همبستگي پوياي نوسان نرخ ارز، صادرات و واردات با نااطميناني سياست اقتصادي جهاني (كاربرد الگوي M-GARRCH رهيافت DCC)

Dynamic Correlation of Exchange Rate, Export and Import Volatility with The Global Economic Policy Uncertainty Index (Application of M-GARRCH and DCC Approach)

با توجه به تعامل كشورها در سطح جهاني، پويايي بازارهاي بين­ المللي مي­ تواند اقتصاد داخلي كشورها را تحت‌تأثير قرار دهد. تغييرات شرايط اقتصادي و نااطميناني وابسته به آن در اقتصادهاي مختلف جهان بر روابط تجاري و متغيرهاي تجارت خارجي اثر مي­ گذارد. در اين مطالعه، تأثير عدم‌اطمينان سياست اقتصادي جهاني بر نوسان متغيرهاي صادرات، واردات و نرخ ارز در ايران با استفاده ازداده ­هاي ماهانه براي دوره‌ي زماني فروردين 1383 تا اسفند 1398 مورد بررسي قرار گرفته است. همبستگي متغيرهاي ذكر شده در ايران با استفاده از الگوي همبستگي شرطي پوياي گارچ (DCC-GARCH) بررسي شده است. نتايج به‌دست آمده از الگوي تحقيق نشان مي­ دهد كه استفاده از الگوي همبستگي شرطي پويا مناسبتر از الگوي همبستگي­ شرطي ثابت است. براساس نتايج تحقيق، نوسانات سياست اقتصادي جهاني اثر معني ­دار بر نوسانات نرخ ارز، صادرات و واردات حقيقي دارد. اين شاخص رابطه‌ي مثبت با نوسان واردات ­­­و نرخ ارز، و رابطه‌ي منفي با نوسان صادرات دارد؛ بنابراين، شاخص نااطميناني سياست اقتصادي جهاني مي ­تواند تجارت بين ­المللي ايران را تحت‌تأثير قرار دهد و سياست­گذاران بايد به ساختار همبستگي ميان بازارهاي داخلي و شرايط جهاني توجه كنند.

Given the interaction of countries at the global level, the dynamics of international markets can affect the domestic economy of countries. Changes in economic conditions and related uncertainties in different economies of the world affect trade relations and foreign trade variables. In this study, the effect of global economic policy uncertainty on the volatility of export, import and exchange rate variables in Iran has been investigated using monthly data for the period April 2004 to March 2017. The correlation of the mentioned variables in Iran has been investigated using the dynamic conditional correlation model of GARCH (DCC-GARCH). The results obtained from the model show that the use of dynamic conditional correlation model is more appropriate than the fixed conditional correlation model. According to the research results, volatility in global economic policy have a significant effect on volatility of exports, imports and real exchange rates. The results of this article show that fluctuations in global economic policy may have different effects on Iran's trade with other countries. If different firms with different financing need to export or import, then it is acceptable that economic policy fluctuations should have a different impact on their international trade decisions, and ultimately economic activity will be subject to change. Given the impact of global economic policy uncertainty on trade, policymakers must consider the impact of global economic developments on the domestic economy in their decisions, and pay attention to the structure of the correlation between domestic markets and global conditions. In this regard, the necessary support programs should be set for activities that are most affected by global developments.