بررسی سرعت انتقال رژیم در اثرگذاری نامتقارن نرخ ارز بر صادرات غیرنفتی ایران

هدف اصلی این پژوهش بررسی سرعت انتقال رژیم در اثرگذاری نامتقارن نرخ ارز بر صادرات غیرنفتی ایران طی دوره زمانی 1396-1357 است. با توجه به اینکه نرخ ارز به‌عنوان یکى از مباحث اساسى سیاست‌هاى کلان اقتصادى در ادبیات اقتصادى هر کشوری ضرورى است لذا تنظیم مناسب، توجه به تغییرات و عوامل موثر بر آن، در هر شرایطی می‌تواند موضوعی قابل‌توجه می‌باشد. از سوی دیگر، گسترش صادرات غیرنفتی و رهایی از اقتصاد تک‌محصولی یکی از دغدغه‌های سیاست‌گذاران اقتصادی کشور در دهه اخیر بوده است، ازاین‌رو بررسی عوامل موثر بر این مهم اقتصادی ضرورت دارد و این امر توسعه‌ی صادرات غیرنفتی را در راستای کاهش وابستگی اقتصاد کشور به درآمدهای نفتی، ضروری ساخته است. برای برآورد سرعت انتقال رژیم در اثرگذاری نامتقارن نرخ ارز بر صادرات غیرنفتی در مطالعه حاضر از روش‌های غیرخطی مارکفسوئیچینگ (ms) و رگرسیون انتقال ملایم (str) استفاده می‌شود. نتایج تغییر رژیم یک‌باره مدل مارکفسوئیچینگ (ms) نشان داد که تاثیر نرخ ارز در رژیم اول حدود 6/8 برابر رژیم دوم است که هر دو رژیم اثری مثبت بر صادرات غیرنفتی دارند لذا نتایج این روش حاکی از آن است که در ایران نرخ ارز بر صادرات غیرنفتی اثری غیرخطی، نامتقارن و مثبت دارد؛ اما در مدل رگرسیون انتقال ملایم (str) ضرایب نرخ ارز اثری متفاوت در دو رژیم نشان دادند به‌نحوی‌که در رژیم اول متغیر نرخ ارز اثر منفی و بی‌معنی بر صادرات غیر‌نفتی و در رژیم دوم نرخ ارز اثر مثبت و معناداری بر صادرات غیرنفتی دارد. درمجموع می‌توان نتیجه گرفت که اثر نرخ ارز بر صادرات غیرنفتی غیرخطی و نامتقارن است که این اثر بستگی به‌سرعت انتقال رژیم دارد به‌نحوی‌که اگر سرعت انتقال از رژیمی به رژیم دیگر یک‌باره (مارکفسوئیچینگ) باشد شدت اثر نرخ ارز بر صادرات غیرنفتی را با شتاب زیادی تغییر می‏دهد اما اگر این سرعت انتقال به آهستگی (رگرسیون انتقال ملایم) انجام شود می‏تواند اثر نرخ ارز بر صادرات غیرنفتی را معکوس ساخته و حتی نحوه این اثر را به کل تغییر دهد.

Investigating the rate of transfer of regime in the asymmetric effect of exchange rate on Iran’s nonoil exports

EXTENDED ABSTRACTINTRODUCTION The main objective of this study is to analyze the impact of changes in the real exchange rate on the export performance of the nonoil sector. Export earnings are assumed of vital importance not only for developing but also for developed countries. Developed countries mainly export capital and final goods, while the main part of developing countries export consists of miningindustry goods especially natural resources. In this context, there are some challenges for countries with natural resource abundance, such as oi,l in comparison with other countries. The main point is that in parallel with the windfall of oil revenues these countries have to pay more attention to the development of the nonoil sector as well as its export performance ;because in most cases oildriven economic development leads to some undesirable consequences such as Dutch Disease in oilrich countries. In oildependent countries, the export of other goods can help reduce the effect of oil revenues on the country’s trade basket. Several factors affect nonoil exports, one of which is exchange rate variable. exchange rate which is the price of a foreign currency in terms of domestic currencies, has an important effect on macroeconomic variables; Such as production, exports, the balance of payments, etc. By affecting the relative prices of domestic and imported goods, this rate can also affect other economic sectors of the country. Accordingly, exchange rates and shocks of this variable are one of the main factors affecting nonoil exports. METHODOLOGY Today, because many countries are experiencing continuous changes in politics and economics, it is expected that modeling macroeconomic variables with linear models and fixed parameters are not appropriate, so nonlinear models and temporal parameters have a comparative advantage. This study examines the impact of the exchange rate on nonoil exports in Iran from 19782017 by using nonlinear Markovswitching (MS) and Smooth Transition Regression (STR) models. Therefore, these two models are used to estimate the regime transfer rate due to the asymmetric exchange rate on nonoil exports. The studied variables have been collected from the websites of the Central Bank of Iran and the Bank of Commercial Partners. They include nonoil exports, exchange rates, Iran’s GDP, GDP, and price index. FINDINGS The results of a sudden change of Markovswitching model (MS) show that the effect of exchange rate in the first regime is about 8.6 times the second regime, both of which have a positive effect on nonoil exports, So, the results of this method show the nonlinear, asymmetric, and positive effect of exchange rate on nonoil exports in Iran.However, in the Smooth Transition Regression model (STR), exchange rate coefficientsshowed different effects in the two regimes in a way that exchange rate in the first regime has a negative, insignificant effect on nonoil exports, but in the second regime it has a positive and significant effect on nonoil exports. CONCLUSION Overall, the results show that the effect of exchange rate on nonoil exports is nonlinear and asymmetric and this effect changes with the change in transfer rate of the regime;i.e. if the rate of transfer from a regime to another is immediate, the effect of exchange rate on nonoil exports changes rapidly, but if the transition rate is slow, it can reverse the effect of exchange rate on nonoil exports and even completely change the effect. In addition, the findings of this study can be useful for policymakers in the monetary and real sectors in Iran, especially in terms of exchange rate policy implementation and its impact on nonoil exports.