دوره 28، شماره 4 - ( زمستان 1402 )                   دوره28 شماره 4 صفحات 139-111 | برگشت به فهرست نسخه ها


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Darab Molkabadi S. (2023). Transition and Propagations of Oil Shock in the Oil Exporting Countries: Lessons from Iran. JPBUD. 28(4), 111-139. doi:10.61186/jpbud.28.4.111
URL: http://jpbud.ir/article-1-2257-fa.html
داراب ملک‌آبادی سعید. انتقال و انتشار تکانۀ نفت در بازار سهام کشورهای صادرکنندۀ عمده نفت: درس‌هایی از ایران فصلنامه برنامه ریزی و بودجه 1402; 28 (4) :139-111 10.61186/jpbud.28.4.111

URL: http://jpbud.ir/article-1-2257-fa.html


گروه اقتصاد و سیستم‌ها، موسسه عالی آموزش و پژوهش مدیریت و برنامه‌‌ریزی، تهران، ایران. ، saeid.darab.m@gmail.com
چکیده:   (745 مشاهده)
پژوهش کنونی به این مسئله می‌پردازد که تکانۀ نفت از چه کانال‌‏هایی به بازار سهام انتقال می‌یابد و نحوۀ انتشار آن در بازار سهام به چه صورت است. در این راستا با به‌کارگیری رهیافت خودرگرسیون برداری با عامل‌افزوده و استفاده از متغیرهای متنوع ازجمله شاخص قیمت‌های جهانی گروه‌های کالایی، متغیرهای اقتصاد کلان، شاخص‌های صنایع بزرگ بورسی، و شاخص کل بورس اوراق بهادار تهران در بازۀ زمانی 1396-1384، توابع کنش-واکنش استخراج شده‌‌‎اند. سپس، سازوکار‌ انتقال تکانۀ قیمت نفتی و انتشار آن در بازار سهام ایران به عنوان کشور صادرکنندۀ عمده نفت تحلیل شده است. یافته‌های پژوهش حاضر نشان‌دهندۀ اثرگذاری تکانۀ نفت از سه راهِ کانال مستقیم، کانال قیمت جهانی کالاها، و کانال اقتصاد کلان بر بازار سهام است. ناگفته نماند که نحوۀ واکنش از این کانال‌ها بر مبنای آثار تکانۀ نفتی متفاوت بوده و بر اساس این در فرایند انتشار تکانۀ قیمت نفت در بازار سهام، شاخص گروه فرآورده‌‏های نفتی، محصولات شیمیایی، فلزات اساسی، استخراج کانه‌‏های فلزی، چندرشته‌‏ای‌های صنعتی، بانکداری و سیمان به‌طور معنادار و پایداری افزایش یافته و از طریق افزایش شاخص سهام این گروه‌‏ها، شاخص کل بازار سهام را به‌طور معنادار و پایداری ارتقا داده است.

 
متن کامل [PDF 1357 kb]   (118 دریافت)    
نوع مطالعه: پژوهشي | موضوع مقاله: اقتصادسنجی
دریافت: 1402/9/18 | پذیرش: 1402/10/30 | انتشار الکترونیک: 1403/3/1

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