ﺑﺮرﺳﯽ ﺳﺮرﯾﺰ ﻧﻮﺳﺎﻧﺎت ﺷﺎﺧﺺ اﺳﺘﺮس ﻣﺎﻟﯽ ﺑﺮ ﺗﻮرم، ﻧﺮخ ﺑﻬﺮه، ﻧﻘﺪﯾﻨﮕﯽ و ﺷﺎﺧﺺ ﺻﻨﻌﺖ ﺑﺎ ﺗﺄﮐﯿﺪ ﺑﺮ ﻣﺪلﻫﺎي VAR ،GARCH-BEKK و ﻋﻠﯿﺖ ﮔﺮاﻧﺠﺮ

Examining the overflow of financial stress index fluctuations on inflation, interest rate, liquidity and industry index using GARCH-BEKK and VAR models and Granger causality

ﭼﮑﯿﺪه در ﻃﻮل دوران اﺳﺘﺮس ﻣﺎﻟﯽ، ﺗﺄﺛﯿﺮ ﺷﻮكﻫﺎي اﺳﺘﺮس ﻣﺎﻟﯽ ﺑﺮ ﻓﻌﺎﻟﯿﺖﻫﺎي اﻗﺘﺼﺎدي ﻣﻤﮑﻦ اﺳﺖ ﺑﺎ آﻧﭽﻪ ﻣﻌﻤﻮﻻً در زﻣﺎن ﻋﺎدي ﻣﺸﺎﻫﺪه ﻣﯽﺷﻮد ﻣﺘﻔﺎوت ﺑﺎﺷﺪ. ﺑﻨﺎﺑﺮاﯾﻦ ﻣﻘﺘﻀﯽ اﺳﺖ ﮐﻪ ﻧﺤﻮهي ﺗﻔﺎوت ﺗﺄﺛﯿﺮات اﺳﺘﺮس ﻣﺎﻟﯽ ﺑﺮ ﻓﻌﺎﻟﯿﺖﻫﺎي اﻗﺘﺼﺎدي و ﺗﻮرم در دوران ﺑﯽ ﺛﺒﺎﺗﯽ ﻣﺎﻟﯽ ﻣﻮرد ﺑﺮرﺳﯽ ﻗﺮار ﮔﯿﺮد. در اﯾﻦ ﻣﻘﺎﻟﻪ ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﺑﺤﺚ ﻓﻮق ﭼﮕﻮﻧﮕﯽ ﺗﺄﺛﯿﺮ وﺧﺎﻣﺖ ﺷﺮاﯾﻂ ﻣﺎﻟﯽ اﻗﺘﺼﺎد اﯾﺮان و ﺗﺄﺛﯿﺮ آن ﺑﺮ ﻣﺘﻐﯿﺮﻫﺎي ﮐﻼن اﻗﺘﺼﺎدي در ﻃﯽ ﺳﺎلﻫﺎي 1391 ﺗﺎ 1396 ﻣﻮرد ﺑﺮرﺳﯽ ﻗﺮار ﮔﺮﻓﺘﻪ اﺳﺖ. ﺑﻪ ﻫﻤﯿﻦ ﻣﻨﻈﻮر در اﯾﻦ ﭘﮋوﻫﺶ ﻗﺼﺪ دارﯾﻢ ﺑﺎ ﺳﺎﺧﺖ ﺷﺎﺧﺺ اﺳﺘﺮس ﻣﺎﻟﯽ ﺑﺎ اﺳﺘﻔﺎده از ﻧﻤﺎﯾﻨﺪهﻫﺎﯾﯽ از ﺑﺎزارﻫﺎي ﻣﺨﺘﻠﻒ، ﺗﺄﺛﯿﺮ ﺳﺮرﯾﺰ ﻧﻮﺳﺎﻧﺎت ﺷﺎﺧﺺ اﺳﺘﺮس ﻣﺎﻟﯽ را ﺑﺮ ﺗﻮرم، ﻧﺮخ ﺑﻬﺮه، ﻧﻘﺪﯾﻨﮕﯽ و ﺷﺎﺧﺺ ﺻﻨﻌﺖ ﺑﺮرﺳﯽ ﮐﻨﯿﻢ. ﺑﻪ ﻫﻤﯿﻦ ﺟﻬﺖ ﺑﺎ اﺳﺘﻔﺎده از ﻣﺪل GARCH دو ﻣﺘﻐﯿﺮه )BEKK( و ﻫﻤﭽﻨﯿﻦ ﺑﺎ ﻣﺪل VAR، ﺗﺄﺛﯿﺮ ﺷﻮكﻫﺎ و ﻧﻮﺳﺎﻧﺎت ﺑﯿﻦ آﻧﻬﺎ ﻣﻮرد آزﻣﻮن ﻗﺮار ﮔﺮﻓﺖ و ﺳﭙﺲ راﺑﻄﻪي ﺑﯿﻦ آﻧﻬﺎ از ﻃﺮﯾﻖ آزﻣﻮن ﻋﻠﯿﺖ ﮔﺮاﻧﺠﺮ ﺑﺮرﺳﯽ ﮔﺮدﯾﺪ. ﻧﺘﺎﯾﺞ ﻧﺸﺎن دﻫﻨﺪهي اﯾﻦ اﺳﺖ ﮐﻪ ﺑﯿﻦ ﺷﺎﺧﺺ اﺳﺘﺮس ﻣﺎﻟﯽ ﺑﺎ ﺗﻮرم، ﻧﺮخ ﺑﻬﺮه و ﻧﻘﺪﯾﻨﮕﯽ ﯾﮏ راﺑﻄﻪي ﻋﻠﯿﺖ ﺑﺮﻗﺮار اﺳﺖ اﻣﺎ در ﺑﺮرﺳﯽ راﺑﻄﻪ ﻋﻠﯿﺖ ﺑﯿﻦ ﺷﺎﺧﺺ اﺳﺘﺮس ﻣﺎﻟﯽ و ﺷﺎﺧﺺ ﺻﻨﻌﺖ ﻧﺘﺎﯾﺞ آزﻣﻮن ﻋﻠﯿﺖ ﻧﺸﺎن دﻫﻨﺪهي اﯾﻦ اﺳﺖ ﮐﻪ اﯾﻦ ﺷﺎﺧﺺ ﺻﻨﻌﺖ اﺳﺖ ﮐﻪ در ﺑﻠﻨﺪ ﻣﺪت ﺑﺎ ﺗﻼﻃﻢ ﺧﻮد ﺑﺎﻋﺚ ﺗﻐﯿﯿﺮات ﺷﺎﺧﺺ اﺳﺘﺮس ﻣﺎﻟﯽ ﻣﯽ ﺷﻮد اﻣﺎ ﺷﺎﺧﺺ اﺳﺘﺮس ﻣﺎﻟﯽ ﺗﺎﺛﯿﺮي ﺑﺮ ﺷﺎﺧﺺ ﺻﻨﻌﺖ ﻧﺪارد.

During financial stress, the impact of financial stress shocks on economic activity may differ from what is usually observed at normal times. Therefore, it is appropriate to consider the effects of financial stress on economic activity and inflation during the period of financial instability. In this paper, hence, the effect of the deterioration of financial conditions of the Iranian economy on macroeconomic variables between 2012 and 2017 has been investigated. For this purpose, in this research, we intend to study the impact of the fluctuations of the financial stress index on inflation, interest rates, liquidity, and industry index by developing the financial stress index using representatives from different markets. Therefore, using the GARCH two-variable BEKK model and also the VAR model, the effects of shocks and fluctuations between them were tested and then the relationship between them was investigated by Granger's causality test. The results indicate that there is a two-way relationship between the financial stress index and inflation, interest rate, and liquidity, but in examining the causality between the financial stress index and the industry index, the results of the causality test indicate that the industry index itself, in the long run, triggers changes in the financial stress index, but the financial stress index has no effect on the industry index.