كانال‌هاي انتقال آثار سياست‌هاي پولي بر تورم در اقتصاد ايران با رويكرد ماركوف سوئيچينگ خودتوضيح برداري

Channels of Transmition the Effects of Monetary Policies on Inflation in Iran's Economy by Using Markov Switching Vector Autoregressive Approach

مكانيسم انتقال پولي، چگونگي واكنش اقتصاد به يك سياست پولي را توصيف مي‌كند. سياست پولي مهم‌ترين سياست‌هاي اقتصادي هر كشور است. هدف از اين مطالعه، بررسي اثربخشي نقش كانال‌هاي نرخ ارز، سهام، اعتباري و قيمت مسكن بر تورم طي دوره 1396-1357 در اقتصاد ايران است. براي اين منظور از مدل ماركوف سوئيچينگ خودتوضيح برداري كه قابليت زيادي در لحاظ كردن تغييرات ساختاري دارد، استفاده مي‌شود. براي داده‌هاي تحقيق نيز از تورم، حجم پايه پولي، شاخص قيمت زمين، شاخص قيمت سهام، نرخ ارز غيررسمي و مانده تسهيلات اعطايي به بخش خصوصي استفاده شده و تمامي داده‌ها از بانك مركزي جمع‌آوري شده‌اند. نتايج تحقيق حاكي از اين است كه در رژيم يك كانال اعتباري و در رژيم دو كانال قيمت مسكن و كانال قيمت سهام بيشترين نقش را در انتقال آثار پول بر تورم داشته‌اند. نهايتاً اقتصاد ايران به‌طور متوسط 3.63 دوره (سال) در رژيم يك قرار دارد 4.02 دوره (سال) در رژيم دو قرار دارد كه حاكي از پايداري تورم در رژيم دو در اقتصاد ايران است.

1- INTRODUCTIO In order to have an effective monetary policy, it is necessary for the monetary authorities to have sufficient information about the effect, the channels of start the effect, the duration of the effect and the time when the effect of the monetary policy effect peaks. Therefore, it is necessary to examine the intersection of credit channel, housing price channel, stock price channel and exchange rate channel in the nonlinear transmission mechanism of monetary policy on inflation in the Iranian economy. It has a structure in different regimes and the data of the central bank are used during the years1978-2017.   2- THEORETICAL FRAMEWORK Monetary policy is a set of actions that the central bank (monetary authority) through monetary instruments affect many economic goals such as price stability, exit from recession, stimulation of economic growth and increasing employment. This effect of monetary policy on the set goals and improvement in macroeconomic performance will indicate the efficiency of monetary policy. Central banks, as monetary policy makers in most countries of the world, seek the effectiveness of their monetary policies and to better understand the structures governing their economic environment in order to implement appropriate and timely policies and put economic variables on the path of growth and development. In this regard, how to formulate monetary policy and use monetary instruments is of particular importance in macroeconomics.   3- METHODOLOGY A novel feature of the Markov switching model is that the regime change mechanism in this model depends on a status variable. in other words, the recent value of the state variable just depends on the its value in previous periods. to calculate the unconditional probabilities in a model that include two regimes indicate the probability of being in each regime, we can consider the possibility of changing the parameters in different regimes, the linear VAR model transforme the MSVAR model:          4- RESULTS &DISCUSSION The role of the exchange rate channel in transferring money to inflation is positive in both regimes, meaning that it increases inflation. Given the structure of the Iranian economy and due to the high dependence on the price of finished products of domestic production to imported capital goods, it seems that the exchange rate will play a dominant role in determinayion the fate of inflation in the Iranian economy. The role of housing price channel in transferring money to inflation in regime one increases inflation and negative effects on monetary policy in Iran’s economy, while in regime two, housing price channel in transferring money to inflation has played the largest share in reducing inflation. The role of corporate credit channel in transferring money to inflation in the regime has a greater share than the second regime in transferring money to inflation. As a result, in economic policies, special attention should be paid to the inflationary effects if the granted facilities. Stock price channel, support of the stock market should be one of the main priorities of officials. Because in the Iranian economy, which is always involved in high inflation, the stock market without inflationary effects can increase investment to increase production. 5-CONCLUSIONS & SUGGESTIONS According to our results, it is suggested that to control inflation, policymakers should pay special attention to changes in currency price. At the same time, the policymaker can reduce the dependence of the country's industry on the import of capital goods and strengthen domestic financial instruments, such as the return on bank deposits, stock exchanges, etc. To strengthen other transfer channels so that it can rely on other channels to control inflation.