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نرگس صالح نیا احمد سیفی محمد علی فلاحی محمدحسین مهدوی عادلی

چکیده

هدف از این مقاله، اثبات وجود پدیدة بازگشت به میانگین، برآورد مدل بازگشت به میانگین اورنشتاین-اوهلن¬بک (OUMRM) و پیش‌بینی قیمت‌های نقدی گاز طبیعی بر اساس داده¬های هنری هاب در دوره زمانی 07/01/1997 تا 20/03/2012 است. استفاده از انواع آزمون¬های بازگشت به میانگین مانند ریشه واحد، ضرایب خودهمبستگی و ... نشان می‌دهند که سری‌ بازده‌ مورد بررسی از یک فرآیند گام تصادفی پیروی نمی‌کند. همچنین مقدار میانگین بلندمدت تعادلی قیمت برابر با 16/4 دلار بر هر میلیون بی‌تی‌یو بوده و به طور متوسط 48 هفته طول می‌کشد تا شوک‌های وارد شده بر قیمت‌های نقدی گاز رفع شود. به دلیل شفافیت و سیالیت بیشتر اطلاعات و نیز وجود رقابت بیشتر در بازارهای گاز در سال‌های اخیر هر چه به دوره‌های اخیر‌تر رجوع شود سرعت بازگشت به میانگین بیشتر شده که بیانگر رفع سریع¬تر انحرافات ناشی از شوک‌های وارد شده به بازار بوده و مقدار بالاتر میانگین تعادلی بلندمدت در دوره-های اخیر نشان دهندۀ آن است که سرمایه‌گذاران و مبادله‌گران انتظار انتقال رو به بالای قیمت‌های گاز در بازار را دارند و تلاطم قیمت در قیمت‌های بالاتر از میانگین بیشتر از قیمت‌های پایین‌تر از میانگین است. در نهایت، مقادیر معیارهای ارزیابی عملکرد و مقایسة آن‌ها برای تعداد اجراهای مختلف تصادفی نشان می¬دهد که نتایج مربوط به میانگین 1000 اجرا دارای بهترین مقادیر است.

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ارجاع به مقاله
صالح نیان., سیفیا., فلاحیم. ع., & مهدوی عادلیم. (۱۳۹۷-۰۲-۱۰). بررسی وجود پدیدة بازگشت به میانگین و پیش¬بینی قیمت‌های نقدی گازطبیعی با استفاده از مدل اورنشتاین-اوهلن¬بک. پژوهش های اقتصاد پولی، مالی, 25(15), 159-200. https://doi.org/10.22067/pm.v25i15.57467
نوع مقاله
پژوهشی