تعیین کننده‌های فشار بازار ارز تحت نظام‌های متفاوت ارزی: رویکرد متوسط‌ گیری بیزین

نوع مقاله: مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد دانشگاه تبریز

2 استاد اقتصاد دانشگاه تبریز

3 دانشیار اقتصاد دانشگاه تبریز

چکیده

هدف این مطالعه ارائه سیستم هشداردهنده بحران ارزی با رویکردی جدید می‌باشد. برای این منظور متغیرهای هشداردهنده بحران ارزی برای دو گروه از کشورها با نظام ارزی شناور و غیرشناور بررسی می‌شود. همچنین، برای برطرف کردن مشکل نااطمینانی به مدل از روش متوسط‌گیری بیزین استفاده می‌شود. بدین ترتیب برای 43 کشور در طول دوره زمانی1999-2014، 64 متغیر هشداردهنده بررسی شده است. در اینجا دو نوع سیستم هشداردهنده مورد آزمون قرار گرفته، بطوریکه در سیستم اول شاخص بحران ارزی و در سیستم دوم بی‌ثباتی فشار بازار ارز ارزیابی ‌شده است. همچنین، در هر دو سیستم، متغیرهای هشداردهنده شامل شاخص‌های متنوعی در بخش‌های تجاری، مالی، واقعی، نهادی، سیاسی و ساختاری می‌شود. در مجموع نتایج بیانگر آن است که با اعمال نظام ارزی در سیستم‌های هشداردهنده‌ی یادشده، متغیرهای هشدار متفاوتی برای نظام‌های مختلف ارزی معرفی می‌شوند؛ بطوریکه نشان داده شد قیمت نفت در نظام ارزی شناور و تغییرات فشار بازار ارز در نظام‌های غیرشناور، شاخص‌های هشداردهنده مهم هستند.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Determinants of Exchange Market Pressures in Different Exchange Rate Regimes: Bayesian Model Averaging Evidence

نویسندگان [English]

  • Maryam Barzegar Marvasti 1
  • Behzad Salmani 2
  • Seyed Alireza Kazerooni 2
  • Parviz Mohammadzadeh 3
1 Ph.D. Candidate in Economics, University of Tabriz
2 Professor of Economics, University of Tabriz
3 Associate Professor of Economics, University of Tabriz
چکیده [English]

The purpose of this paper is to determine the most significant leading indicators of the currency crisis in two groups of countries, countries with the floating exchange rate regimes and countries with the non-floating ones. A unique set data that covers 43 countries and their currency crises during 1999-2014 and 64 indicators are used. Moreover, estimation technique that is robust to model uncertainty, i.e. Bayesian Model Averaging is applied. Two types of the warning systems are used. Therefore, in the first system, warning variables of currency crisis are investigated while in the second ones, determinants of the exchange market pressure volatility are examined. Morever, these systems involve monitoring the evaluation of several leading indicators from the financial, political, structural, trade and other sectors. Overall, the results indicate that Oil price plays a pivotal role as a warning variable in countries with floating exchange rate regimes in both systems. Just the same, for the countries that experienced non-floating exchange rate regime prior to the crisis and during of it, changes in exchange market pressure index is a significant leading indicator of currency crises.

کلیدواژه‌ها [English]

  • Exchange market pressures
  • Leading indicators of currency crisis
  • Bayesian model averaging
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