پيچيدگي اقتصادي و عوامل نهادي (مقايسه ميان كشورهاي توسعه يافته، نوظهور و درحال توسعه)

The Effect of Trade Openness and Government Size on Macroeconomic Volatility in Iran: A Stochastic Volatility Model (SVM) Approach

هدف از اين پژوهش بررسي تاثير عوامل نهادي بر روي شاخص پيچيدگي اقتصادي كشورهاي توسعه يافته، نوظهور و در حال توسعه مي باشد. بدين منظور با بررسي مطالعات نظري و تجربي از روش گشتاورهاي تعميم يافته سيستمي با استفاده از داده هاي مربوط به 102 كشور طي دوره زماني 1993-2016 ، تاثير بهبود نهادها بر پيچيدگي اقتصادي به تفكيك كشورها بر مبناي دسته بندي اقتصادي آن ها بررسي گرديد. بر مبناي متغير شاخص توسعه يافتگي نهادي (شاخص تركيبي) بيشترين تاثير ساختار نهادي بر روي پيچيدگي اقتصادي، به ترتيب به كشورهاي توسعه يافته، در حال توسعه و نوظهور اختصاص يافته است.

The main purpose of this paper is to examine the effect of trade openness and government size on macroeconomic volatility. Economic theories do not clearly show the effects of trade openness and government size on macroeconomic volatility. Therefore, this is essentially an empirical problem. Hence, we have presented an empirical model to test the effect of trade openness and government size on macroeconomic volatility in Iran over the period of 1352-1395. For this, first, the macroeconomic uncertainty was extracted using stochastic volatility model with leverage effects by technique of principal component analysis. The results showed that in the long run, trade openness and government expenditures have a positive effect on macroeconomic volatility in Iran. In addition, in the short run, there is no significant relationship between the relevant variables and macroeconomic volatility.