شواهد تجربی جدید از تأیید آثار نامتقارن تکانه‌های نفتی بر روی تورم کشورهای عضو OPEC

نوع مقاله : علمی - پژوهشی

نویسندگان

1 1. دانشیار علوم اقتصاد، دانشگاه لرستان، خرم آباد، ایران

2 دکترای اقتصاد بخش عمومی، دانشگاه لرستان، خرم آباد، ایران

10.30507/jmsp.2018.63152

چکیده

مطالعات تجربی نشان می‌دهد که آثار نامتقارن تکانه‌های نفتی بر متغیرهای کلان اقتصادی کشورهای صادرکننده نفت نیز، همانند کشورهای واردکننده آن قابل طرح و بررسی است. در این راستا، مقاله حاضر سعی دارد به‌کمک رهیافت هم‌انباشتگی پانلی پنهان، آثار نامتقارن تکانه‌های نفتی را بر تورم کشورهای عضو OPEC (شامل ایران) طی دوره‌ی زمانی 2014-1990 بررسی کند.‌ به این منظور، ابتدا متغیرهای قیمت نفت خام و شاخص قیمت مصرف‌کننده این کشورها به اجزای مثبت و منفی تجمعی، تجزیه شده‌اند. سپس با توجه به وابستگی مقطعی در مدل‌های مورد بررسی از آزمون‌های ریشه واحد پسران (2007) و هم‌انباشتگی وسترلوند (2007) استفاده و نشان داده شده است که بین قیمت نفت خام و شاخص قیمت مصرف‌کننده رابطه بلندمدتی وجود ندارد (عدم تأیید هم‌انباشتگی خطی)؛ اما بین اجزای مثبت این متغیرها و بین اجزای مثبت شاخص قیمت مصرف‌کننده و اجزای منفی قیمت نفت خام رابطه بلندمدت برقرار است (تأیید هم‌انباشتگی پنهان). در آخر نیز این رابطه‌های بلندمدت به‌وسیله روش به ‌روز رسانی مکرر و کاملاً تعدیل‌شده (Cup-FM) برآورد شده‌اند. نتایج نشان می‌دهد که هر دو شوک مثبت و منفی قیمت نفت، تورم را در کشورهای عضو OPEC افزایش می‌دهد؛ به‌گونه‌ای که تأثیر شوک‌های منفی بیشتر از شوک‌های مثبت است (تأیید عدم تقارن).

کلیدواژه‌ها


عنوان مقاله [English]

New Empirical Evidence from the Support Asymmetry Effects of Oil Shocks on Inflation in OPEC Member Countries

نویسندگان [English]

  • mohammda jafari 1
  • abolghasem golkhandan 2
1 1. Assistant Professor, Faculty of Economics and Administration, University of Lorestan, Khoram Abad, Iran
2 Ph.D. Student, Faculty of Economics and Administration, University of Lorestan, Khoram Abad, Iran
چکیده [English]

Empirical studies show that asymmetric the effects of oil shocks on macroeconomic variables can review in oil-exporting countries like oil-importing countries. In this regard, this paper tries to investigate the asymmetric effects of oil shocks on inflation in OPEC member countries (including Iran) using hidden panel co-integration approach during the period 1990-2014. To achieve the purpose, first, the variables of crude oil prices and consumer price index for these countries are decomposed to cumulative positive and negative components. then, according to the cross-sectional dependence in the models, used the Pesaran unit root test (2007) and Westerlund co-integration test (2007) and shown that does not exist long-run relationship between crude oil prices and the consumer price index (not support linear co-integration); but there is a long-term relationship between positive components this variables and between positive components of consumer price index and negative components of oil prices (support hidden co-integration). Finally, these long-term relationships estimated by using the continuously-updated and fully-modified (Cup-FM). The results show that both positive and negative oil price shock increase the inflation in the OPEC member countries, so that the impact of negative shocks is more than positive shocks (support asymmetry).

کلیدواژه‌ها [English]

  • Inflation
  • Oil Price
  • Cross-Sectional Dependence
  • Hidden Panel Co-integration
  • Continuously-Updated and Fully-Modified (Cup-FM)
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