دوره 9، شماره 33 - ( 9-1397 )                   سال9 شماره 33 صفحات 89-116 | برگشت به فهرست نسخه ها

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چکیده:   (1013 مشاهده)

با توجه به نوسانات نرخ ارز در اثر سیاست¬های ارزی مختلف طی سال¬های اخیر، بررسی اثر شوک¬های ارزی بر بازار سهام می¬تواند نتایج مفیدی را در بر داشته باشد. لذا در این مقاله به بررسی تقارن یا عدم تقارن اثر شوک¬های مثبت و منفی دلار در بازار آزاد بر شاخص صنایع شیمیایی و فلزات اساسی به عنوان دو صنعت بورسی که دارای بیش‌ترین صادرات غیر‌نفتی کشور هستند، با استفاده از داده‌های هفتگی در دوره 1385-1395 پرداخته شده است. به این منظور ابتدا وجود رابطه تعادلی بلند¬مدت به وسیله آزمون کرانه¬های پسران بررسی و تأیید گردید. در ادامه ضمن پذیرش تأثیر نامتقارن شوک¬های ارزی مثبت و منفی بر شاخص¬های مورد بررسی به کمک آزمون والد، بر اساس نتایج به دست آمده از مدل اصلی تحقیق یعنی مدل خودرگرسیون با وقفه توزیعی نامتقارن (NARDL) مشخص گردید اثر افزایش نرخ دلار بر هر دو شاخص در کوتاه‌مدت و بلندمدت مثبت و معنی¬دار و اثرگذاری کاهش آن بی معنی می‌باشد. به علاوه ضرایب استخراج شده نشان از اثرگذاری بیش¬تر شوک مثبت دلار آزاد بر شاخص شیمیایی نسبت به شاخص فلزات اساسی دارد. متغیر کنترلی در نظر گرفته شده تحقیق یعنی قیمت نفت خام اوپک نیز اثر مستقیم و معنی¬داری بر هر دو شاخص مورد بررسی در کوتاه‌مدت و بلندمدت نشان می¬دهد.  
متن کامل [PDF 1143 kb]   (706 دریافت)    
نوع مطالعه: كاربردي | موضوع مقاله: پولی و مالی
دریافت: ۱۳۹۶/۷/۲۳ | پذیرش: ۱۳۹۷/۷/۲۱ | انتشار: ۱۳۹۷/۹/۲۸

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