سرریز تلاطمات بین نرخ ارز، تورم و نقدینگی در اقتصاد ایران: رویکرد tvp-var-bk

امروزه هر تلاطمی در یک بخش ، بخش های دیگر را نیز تحت تاثیر قرار می دهد. هدف از این مطالعه، بررسی نحوه انتقال و دریافت و همچنین سر ریز تلاطمات با توجه به دوره زمانی بروز تلاطمات میان نقدینگی، نرخ ارز و تورم در دوره زمانی 2022:09 الی 1982:03 (1401:07-1361:01) با تواتر ماهانه با استفاده از الگوی خودرگرسیون برداری با پارامتر های متغیر در زمان - مقیاس است. نتایج نشان داد که عمده ارتباط میان تلاطمات متغیر های مورد بررسی به صورت بلند مدت بوده است و نرخ ارز عامل مسلط در توضیح تلاطمات شبکه مورد بررسی بوده است. در کوتاه مدت نقدینگی انتقال دهنده خالص تلاطمات به تورم و نرخ ارز بوده است اما در میان مدت و بلندمدت نرخ ارز انتقال دهنده خالص تلاطمات و تورم و نقدینگی دریافت‌کننده خالص تلاطمات ارز هستند. همچنین اثرگذاری خالص نرخ ارز در بلندمدت قوی تر بوده است. یعنی، چنانچه تلاطمات ارزی کنترل نشود می تواند با انتقال تلاطمات به نقدینگی زمینه تلاطم تورم را نیز سبب شود که خود اهمیت ثبات نرخ ارز در راستای کنترل نقدینگی و تورم را نشان می دهد.

volatility spillover among exchange rate, inflation and liquidity in iran’s economy: a tvp-var-bk approach

the present study aimed to examine the transfer, reception, and the spillover of volatility from march 1982 to september 2022, using the time-varying parameter vector autoregression model based on barunik-krehlik (tv-var-bk) with monthly frequency. the results indicated that the primary relationship among the volatility of the analyzed variables is of long-term nature, with the exchange rate emerging as the dominant factor in explaining the volatility of the examined network. in the short term, liquidity serves as the primary transmitter of volatility to inflation and the exchange rate. however, in the medium and long term, the exchange rate becomes the primary transmitter of volatility to inflation, while liquidity acts as the net receiver of currency volatility. additionally, the long-term impact of the exchange rate is more pronounced. failure to control currency volatility can lead to inflation turbulence by transferring volatility to liquidity, underscoring the significance of exchange rate stability in managing liquidity and inflation.introductionthe exchange rate is one of the key factors influencing inflation. in addressing the impact of exchange rate volatility, the status of inflation plays a crucial role (tahsili, 2022). moreover, assessing the factors influencing the exchange rate stands as one of the most challenging empirical problems in macroeconomics (williamson, 1994). since the exchange rate is significant economic indicator in any country, alterations in monetary variables (e.g., liquidity and inflation rates) as well as non-monetary variables can lead to fluctuations and instability in the exchange rate (amrollahi et al., 2021). the causality of volatility between money and inflation can vary depending on economic conditions (al-tajaee, 2019). a deeper understanding of liquidity growth dynamics, inflation, and exchange rates in iran elucidates the reasons behind high inflation, rapid and continuous liquidity growth, and the impact of exchange rate volatility. extreme changes in each variable overshadow the others, indicating a complex relationship among exchange rates, inflation, and liquidity. examining the relationship between the volatility of different assets unveils the phenomenon of volatility spillover, where fluctuations in one component trigger volatility in others. an additional crucial aspect is understanding the modes of transmission, reception, and intensity of the causal relationship among exchange rates, inflation, and liquidity in iran during different periods. in different years, the mutual influence of these components may have varied based on political, economic conditions, health, and pandemic issues, each of which impacting decision-making concerning exchange rates, inflation, and liquidity as three vital macro-economic components. in this respect, the present study used the time-varying parameter vector autoregression model based on barunik-krehlik (tv-var-bk) with monthly frequency in order to examine volatility spillover from march 1982 to september 2022 in iran, providing a new perspective on investigating causality by analyzing the time-frequency volatility among exchange rates, inflation, and liquidity.