نوع مقاله : مقالات پژوهشی
نویسندگان
گروه اقتصاد، دانشگاه آزاد اسلامی، واحد اصفهان (خوراسگان)، اصفهان، ایران
چکیده
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.
کلیدواژه‌ها
موضوعات
عنوان مقاله [English]
Impact of Monetary Policy and Exchange Rate Shocks on Price of Agricultural Products in Iran
نویسندگان [English]
- Sh. Shamsoddini
- S. Ghobadi
- S. Daei-karimzadeh
Department of Economics, Isfahan(Khorasgan) Branch, Islamic Azad University, Isfahan, Iran
چکیده [English]
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 Agriculture-Jihad, 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 long-run 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 long-term relationship (co-integration) 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 Dickey-Fuller (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 F-statistic is greater than the critical values of the upper bound. Thus, the long-run 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 double-edged sword, and the use of these instruments by monetary authorities requires consideration of all aspects.
کلیدواژه‌ها [English]
- Agricultural sector
- Asymmetric effects
- exchange rate
- Monetary policy
- Price index
- Aazamzadeh Shoorki M., and Khalilian S. 2010. Study of monetary policies effect on food price in Iran. Journal of Agricultural Economics and Development 24(2): 177-184. (In Persian)
- Abdi Seyyedkolaee M., Tehranchian A., Jafari Samimi A., and Mojaverian S.M. 2017. The impact of exchange rate pass-through on implicit price index of Iran’s agriculture sector: an application of M-GARCH and threshold regression models. Applied Theories of Economics 3(4): 101-128. (In Persian)
- Adznan S., and Masih M. 2018. Exchange rate and trade balance linkage: evidence from based on ARDL and NARDL. https://mpra.ub.uni-muenchen.de/91509/
- Babaie Holari F. 2014. Investigation the effects of monetary policies on agricultural macroeconomic variables of Iran: an application of merged models. M.Sc. thesis of agricultural economics, Sari Agricultural sciences and Natural Resources University, PP109. (In Persian with English abstract)
- Esmail Moghadam Gh. 2011. Impacts of monetary policy and real exchange rate on relative prices products agricultural. The dissertation of M.Sc. in economic science, the university of Sistan & Baluchestan, PP124. (In Persian with English abstract)
- Food and Agriculture Organization of the United Nations, 2018 (www.FAO.org).
- Haghighat J., and Pasban Mirak F. 2016. Investigation of oil shock effects and exchange rate on agricultural price in Iran, Economic Research 51(1): 71-90. (In Persian)
- Karamelikli H., and Korkmaz S. 2016. The dynamics of exchange rate pass-through to domestic prices in Turkey. Journal of Business, Economics and Finance 5(1): 39-48.
- Kia Seng Wong K., and shamsudin M.N. 2017. Impact of crude oil price, exchange rates and real GDP on Malaysia's food price fluctuations: symmetric or asymmetric?, International Journal of Economics and Management 11(1): 259-275.
- Kim J., and Kim S. 2021. Monetary policy shocks and delayed overshooting in farm prices and exchange rates, International Review of Economics and Finance 71: 620-628.
- Ministry of Agriculture- Jahad, 2020(www.maj.ir).
- Mojtahed A., and Hasanzadeh A. 2011. Money and banking and financial institutions. Monetary and Banking Research Institute Publication, Tehran. (In Persian)
- Naziri M., and Farshadi S. 2016. Price-wage spiral in Iran. Quarterly Journal of Applied Economics Studies 5(17): 151-169. (In Persian)
- Pesaran M.H., and Shin Y. 1998. Generalized impulse response analysis in linear multivariate models. Economics Letters 58: 17-29.
- Pishbahar E., Dashti G., and Khalili Malekshah S. 2017. The effects of macroeconomic variables on price of agricultural products in Iran: Structural vector autoregressive model (SVAR) and directed acyclic graphs (DAG). Agricultural Economics and Development 24(95): 25-48. (In Persian)
- Rafiee H., Khormizi S.R., Mahmoodgordi R., Zamani O., Mortazavi S.A., and Naderi H. 2012. Impacts of real exchange rate and its uncertainty on private investment in agricultural sector. Journal of Agricultural Economics Research 3(12): 131-149. (In Persian)
- Sarabi Z., Ansari V., Salami H., and Hosseini S.S. 2020. Analyzing the effect of increase in exchange rate on cost price of agricultural products. Journal of Agricultural Economics and Development 34(2): 201-221. (In Persian with English abstract)
- Shin Y., Yu B., and Greenwood-Nimmo M. 2014. Modeling asymmetric co-integration and dynamic multipliers in a nonlinear ARDL framework, R.C. Sickles and W.C. Horrace (eds), Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications 281-314.
- The Islamic Republic of Iran Customs administration (IRICA), 2020 (www.irica.ir).
)
ارسال نظر در مورد این مقاله