اثر تکانه‌های سیاست پولی و نرخ ارز بر قیمت محصولات کشاورزی در ایران

با توجه به جایگاه مهم بخش کشاورزی در اقتصاد ایران و تاثیرپذیری متغیرهای این بخش از اعمال سیاست‌های پولی و ارزی، مطالعه پیش‌روی با هدف بررسی اثر شوک‌های نرخ ارز و سیاست پولی برشاخص قیمت تولیدکننده محصولات کشاورزی با استفاده از رهیافت خود رگرسیون با وقفه‌های گسترده غیرخطی و داده‌های فصلی دوره 1388 تا 1398 در ایران انجام شده‌است. مانایی متغیرهای مدل با استفاده از آزمون دیکی فولر تعمیم یافته مورد بررسی قرار گرفت. نتایج آزمون کرانه‌ای حاکی از آن است که رابطه تعادلی بلندمدت (هم‌انباشتگی) هم به صورت خطی و هم به صورت غیرخطی میان متغیرهای مدل وجود دارد. برآورد مدل غیرخطی نشان می‌دهد در کوتاه‌مدت، شوک مثبت نرخ ارز موثر واقعی اثر مثبت و معنی‌داری بر شاخص قیمت تولیدکننده محصولات کشاورزی داشته‌است. در بلندمدت شوک‌های مثبت و منفی نرخ ارز به ترتیب دارای اثر مثبت و منفی معنی‌دار بر شاخص قیمت محصولات کشاورزی می‌باشند. در بلندمدت همچنین شوک‌های مثبت و منفی حجم پول دارای اثر مثبت و معنی‌دار بر شاخص قیمت محصولات کشاورزی بوده‌اند. همچنین شاخص قیمت مصرف‌کننده با یک وقفه زمانی و در کوتاه‌مدت دارای اثر مثبت و معنی‌دار بر شاخص قیمت تولیدکننده محصولات کشاورزی بوده است. به‌علاوه هم در کوتاه‌مدت و هم در بلندمدت، تولید ناخالص داخلی اثر منفی و معنی‌داری بر قیمت تولیدکننده محصولات کشاورزی داشته‌است. نتایج آزمون والد بیانگر آن است که درکوتاه‌مدت، اثر شوک‌های نرخ ارز و حجم پول بر شاخص قیمت تولیدکننده محصولات کشاورزی متقارن و در بلندمدت نامتقارن است. افزایش قدرت رقابت‌پذیری محصولات کشاورزی مستلزم جلوگیری از کاهش مداوم ارزش پول ملی کشور و نیز اعمال سیاست‌های پولی مناسب با به حداقل رساندن پیامدهای منفی آنها می‌باشد.

Impact of Monetary Policy and Exchange Rate Shocks on Price of Agricultural Products in Iran

Introduction: One of the most important variables effective on the PPI of agricultural products is the exchange rate. With the change in the exchange rate, the relative prices of exports and imports have changed, and given that the major part of the imports in agricultural sector is the inputs required for the production of this sector, this will change the cost of agricultural products. The exchange rate directly affects the export and import of agricultural products and agricultural inputs and indirectly affects production, income, costs, profits and investment in the agricultural sector. Thus, the exchange rate affects the price index in this sector due to its effect on the supply and demand of products and inputs in the agricultural sector. Monetary policy is one of the factors that can affect the price of food and agricultural products. One of the main goals of monetary policy is to stabilize the general level of prices in the economy. In a situation where society is exposed to inflationary pressures and the CPI is rising, the application of a contractionary monetary policy can play an important role in inflation control. Materials and Methods: In this study is used the nonlinear autoregressive distributed lags (NARDL) method for estimating of PPI agricultural products equation using Eveiws12 software. The data required for this study are related to the period 2009 (Chapter 4) to 2019 (Chapter 4), which is mainly collected from domestic library sources, including the Statistical Center of Iran, the Ministry of AgricultureJihad, the Central Bank of Iran and the Ministry of Economic Affairs and Finance. The data on the effective real exchange rate has been extracted from the IMF web site. Based on the theoretical foundations and fulfilled studies, the longrun relationship exists between the PPI of agricultural products and the explanatory variables such as real effective exchange rate, GDP, CPI and money supply. This equation is transformed into an unbound error correction model (UECM) using the functional form ARDL (p, q) and is estimated using the ordinary least squares (OLS) method. In this study, the Bounds test has used for investigating the existence of a longterm relationship (cointegration) between independent and dependent variables. Also the Wald test has used for investigating the symmetric or asymmetric effects of independent variables (exchange rate and money supply) on the dependent variable. Results and Discussion: The results of the augmented DickeyFuller (ADF) test show that all variables are stationary in first difference. In other words, the variables are integrated from the first degree and in this research, the NARDL approach can be used. The results of Bounds test indicate that in both the linear symmetric model (ARDL) and the nonlinear asymmetric model (NARDL), the calculated Fstatistic is greater than the critical values ​​of the upper bound. Thus, the longrun equilibrium relationship between the variables of both models is accepted with 99% confidence. The results of linear model (ARDL) indicate that the real effective exchange rate with a time lag, in the short term has a positive and significant effect on the PPI of agricultural products. The GDP variable only in the long run has a negative and significant effect on the PPI of agricultural products. In addition, the CPI in the short term with a time lag and in the long term has a positive and significant effect on the PPI of agricultural products. Also, in the linear model, money supply (monetary policy) has had a positive and significant effect on the PPI of agricultural products only in the long run. The results of the NARDL model show that in the short run, only the positive shock of real effective exchange rate has a positive and significant effect on the PPI of agricultural products. Accordingly, the GDP variable in the short run has a negative and significant effect on the PPI of agricultural products. In the short run, the CPI with a time lag has a positive and significant effect on the PPI of agricultural products. In addition, in the short run, the positive and negative shocks of money supply have not had a significant effect on the PPI of agricultural products. In the long run, the positive shock of real effective exchange rate has a positive and significant effect on the PPI of agricultural products. In addition, the negative shock of the real effective exchange rate in the long run has a negative and significant effect on the PPI of agricultural products. Also, positive shocks of money supply (monetary policy) in the long run have a positive and significant effect on the PPI of agricultural products. Negative shocks of money supply (monetary policy) in the long run have a positive and significant effect on the PPI of agricultural products. In the long run, GDP has had a negative and significant effect on the PPI of agricultural products. Conclusion: The results indicate that the positive shock of the real effective exchange rate, both in the short run and in the long run, has a positive and significant effect on the PPI of agricultural products. Therefore, the depreciation of national currency always increases the PPI of agricultural products. Therefore, the most important step forward for the policymakers and planners to control the rising trend of prices is to prevent the depreciation of the national currency. Based on these results, positive and negative shocks of money supply (expansionary and contractionary monetary policies) have a positive and significant effect on the PPI of agricultural products only in the long run. Therefore, application of monetary policy in the agricultural sector is like a doubleedged sword, and the use of these instruments by monetary authorities requires consideration of all aspects.