بررسی رابطه علّی بین اعتبارات بانکی و رشد اقتصادی: رهیافت علیت گرنجری غیرخطی مارکوف سویچینگ

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد دانشگاه آزاد اسلامی واحد تهران مرکزی

2 استادیار اقتصاد دانشگاه آزاد اسلامی واحد تهران مرکزی

چکیده

رابطه اعتبار و رشد اقتصادی از مسائل مورد بحث اقتصاددانان می­باشد و مطالعات اخیر نشان داده است که رابطه بین اعتبار و رشد اقتصادی می‌تواند غیرخطی باشد. هدف این مطالعه بررسی علیت گرنجری غیرخطی بین متغیر اعتبار (که مهم‌ترین معیار برای توسعه مالی است) با متغیر رشد اقتصادی است. بدین منظور از علیت گرنجری در قالب مدل MSVAR و از داده‌های فصلی ایران در بازه زمانی 1383:1 تا 1398:4 استفاده‌شده است. نتایج نشان‌دهنده­ یک رابطه غیرخطی بین متغیر رشد اقتصادی و اعتبار می­باشد و مدل MSVAR نسبت به رقیب خطی خود (مدل VAR) دارای قدرت توضیح‌دهندگی بهتری است. در این مطالعه دو رژیم در­نظر گرفته‌ شده ­است در رژیم یک که متناظر با دوره‌های با رشد اقتصادی مثبت و رشد بالای اعتبار می­باشد، علیت فقط از سمت رشد اقتصادی به اعتبار وجود دارد و در رژیم دو که متناظر با دوره‌های با رشد اقتصادی و رشد اعتبار پایین می­باشد، علیت از سمت اعتبار به رشد اقتصادی برقرار است. به‌عبارت‌دیگر، در دوره‌های رونق، افزایش در اعتبار، نمی‌تواند رشد اقتصادی را به ‌صورت معنی‌داری تقویت نماید و به دلیل محدودیت‌های اعتباری در شرایط بد اقتصادی، افزایش در اعتبارات، می‌تواند رشد اقتصادی را تحت تأثیر قرار دهد.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Investigating the Causal Relationship Between Bank Credits and Economic Growth: Markov Switching Nonlinear Granger Causality Approach

نویسندگان [English]

  • Somayeh sadat Sajadi 1
  • Ali Akbar Khosravinejad 2
  • Hooshang Momeni Vesalian 2
  • Ghodratollah Emamverdi 2
1 PhD Student, Department of Economics, Faculty of Economics and Accounting, Tehran Branch, Islamic Azad University
2 Assistant Professor, Department of Economics, Faculty of Economics and Accounting, Central Tehran Branch, Islamic Azad University
چکیده [English]

The relationship between credit and economic growth is one of the issues discussed by economists and recent studies have shown that the relationship between credit and economic growth can be nonlinear. The aim of this study was to investigate the nonlinear Granger causality between the credit variable (which is the most important criterion for financial development) and the economic growth variable. For this purpose, Granger causality in the form of MSVAR model and seasonal data in the period 1383: 1 to 1398: 4 have been used. The results show a nonlinear relationship between economic growth and validity and MSVAR model has better explanatory power than its linear competitor (VAR model). According to this study, in regime one (which corresponds to periods of positive economic growth and high credit growth), causality exists only in terms of economic growth to credit, and in regime two (which corresponds to periods of economic growth and low credit growth) Causality is from credit to economic growth. In other words, in periods of prosperity, an increase in credit cannot significantly boost economic growth, and due to credit constraints in bad economic conditions, an increase in credit can affect economic growth

کلیدواژه‌ها [English]

  • Economic Growth
  • Bank Credits
  • Nonlinear relation
  • Markov Switching
  • Granger Cause

مراجع

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