سنجش پویایی‌های سرریز تلاطم بین دلار و بازار سهام ایران؛ کاربردی از رویکرد اتصالات فرکانسی

نوع مقاله : پژوهشی

نویسندگان

1 دانشیار، گروه اقتصاد نظری، دانشکده اقتصاد، دانشگاه علامه طباطبایی، تهران، ایران.

2 دانشیار، گروه اقتصاد نظری، دانشکده اقتصاد، دانشگاه علامه طباطبایی، تهران، ایران

3 دانشجوی کارشناسی ارشد، گروه اقتصاد نظری، دانشکده اقتصاد، دانشگاه علامه طباطبایی، تهران، ایران

چکیده

پژوهش حاضر با بکارگیری رویکرد اتصالات فرکانسی خودرگرسیون برداری با پارامترهای متغیر در طول زمان (TVP-VAR) طی دوره مهر ماه سال 1394 تا مهر ماه سال 1402به بررسی سرریزهای پویای تلاطم میان بازده دلار و 8 شاخص مختلف از صنایع بورسی ایران در سه بازه فرکانس کوتاه‌مدت، میان‌مدت و بلندمدت می‌پردازد. یافته‌ها حاکی از آن است که: نخست، مقدار متوسط شاخص اتصالات کل حدود 50 درصد بوده است که طی سه سال اخیر به بیش از 70 درصد نیز رسیده است. دوم، سرریز تلاطم عمدتاً در فرکانس کوتاه‌مدت رخ می‌دهد، بدین‌معنا که منبع بخش عمده‌ای از ریسک سیستمی، اتصالات کوتاه‌مدت است. سوم، دلار در کل دوره مورد بررسی و فرکانس کوتاه‌مدت، پذیرنده شوک است اما در فرکانس میان‌مدت و بلندمدت، در نقش انتقال‌دهنده تلاطم به شبکه بازار سهام ظاهر می‌شود. چهارم، صنعت فلزات اساسی در دوره بلندمدت و میان‌مدت قوی‌ترین انتقال‌دهنده تلاطم محسوب می‌شود. پنجم، اثر تقدم-تأخر در شبکه بازار سهام برقرار است به طوری‌که صنایع بزرگ بورسی، انتقال‌دهنده تلاطم به صنایع کوچک محسوب می‌شوند.

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