نوع مقاله : پژوهشی

نویسندگان

1 دانشگاه آیت ا... العظمی بروجردی(ره)

2 دانشگاه آیت ا... العظمی بروجردی (ره)

چکیده

ارتباط بین نرخ بهره و تورّم همواره یکی از مهم‌ترین مباحث اقتصاد پولی بوده است که تعیین نوع این رابطه می­تواند اثرات قابل توجهی بر سیاست‌گذاری اقتصادی داشته باشد؛ بنابراین هدف از این مقاله، بررسی رابطۀ بین نرخ سود و تورّم در ایران با رویکرد پارامتر تصادفی در طول زمان است. در این پژوهش صحت اثر فیشر و اثر جایگزین نظری آن، یعنی ماندل مورد بررسی قرار می‌گیرد. دلیل استفاده از رویکرد پارامتر تصادفی در طول زمان آن است که این روش انتقاد لوکاس را در برآورد پارامترها در نظر می­گیرد و درنتیجه می­تواند تورش برآوردها را کاهش دهد؛ بنابراین، با طراحی یک الگوی فضا-حالت برای معادلۀ نرخ سود و تورّم، این رابطه در بازۀ زمانی 1352-1394 با روش کالمن فیلتر برآورد شده است. به‌منظور اطمینان از استحکام نتایج، از دو متغیر وابسته متفاوت استفاده شده است: یکی میانگین نرخ سود اسمی یک ساله تا پنج ساله و دیگری نرخ بازدهی مسکن (به‌عنوان متغیر جایگزین نرخ بهره بازار) است. نتایج برآورد هر دو مدل تأیید کنندۀ اثر ماندل در اقتصاد ایران است؛ ازاین‌رو، فرض خنثایی پول در اقتصاد ایران را نمی­توان رد کرد.

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