سنجش شاخص ‌نااطمینانی بر مبنای جستجوی اینترنتی: مطالعه موردی بازار ارز ایران

نوع مقاله: مقاله پژوهشی

نویسندگان

1 استاد اقتصاد دانشکده اقتصاد دانشگاه تهران

2 استاد اقتصاد، دانشکده اقتصاد، دانشگاه تهران

3 دانش آموخته دکتری اقتصاد و مدرس دانشگاه تهران

4 دانشجوی دکتری اقتصاد، دانشکده اقتصاد، دانشگاه تهران

10.29252/epj.2020.11129.1901

چکیده

پس از بحران مالی، مطالعات مربوط به نااطمینانی در دهه اخیر مورد توجه خاص پژوهش‌گران قرار گرفته است. با توجه به اثر منفی نااطمینانی بر رشد و توسعه اقتصادی کشورها، سیاست‌گذاران به دنبال کنترل و کاهش نااطمینانی برای بهبود فعالیت‌های اقتصادی هستند. به این منظور، بایستی نخست میزان نااطمینانی مورد سنجش قرار گیرد. در این مطالعه پس از بیان روش‌های موجود برای محاسبه نااطمینانی، شاخص نااطمینانی بر مبنای جستجوی اینترنتی معرفی ‌شده و مزایا و معایب آن مورد بررسی قرارگرفته است. نظر به تلاطم‌های ارزی در چند سال اخیر در اقتصاد ایران، شاخص نااطمینانی در بازار ارز با استفاده از این روش، در بازه زمانی سال‌های 1382 تا 1395 به‌صورت ماهانه استخراج‌ شده است. همچنین در بخش دیگر شاخص نااطمینانی نرخ ارز ایران به روش مرسوم با بکارگیری خانواده مدل‌های GARCH در بازه زمانی مشابه برآورد شده است. با مقایسه‌های صورت گرفته مشخص شد که این شاخص به‌خوبی نمایش‌دهنده تحولات قیمت ارز در بازار بوده است. به ‌طور کلی سیاست‌گذاران در حوزه‌های مختلف، نیاز به رصد فضای مورد سیاست‌گذاری خود دارند که در این راستا می‌توان از این شاخص برای سنجش نااطمینانی در برخی از این حوزه‌ها بهره برد.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Calculation of uncertainty index based on an Internet search: A case study of the foreign exchange market of Iran

نویسندگان [English]

  • Hamid Abrishami 1
  • Akbar Komijani 2
  • Mahdi Nouri 3
  • Mohammad Hossein Memarian 4
1 Professor of Economics, Faculty of Economics, University of Tehran
2 Professor of Economics, Faculty of Economics, University of Tehran
3 Ph.D. in Economics and Lecturer, University of Tehran
4 Ph.D. Student, Faculty of Economics, University of Tehran
چکیده [English]

After the financial crisis, studies of uncertainty have been of particular interest to researchers in the past decade. Given the negative impact of uncertainty on the economic growth and development of the country, policymakers seek to control and reduce the uncertainty to improve economic activities. For this purpose, the value of uncertainty must first be assessed. In this study, after the existing methods of calculating uncertainty are expressed, the index of uncertainty is introduced based on an Internet search and its advantages and disadvantages are examined. Given the foreign exchange turbulence in Iran's economy in recent years, the uncertainty indices in the foreign exchange market during the years 2003-2016 are extracted monthly through this procedure. Furthermore, in the next step, GARCH models are used to estimate uncertainty indices in the foreign exchange market for the same period. It has been found through comparison that the Internet search of indices provides a good image of the foreign exchange price variations in the market. In general, policymakers in various areas need to monitor their policy environment, which can be used to measure uncertainty in some of these areas.

کلیدواژه‌ها [English]

  • Uncertainty measurement
  • Information Search
  • Risk
  • Exchange rate
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