ارزیابی روند اتصال بین بازارهای قراردادهای آتی نفت جهانی و تأثیر آن بر بازار ارز نارسمی و سکه طلا در ایران
عبدالرسول افراسیابی
1
(
دانشگاه آزاد اسلامی، واحد مرودشت، مرودشت، ایران
)
سید نعمت الله موسوی
2
(
استاد گروه اقتصاد، واحد مرودشت، دانشگاه آزاد اسلامی، مرودشت، ایران.
)
فاطمه زندی
3
(
استادیار گروه اقتصاد، واحد تهران جنوب، دانشگاه آزاد اسلامی، تهران، ایران.
)
کلید واژه: اتصال بازارها, انتقال نوسان, خودرگرسیون برداری, خودرگرسیون بیزین.,
چکیده مقاله :
هدف مطالعة حاضر، ارزیابی روند اتصال بین بازارهای قراردادهای آتی نفت جهانی و تأثیر آن بر بازار ارز نارسمی و سکه طلا در ایران می‌باشد. مطالعة حاضر از نظر هدف، کاربردی و به لحاظ ماهیت داده‌ها از نوع کمی می‌باشد که با روش گردآوری اسناد صورت پذیرفته است. جامعة آماری پژوهش نیز شامل داده‌های روزانه نرخ ارز در بازار ارز نارسمی و قیمت سکه طلای بهار آزادی روزانه در بازار تهران است. برای تجزیه و تحلیل داده‌ها از روش رگرسیون مارکوف سوئیچینگ استفاده شده است. برای این منظور داده‌های روزانه بازارهای تهران برای دوره 1397- 1400 گردآوری و با استفاده از رگرسیون BTVC-VAR یا تخمین بیزین VAR با پارامترهای متغیر در طی زمان، تجزیه و تحلیل شد. یافته‌های پژوهش نشان داد که بین این سه بازار اتصال وجود دارد و نوسان از بازار جهانی آتی‌های نفت خام به بازارهای داخلی دلار نارسمی و سکه طلا منتقل می‌شود. البته این انتقال نوسان بسیار مقطعی و موقتی است و در کوتاه‌مدت میرا می‌شود. افزون بر این، شاخص دیبولد-ییلماز نیز دال بر ماهیت نوسانی اتصال بین این بازارها بود به طوری که در بلندمدت، در برخی مقاطع، اتصال ضعیف و در برخی از مواقع اتصال قوی است.
چکیده انگلیسی :
The aim of the current research is to examine the connection between the global crude oil futures market and the domestic markets of the crude oil dollar and gold coins. The current research is practical in terms of purpose and quantitative in terms of the nature of the data, which was carried out by the method of collecting documents. The statistical population of the research includes the daily exchange rate data in the informal currency market and the daily price of Bahar Azadi gold coins in the Tehran market. Markov switching regression method has been used for data analysis. For this purpose, the daily data of Tehran markets for the period 2018-2020 were collected and analyzed using BTVC-VAR regression or Bayesian VAR estimation with time-varying parameters. The findings of the research showed that there is a connection between these three markets and the volatility is transferred from the global market of crude oil futures to the domestic markets of crude oil and gold coins. Of course, this transfer of fluctuations is very intermittent and temporary and will be dampened in the short term. In addition, the Diebold-Yilmaz index also indicated the fluctuating nature of the connection between these markets, so that in the long term, at some points, the connection is weak and at other times the connection is strong.
رضا قلیزاده، مهدیه؛ طهرانچیان، امیر منصور و علیزاده نقارچی، فاطمه. (1402). «بررسی اثرات نامتقارن عدم اطمینان قیمت نفت بر سرمایه‌گذاری شرکت‌ها». پژوهشنامه اقتصاد کلان، 18(40)، 41-67.
رضی کاظمی، صغری؛ رهنمای رودپشتی، فریدون؛ زمردیان، غلامرضا و چیرانی، ابراهیم. (1402). «تبیین شوک‌ها و نوسانات بازار ارز و نحوه انتقال این شوک ها به سایر بازارها». دانش سرمایه‌گذاری، 12(46)، 485-504.
مجردی، مهناز؛ نیکوقدم، مسعود و الیاس پور، بهنام. (1403). «بررسی اثر نوسانات قیمت نفت و نااطمینانی سیاست اقتصادی بر بازده سهام در ایران». اقتصاد پولی مالی، 30(3)، 1-23.
محمدی، تیمور؛ قاسمی، عبدالرسول؛ تکلیف، عاطفه و صادقین، علی. (1400). «تحلیل نوسانات دائمی و موقت قیمت نفت برنت و صنایع وابسته به آن با بازارهای طلا و ارز : کاربردی از رویکرد شبکه». اقتصاد مالی، 15(56)، 89-116.
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