برآورد تابع تقاضای پول تعدیل شده کیگان با تکانه‌ های برون زا در اقتصاد ایران

نﺎﮕﻴﻛ هﺪﺷ ﻞﻳﺪﻌﺗ لﻮﭘ يﺎﺿﺎﻘﺗ ﻊﺑﺎﺗ دروآﺮﺑ ﻪﻧﺎﻜﺗ ﺎﺑ

1

يﺎﻫ نوﺮﺑ از

رد ناﺮﻳا دﺎﺼﺘﻗا

ﺮﻓ ﻲﻧﺎﺘﺳﺎﺑ نﺎﻤﻳا 2

دﺎﺼﺘﻗا و يرادا مﻮﻠﻋ هﺪﻜﺸﻧاد رﺎﻳدﺎﺘﺳا ،

نﺎﻬﻔﺻا هﺎﮕﺸﻧاد ،

i.bastanifar@ase.ui.ac.ir

:ﺖﻓﺎﻳرد ﺦﻳرﺎﺗ 09

/ 10 / 1394 :شﺮﻳﺬﭘ ﺦﻳرﺎﺗ 04

/ 08 / 1395

هﺪﻴﻜﭼ دﺎﺼﺘﻗا ﻪﻠﻤﺟ زا ناﺮﻳا دﺎﺼﺘﻗا يﺎﻫ

لﺎﺳ رد) ﻻﺎﺑ مرﻮﺗ ﺎﺑ يﺎﻫ

يدﺎﻤﺘﻣ بﻼﻘﻧا زا ﺪﻌﺑ (ﻲﻣﻼـﺳا

ﻪﺘﺧﺎﻨﺷ ﻲﻣ زا ﻪﻛ دﻮﺷ ﻪﻧﺎﻜﺗ

يﺎﻫ نوﺮـﺑ از ،

ﻲـﺿرﺎﻌﺗ ﻲﺟرﺎـﺧ تﻼﻣﺎـﻌﺗ ﻞﻣﺎـﺷ و ﮓـﻨﺟ ﺪـﻨﻧﺎﻣ)3

ﺖﻔﻧ ﺖﻤﻴﻗ تﺎﻧﺎﺳﻮﻧ و (ﻢﻳﺮﺤﺗ ﺮﺛﺄﺘﻣ

ﺖﺳا ، ﻦﻳاﺮﺑﺎﻨﺑ ، ﺎﺑ ﺐﺳﺎﻨﺘﻣ ﺪﻳﺎﺑ ناﺮﻳا دﺎﺼﺘﻗا رد لﻮﭘ يﺎﺿﺎﻘﺗ

دروآﺮﺑ و ﻞﻴﻠﺤﺗ دﻮﺟﻮﻣ ﻂﻳاﺮﺷ ﻮﺷ

ﻲﻳارﺎﻛ ﻪﺑ ﺮﺠﻨﻣ ﺎﺗ د ﺖﺳﺎﻴﺳ

ﺎـﻫ ي ـﺿﺮﻋ ﻪ ي

دﺎـﺼﺘﻗا رد لﻮـﭘ

ددﺮﮔ ناﺮﻳا .

ﻖﻴﻘﺤﺗ ﻦﻳا رد ،

ﻮﺤﻧ ه ي ﻼﻣﺎﻌﺗ ) ﺺﺧﺎـﺷ سﺎـﺳاﺮﺑ ﻲـﺿرﺎﻌﺗ ﻲﺟرﺎﺧ ت HSE⁴

تارﺎـﻈﺘﻧا و (

ﻚﻳرﺪﻫ ﮓﻨﻳﺮﺘﻠﻴﻓ شور سﺎﺳا ﺮﺑ ﻲﻣرﻮﺗ تﺎﻜﺳﺮﭘ–

،5

ﺲﻴـﺘﻛﻼﻴﻓ لﻮﭘ يﺎﺿﺎﻘﺗ ﻊﺑﺎﺗ و ﻪﺒﺳﺎﺤﻣ

6

- رﻮﻠﻴﺗ 7 ) 1993 ( ، ﺪﺷ ﻞﻳﺪﻌﺗ يﺎﺿﺎﻘﺗ ﻊﺑﺎﺗ ﺎﻳ ه

ي نﺎﮕﻴﻛ ، سﺎـﺳا ﺮﺑ شور

يﺎـﻫ

ARIMAX ⁸

و

VAR9

لﺎﺳ ياﺮﺑ يﺎﻫ

1358 ﺎﺗ 1392 ﺖـﺳا هﺪﺷ دروآﺮﺑ ناﺮﻳا دﺎﺼﺘﻗا ياﺮﺑ .

