ارزیابی نقش شوک های سیاست‌های پولی بر حباب و قیمت دارایی‌ها در ایران

نوع مقاله : پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد، گروه اقتصاد، دانشکده اقتصاد و علوم اجتماعی، دانشگاه شهید چمران اهواز،خوزستان، ایران

2 استاد، گروه اقتصاد، دانشکده اقتصاد و علوم اجتماعی، دانشگاه شهیدچمران اهواز،خوزستان، ایران.

3 دانشیار، گروه اقتصاد، دانشکده اقتصاد و علوم اجتماعی، دانشگاه شهیدچمران اهواز،خوزستان، ایران

چکیده

افزایش قیمت دارایی‌ها به بالاتر از ارزش‌های بنیادی خود موجب ایجاد حباب قیمت دارایی می‌شود. حباب قیمت دارایی‌ها تهدیدی برای ثبات مالی و اقتصاد کلان است. با این حال، هیچ اتفاق نظری در مورد نحوه برخورد سیاستگذاران با حباب‌ها وجود ندارد و نقش سیاست پولی همچنان مورد مناقشه است. لذا این مطالعه به بررسی تاثیر سیاست‌های پولی بر حباب قیمت دارایی‌ها در ایران با استفاده از داده‌های فصل اول 1380 تا فصل چهارم 1401 و روش TVP-VAR پرداخته است. بدین منظور ابتدا شاخص قیمت دارایی‌ها (بورس، مسکن، طلا و ارز) با استفاده از تحلیل مولفه‌های اساسی ساخته خواهد شد. سپس شاخص حباب قیمت دارایی‌ها از روش BSADF محاسبه و نشان داده می‌شود که دو بازه در سال‌های 1397 و 1399 شاخص قیمت دارایی‌ها رفتار حبابی داشته است. شاخص‌های پایه پولی، نرخ بهره و نرخ ذخیره قانونی به عنوان شاخص‌های سیاست پولی در نظر گرفته شده است. نتایج نشان می‌هد که تاثیر سیاست‌های پولی بر حباب بازار دارایی‌ها طی زمان متغیر بوده است. همچنین نتایج حاکی از آن است که شوک سیاست پولی ناشی از کاهش نرخ بهره و افزایش پایه پولی موجب افزایش حباب قیمت دارایی‌ها شده است در حالی که بخش حبابی قیمت دارایی‌ها تحت تاثیر شوک ناشی از کاهش نرخ ذخیره قانونی قرار نگرفته است.

کلیدواژه‌ها

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