تاثیر تورم و رشد نقدینگی بر نسبت مصون سازی در مقابل تلاطمات رژیم های مختلف قیمت نفت بوسیله مشارکت در بازار طلا:رهیافت RS-DCC

نوع مقاله : پژوهشی

نویسندگان

1 استاد،گروه اقتصاد نظری،دانشگاه علامه طباطبائی،تهران، ایران

2 دانشجوی دکتری اقتصاد نظری(گرایش مالی)،دانشگاه علامه طباطبائی، ، تهران، ایران

3 دانشیار، گروه اقتصاد بازرگانی، دانشگاه علامه طباطبائی،تهران، ایران

4 دانشیار،گروه اقتصاد نظری، دانشگاه علامه طبا طبائی، تهران، ایران.

چکیده

قیمت نفت و فرآورده‌های نفتی به همدیگر مرتبط و تلاطمات قیمت آنها تقریباً موازی است. بنگاه هایی که از نفت خام درمحصولات خود استفاده می‌کنند با ریسک تلاطم قیمت روبرو هستند. این تلاطم در هردوره‌ای رفتار متفاوتی از خود نشان می‌دهد که تحت عنوان رژیم‌های متفاوت نفتی شناخته می‌شود. اقتصاد دچار تلاطم بوده و خریداران دچار زیان هستند، خریداران در تلاشند که دارایی اصلی خود را با یک دارایی دیگر مصون کنند و این مصون‌سازی در رژیم‌های متفاوت نرخ متفاوتی دارد. درنتیجه نیاز به ارائه‌ی یک الگو برای این فضا می‌باشد. در این پژوهش تأثیر تورم و رشد نقدینگی بر نسبت مصون‌سازی در مقابل تلاطمات رژیم‌های مختلف قیمت نفت مورد بررسی است. برای این منظور قیمت نفت و طلا در بازه زمانی فروردین  سال1390 لغایت اسفند1398به صورت ماهانه درنظرکرفته شده و با مدل RS-DCC در نرم افزار متلب اجرا شده است. نسبت مصون‌سازی بهینه تحت رژیم اول معادل 66 درصد و تحت رژیم دوم معادل 26 درصد است. دو رژیم قیمتی نفت بالای صد دلار و پایین صد دلار در این پژوهش مشاهده شد که مشابه سال‌های 1386-1388می‌باشد. دورانی که اقتصاد دچار تورم و رشد نقدینگی بالا بوده نسبت بهینه مصون‌سازی کاهش قابل توجهی داشته است و در دوره های تورم پایین، طلا به عنوان یک بهشت امن توانسته مصون‌سازی بهینه‌تری را محقق سازد.

کلیدواژه‌ها

موضوعات

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