نآ يﺎـﻳﻮﮔ ﺞﻳﺎـﺘﻧ

ﻲﻔﻨﻣ ﺮﺛا لﻮﭘ ﻢﺠﺣ ﺮﺑ ﻪﻔﻗو ﻪﺳ ﺎﺑ ﻲﻣرﻮﺗ تارﺎﻈﺘﻧا ﻪﻛ ﺖﺳا ﺪﻧراد

ود ﺎـﺑ ﻲﺟرﺎـﺧ تﻼﻣﺎـﻌﺗ ﺮﺛا و

لﻮﭘ يﺎﺿﺎﻘﺗ ﺮﺑ ﺖﻔﻧ ﺖﻤﻴﻗ و ﻪﻔﻗو .ﺖﺳا ﺖﺒﺜﻣ

ﻪﻘﺒﻃ يﺪﻨﺑ :JEL E41 ,E52 ,C50

يﺎﻫژاو :يﺪﻴﻠﻛ لﻮﭘ يﺎﺿﺎﻘﺗ ،

نﺎﮕﻴﻛ ، ﻪﻧﺎﻜﺗ يﺎﻫ نوﺮﺑ از ، ﻲﻣرﻮﺗ تارﺎﻈﺘﻧا

1. Cagan

2 . سﺎﻤﺗ هرﺎﻤﺷ 03137935124

3. Conflict

4. Hufbauer,Schott and Ellitott (HSE) 5. Hodrick-Prescott Filter

6. Phylaktis 7. Taylor

8 . ﻲﺤﻴﺿﻮﺗ ﺮﻴﻐﺘﻣ ﺎﺑ ﻂﺳﻮﺘﻣ ﻦﻴﮕﻧﺎﻴﻣ ﻊﻤﺟ ﻢﻫ نﻮﻴﺳﺮﮔردﻮﺧ

Autoregressive Integrated Moving Average with Explanatory Variable) (

9 . يرادﺮﺑ نﻮﻴﺳﺮﮔردﻮﺧ

)

Vector Auto Regression

(

1 - ﻪﻣﺪﻘﻣ ﻥﺎﮕﻴﻛ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻲﺘﻨﺳ ﻱﻮﮕﻟﺍ ﺱﺎﺳﺍ ﺮﺑ ،

ﺩﺎـﺼﺘﻗﺍ ﺭﺩ ﺮﻤﺘـﺴﻣ ﻭ ﻻﺎـﺑ ﻡﺭﻮـﺗ ﺐﺒـﺳ

ﻲﻣ ﺪﻨﻧﺎﻣ ﻲﻌﻗﺍﻭ ﻱﺎﻫﺮﻴﻐﺘﻣ ﻁﺎﺒﺗﺭﺍ ﻪﻛ ﺩﻮﺷ ﻭ ﺩﻮـﺷ ﻊﻄﻗ ﻝﻮﭘ ﻢﺠﺣ ﺎﺑ ﻲﻌﻗﺍﻭ ﺪﻣﺁﺭﺩ ﻭ ﻩﺮﻬﺑ

ﻞﻣﺎﻋ ﺎﻬﻨﺗ ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ﺮﻴﺛﺄﺗ

ﮔ ـﺷﺎﺑ ﻝﻮـﭘ ﻱﺎﺿﺎﻘﺗ ﺮﺑ ﺭﺍﺬ ﺪ

، ﻪـﺑ ـﻧﻮﮔ ﻪ ﻱﺍ ﺶﻳﺍﺰـﻓﺍ ﺎـﺑ ﻪـﻛ

ﺩﺎﺼﺘﻗﺍ ﺭﺩ ﻻﺎﺑ ﻭ ﺮﻤﺘﺴﻣ ﻡﺭﻮﺗ ﺩﻮﺟﻭ ﻞﻴﻟﺩ ﻪﺑ ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ،

ﻨﻳﺰﻫ ﻪ ﻱ ﻱﺭﺍﺪـﻬﮕﻧ ﺖـﺻﺮﻓ

ﺶﻫﺎﻛ ﻝﻮﭘ ﻱﺍﺮﺑ ﺎﺿﺎﻘﺗ ﻭ ﺶﻳﺍﺰﻓﺍ ﻝﻮﭘ

ﺪﺑﺎﻳ

، ﻓﺮـﮔ ﺮـﻈﻧ ﺭﺩ ﺎﺑ ﺎﻣﺍ ﻪـﻧﺎﻜﺗ ﻦﺘ

ﻱﺎـﻫ ﻥﻭﺮـﺑ ﺍﺯ ﺭﺩ

ﺩﺎﺼﺘﻗﺍ ، ﻮﺤﻧ ﺪﻨﻧﺎﻣ ﻩ

ﻱ ﻪـﻧﺎﻜﺗ ﻪـﺑ ﻪﺟﻮﺗ ﻭ ﺮﮕﻳﺩ ﻱﺎﻫﺭﻮﺸﻛ ﺎﺑ ﻲﺳﺎﻴﺳ ﻁﺎﺒﺗﺭﺍ ﺕﺎﻧﺎـﺳﻮﻧ ﻭ ﺎـﻫ

ﻪﺑ ﻲﺘﻔﻧ ﻥﺍﻮﻨﻋ ﻢﻬﻣ ﺮﺗ ﻞﻣﺎﻋ ﻦﻳ ﺮﻴﺛﺄﺗ

ﮔ ﺭﺎﺘﺧﺎﺳ ﺭﺩ ﺭﺍﺬ ﻦﻴﻣﺄﺗ

ﻲـﺘﻔﻧ ﻱﺎﻫﺭﻮـﺸﻛ ﻲﻟﺎﻣ ،

ﻭ ﺯﺎـﺳ

ﺭﺎﻛ ﺬﮔﺮﺛﺍ ﻞﻜﺷ ﻭ ﻱﺭﺍ ﺮﻴﮔ

ﺮﻴﻴﻐﺗ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻱ ﻲﻣ

ﺪﻨﻛ . ﺶﻨﺗ ﺶﻳﺍﺰﻓﺍ ﻨﻣ ﻲـﺳﺎﻴﺳ ﻱﺎﻫ

ـﺠ ﺮ

ﺎﻧ ﻭ ﻩﺪﺷ ﻢﻳﺮﺤﺗ ﻭ ﮓﻨﺟ ﺯﻭﺮﺑ ﻪﺑ ﺶﻳﺍﺰـﻓﺍ ﺍﺭ ﻱﺩﺎـﺼﺘﻗﺍ ﺭﺎـﻛ ﻭ ﺐـﺴﻛ ﻂﻴـﺤﻣ ﺯﺍ ﻲﻧﺎﻨﻴﻤﻃﺍ

ﻲﻣ ﺪﻫﺩ . ﻦﻳﺍ ﻪﻟﺄﺴﻣ ﻨﻳﺰﻫ ﺶﻳﺍﺰﻓﺍ ﻪﺑ ﺮﺠﻨﻣ ﻪ

ﻱ ﺪـﻴﻟﻮﺗ ﺖﺻﺮﻓ ،

ﻲﻫﺩﺯﺎـﺑ ﺕﺍﺭﺎـﻈﺘﻧﺍ ﺶﻳﺍﺰـﻓﺍ

ﺖﻴﻟﺎﻌﻓ ﺎﻫ ﻱ ﻱﺩﺎﺼﺘﻗﺍ ، ﻭ ﺪﻣﺁﺭﺩ ﺶﻫﺎﻛ ﺮﻬﺑ

ﻩ ﻱ ﻲﻌﻗﺍﻭ ﻲﻣ ﻮﺷ ﻲﻫﺪﺑ ﻥﺩﺮﻛ ﻲﻟﻮﭘ ﻪﺑ ﻞﻴﻣ ﻭ ﺩ

ﺩﺎﺼﺘﻗﺍ ﺭﺩ ﻓﺍ ﺍﺭ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻭ

ﻲﻣ ﺶﻳﺍﺰ ﺪﻫﺩ

. ﻦﻳﻭ ﻭ ﻥﺍﺩﻮﻨﺳﺍ) ،

2005 ، :ﺹ 64 (

ﻥﺍﺮﻳﺍ ﺩﺎﺼﺘﻗﺍ ،

ِﺯﺎﺑ ﻚﭼﻮﻛ ﺩﺎﺼﺘﻗﺍ ﻚﻳ ﻥﺍﻮﻨﻋ ﻪﺑ ﺪـﻨﻨﻛ ﺭﺩﺎـﺻ1

ﻩ ﻱ ﻲـﺘﻔﻧ ، ﺮﺛﺄـﺘﻣ ﻭﺩ ﺯﺍ

ﻧﺎﻜﺗ ﻪ ﻱ ﻥﻭﺮﺑ ﺍﺯ ﺖﺳ . ﺖﺳﺍ ﻲﺿﺭﺎﻌﺗ ﻲﺟﺭﺎﺧ ﺕﻼﻣﺎﻌﺗ ﻲﻜﻳ .

ﻲـﻠﻣ ﻥﺎـﻳﺮﺟ ﺎـﺑ ﺕﻼﻣﺎـﻌﺗ ﻦـﻳﺍ

ﻞﻜـﺷ ﺯﺎﻏﺁ ﻪﺑ ﺮﺠﻨﻣ ﻕﺪﺼﻣ ﺖﻟﻭﺩ ﻥﺎﻣﺯ ﺭﺩ ﺖﻔﻧ ﺖﻌﻨﺻ ﻥﺪﺷ ﺮـﻴﮔ

ﻢﻳﺮـﺤﺗ ﻦﻴـﻟﻭﺍ ﻱ ـﻫ

ﻱﺎ

ﻥﺍﺮـﻳﺍ ﻪﻴﻠﻋ ﺮﺑ ﻥﺎﺘﺴﻠﮕﻧﺍ ﻭ ﺎﻜﻳﺮﻣﺁ ﺖـﺳﺍ ﻩﺪـﺷ

. ﻲﻣﻼـﺳﺍ ﺏﻼـﻘﻧﺍ ﺯﺍ ﺲـﭘ ،

ﻪـﺑ ﺶﻨـﻛﺍﻭ ﺭﺩ

ﻥﺎﮔﻭﺮﮔ ﺮﻴﮔ ﻝﺎﺳ ﺭﺩ ﺎﻜﻳﺮﻣﺁ ﺕﺭﺎﻔﺳ ﻱ 1358

، 12 ﻲـﻳﺍﺭﺍﺩ ﺭﻻﺩ ﺩﺭﺎﻴﻠﻴﻣ ﻱﺎـﻫ

ﻪـﻛﻮﻠﺑ ﻥﺍﺮـﻳﺍ

ﺪﺷ ﻩ ﻕﺍﺮﻋ ﻭ ﻥﺍﺮﻳﺍ ﮓﻨﺟ ﻥﺍﺭﻭﺩ ﺭﺩ ﻭ )

1981 ﺎﺗ 1988 ( ، ﻥﺍﺮـﻳﺍ ﺩﺎـﺼﺘﻗﺍ ﻱﺯﺎـﺳ ﺯﺎﺑ ﻥﺍﺭﻭﺩ

) 1989 ﺎﺗ 1992 ( ، ﺘﻨﻴﻠﻛ ﻥﺍﺭﻭﺩ

2ﻥﻮ ) 1993 ﺎﺗ 2001 ( ﻌﻗﺍﻭ ﺯﺍ ﺲﭘ ﻭ ﻪ

ﻱ ﺮﻣﺎﺘﭙـﺳ ﻢﻫﺩﺯﺎـﻳ

) 2001 ﺎﺗ 2006 ( ﻪﻣﺎﻧ ﻊﻄﻗ ﺯﺎﻏﺁ ﻭ ﻝﺎـﺳ ﺯﺍ ﺖـﻴﻨﻣﺍ ﻱﺍﺭﻮـﺷ ﻱﺎﻫ

2006 ﻥﻮﻨﻛﺎـﺗ ، ﺩﺎـﺼﺘﻗﺍ

ﻥﺍﺮﻳﺍ ، ﻢﻳﺮﺤﺗ ﺐﻟﺎﻗ ﺭﺩ ﻲﺟﺭﺎﺧ ﺕﻼﻣﺎﻌﺗ ﺯﺍ ﻲﻳﺎﻫﺩﻭﺮﻓ ﻭ ﺯﺍﺮﻓ ﻩﺭﺍﻮﻤﻫ ﻱﺎﻫ

ﻦﻴﺑ ﻤﻟﺍ ﻪﺘـﺷﺍﺩ ﻲﻠﻠ

ﺖﺳﺍ ﻥﺍﺭﺎﻜﻤﻫ ﻭ ﻲﻧﺎﻴﻐﻃ) ،

1393 ، 259 - 304 (،

ﻦﻳﺍﺮﺑﺎﻨﺑ ، ﻮﺗ ﺭﺩ ﻲﺟﺭﺎﺧ ﺕﻼﻣﺎﻌﺗ ﺮﺛﺍ ﻪﺑ ﻪﺟ

ﺩﺭﺍﺩ ﺖﻴﻤﻫﺍ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻲﺣﺍﺮﻃ .

ﺮﮕﻳﺩ ﻪﻧﺎﻜﺗ ﻥﻭﺮﺑ

ﺍﺯ ﻥﺍﺮﻳﺍ ﺩﺎﺼﺘﻗﺍ ﺭﺩ ،

ﻟﺄﺴﻣ ﻪ ﻱ ﻪﻛ ﺖﺳﺍ ﺖﻔﻧ ،

ﻱﺭﺎـﻤﻴﺑ ﺯﻭﺮـﺑ ﻖـﻳﺮﻃ ﺯﺍ

ﺩﺎﺼﺘﻗﺍ ﺭﺩ ﻪﻨﻳﺰﻫ ﺭﺎﺸﻓ ﺯﺍ ﻲﺷﺎﻧ ﻡﺭﻮﺗ ﺶﻳﺍﺰﻓﺍ ﻭ ﻱﺪﻨﻠﻫ ﺐﺒﺳ

ﺩﺎـﺼﺘﻗﺍ ﺭﺩ ﻡﺭﻮـﺗ ﻱﺭﺎﮔﺪـﻧﺎﻣ

ﻲﻣ ﻮﺷ ﺩ . ﻥﺎﺸﻧ ﺖﻔﻧ ﺖﻤﻴﻗ ﺕﺍﺮﻴﻴﻐﺗ ﺯﺍ ﻲﺷﺎﻧ ﺏﺭﺎﺠﺗ ﻣ

ﻲ ﺩﺎـﺼﺘﻗﺍ ﺭﺩ ﺖـﻔﻧ ﺖـﻤﻴﻗ ﻪﻛ ﺪﻫﺩ

ﻧﻮﮔ ﻪﺑ ﻥﺍﺮﻳﺍ ﻪ

ﻱﺍ ﺯﺍ ﻲﻣﻼﺳﺍ ﺏﻼﻘﻧﺍ ﺯﺍ ﺪﻌﺑ ﺖﻔﻧ ﻪﻜﺸﺑ ﺮﻫ ﻱﺎﻬﺑ ﻪﻛ ﻩﺩﻮﺑ 13

ﻥﺎﻣﺯ ﺭﺩ) ﺭﻻﺩ

1. Small open economy 2. Clinton

ﻝﺎﺳ ﺭﺩ ﻲﻠﻴﻤﺤﺗ ﮓﻨﺟ 65

ﺎﺗ ( 109 ﺭﻻﺩ ﻝﺎـﺳ ﺭﺩ) 91

ﺖـﺳﺍ ﻩﺩﻮـﺑ ﻥﺎـﺳﻮﻧ ﻱﺍﺭﺍﺩ ( .

ﻦـﻳﺍ

ﻪﻟﺄﺴﻣ ﻥﺎﺸﻧ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻲﺣﺍﺮﻃ ﺭﺩ ﺍﺭ ﺮﻴﻐﺘﻣ ﻦﻳﺍ ﻪﺑ ﻪﺟﻮﺗ ﺕﺭﻭﺮﺿ ﺰﻴﻧ ﻲﻣ

ﺪﻫﺩ .

ﻦﻳﺍﺮﺑﺎﻨﺑ ، ﺿﺮﻋ ﺭﺩ ﻱﺭﺍﺬﮔ ﺖﺳﺎﻴﺳ ﺖﻬﺟ ﺖﺳﺍ ﻡﺯﻻ ﻪ

ﻱ ﻝﻮـﭘ ، ﻲـﻔﻨﻣ ﻭ ﺖـﺒﺜﻣ ﺕﺍﺮـﺛﺍ

ﻥﺍﺮﻳﺍ ﺩﺎﺼﺘﻗﺍ ﺭﺩ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﺖـﺳﻻﺎﺑ ﻡﺭﻮـﺗ ﺎـﺑ ﻱﺩﺎﺼﺘﻗﺍ ﻪﻛ–

- ﻪـﺑ ﻪـﺟﻮﺗ ﺎـﺑ ﻟﺄـﺴﻣ

ﻪ ﻱ

ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ،

ﻪﻧﺎﻜﺗ ﻱﺎﻫ ﻥﻭﺮﺑ ﺍﺯ (ﺖـﻔﻧ ﺖـﻤﻴﻗ ﻭ ﻲـﺿﺭﺎﻌﺗ ﻲﺟﺭﺎﺧ ﺕﻼﻣﺎﻌﺗ) ،

ﺐـﻟﺎﻗ ﺭﺩ

ﺩﻮﺷ ﻦﻴﻴﺒﺗ ﻱﺩﺮﺑﺭﺎﻛ ﻱﻮﮕﻟﺍ ﻚﻳ .

ﻣ ﻦﻳﺪﺑ ﺭﻮﻈﻨ

، ﻪﻟﺎﻘﻣ ﻦﻳﺍ ﺖـﺳﺍ ﻩﺪﺷ ﻦﻳﻭﺪﺗ ﺶﺨﺑ ﺞﻨﭘ ﺭﺩ

. ﻝﻭﺍ ﺶـﺨﺑ

، ﻭ ﺏﺭﺎـﺠﺗ ﻪـﺑ

ﻂﺒﺗﺮﻣ ﺕﺎﻌﻟﺎﻄﻣ ﻲﻣ

ﺩﺯﺍﺩﺮﭘ . ﻡﻭﺩ ﺶﺨﺑ ﺭﺩ ،

ﻡﻮـﺳ ﺶـﺨﺑ ﻭ ﻱﺮـﻈﻧ ﻲﻧﺎﺒﻣ ،

ﻖـﻴﻘﺤﺗ ﻱﻮـﮕﻟﺍ

ﻥﺍﻮﻨﻋ ﻲﻣ ﺩﻮﺷ . ﻡﺭﺎﻬﭼ ﺶﺨﺑ ﺭﺩ ،

ﺩﺭﻭﺁﺮﺑ ﻖﻴﻘﺤﺗ ﻱﻮﮕﻟﺍ ،

ﺞﻳﺎﺘﻧ ، ﻞﻴﻠﺤﺗ ﻭ ﻪﻳﺰﺠﺗ ﺭﺩ ﻭ ﻩﺪـﺷ

ﻢﺠﻨﭘ ﺶﺨﺑ ،

ﻪﺋﺍﺭﺍ ﺕﺍﺩﺎﻬﻨﺸﻴﭘ ﻭ ﻱﺪﻨﺑ ﻊﻤﺟ ﻲﻣ

ﺩﻮﺷ .

2 - ﻂﺒﺗﺮﻣ ﺕﺎﻌﻟﺎﻄﻣ ﻭ ﺏﺭﺎﺠﺗ

1ﻦﻴﺘﻣ ﻼﺳﻮﻣ ﻭ )2

1999 (،

ﻲﻨﺘﺒﻣ ﺪﻳﺪﺟ ﺢﻳﺮﺼﺗ ﺎﺑ ﻥﺎﮕﻴﻛ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻊﺑﺎﺗ ﺩﺭﻭﺁﺮﺑ ﻪﺑ

ﺲﻴﺘﻛﻼﻴﻓ ﻱﻮﮕﻟﺍ ﺮﺑ -

ﺭﻮﻠﻴﺗ )3

1993 ﻝﺎﺳ ﻲﻃ ﺭﺩ ﻪﻴﻛﺮﺗ ﺭﺩ ( ﺎﻫ

ﻱ 1 : 1986 ﺎـﺗ 1995:3

ﻩﺩﺍﺩ ﺯﺍ ﻩﺩﺎﻔﺘﺳﺍ ﺎﺑ ـﺘﺧﺍﺩﺮﭘ ﻪﻧﺎﻫﺎﻣ ﻱﺎﻫ

ﻪ ﺪـﻧﺍ . ﺩﻮـﺧ ﻱﺎـﻫﺩﺭﻭﺁﺮﺑ ﺱﺎـﺳﺍ ﺮـﺑ ﻖـﻴﻘﺤﺗ ