دارد. از سال 1391 به بعد، به‌دنبال افزایش نوسانات ارزی و شوک‌های اقتصادی، تأثیر نرخ ارز بر پایه پولی تقویت شده است. در این دوره، با وجود کاهش همبستگی در کوتاه‌مدت که در برخی دوره‌ها تقریباً به صفر رسیده است، در بلندمدت این تأثیرات متقابل و معناداری میان این دو متغیر وجود دارد. همچنین، انتظارات بازار و رفتارهای سفته‌بازانه به‌طور عمده نقش مهمی در تشدید نوسانات نرخ ارز ایفا کرده‌اند. نتایج تحقیق حاکی از آن است که سیاست‌های پولی بانک مرکزی از سال 1391 عمدتاً واکنشی به نوسانات بازار ارز بوده است. در حالی که از سال 1380 تا 1391، پایه پولی به‌عنوان عامل مؤثر بر نرخ ارز عمل کرده است، در سال‌های بعد به‌ویژه با افزایش نوسانات نرخ ارز و بحران‌های ارزی، نرخ ارز تأثیرات بیشتری بر پایه پولی گذاشته است. این نتایج بیانگر پیچیدگی روابط بین پایه پولی و نرخ ارز در اقتصاد ایران است و نشان می‌دهد که مدیریت نوسانات ارزی نیازمند استراتژی‌های پولی پیشگیرانه و مستقل از شوک‌های ارزی است. در مجموع، این تحقیق تأکید دارد که رابطه بین پایه پولی و نرخ ارز در ایران پیچیده و زمان‌محور است و در بلندمدت همبستگی دوسویه میان این دو متغیر مشاهده می‌شود. این یافته‌ها می‌توانند به سیاست‌گذاران در طراحی سیاست‌های پولی و ارزی مؤثرتر کمک کنند تا نوسانات ارز و تبعات اقتصادی آن کنترل شود. 

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Causal Relationship Between Exchange Rate and Monetary Base in Iran’s Economy: New Evidence from the Wavelet-Based Cross-Regression and Local Multiple Cross-Correlation Model

نویسنده [English]

  • Vahid Omidi
Assistant Professor,Economics, Department of economics and administrative science, University of Qom, Qom, Iran
چکیده [English]

In today’s world, exchange rate fluctuations and monetary policies are recognized as two key drivers in the dynamics of national economies. For Iran’s economy, which is heavily dependent on oil revenues and significantly affected by economic sanctions, the importance of these two variables is even greater. In this regard, analyzing the relationship between the monetary base and the exchange rate in Iran can have a considerable impact on economic policymaking and effective decision-making. This paper examines the causal relationship between the monetary base and the exchange rate in Iran’s economy using the wavelet-based cross-regression and correlation model (WL-WCRC) and monthly data from April 2001 to August 2024. These two variables play a fundamental role in influencing inflation, economic growth, purchasing power, and financial stability. The findings of this study indicate that the impact of the monetary base on the exchange rate, and vice versa, varies significantly across different time scales. Since 2012, following intensified exchange rate volatility and economic shocks, the exchange rate's influence on the monetary base has become stronger. During this period, although short-term correlations weakened—sometimes approaching zero—a significant and reciprocal long-term relationship between the two variables persisted. Moreover, market expectations and speculative behaviors have played an essential role in amplifying exchange rate volatility. The results further show that since 2012, the Central Bank’s monetary policies have been largely reactive to exchange rate fluctuations. From 2001 to 2012, the monetary base acted as a key determinant of the exchange rate. In later years, particularly amid rising exchange rate volatility and currency crises, the exchange rate exerted a more substantial influence on the monetary base. These findings highlight the complexity of the relationship between the monetary base and the exchange rate in Iran’s economy, demonstrating that managing exchange rate volatility requires proactive monetary strategies independent of currency shocks. Overall, the study emphasizes that the relationship between the monetary base and the exchange rate in Iran is both complex and time-dependent, with evidence of a bidirectional long-term correlation. These insights can assist policymakers in designing more effective monetary and exchange rate policies to control currency fluctuations and their economic consequences better

کلیدواژه‌ها [English]

  • Exchange rate
  • monetary base
  • causal relationship
  • WL-MCRC

مراجع

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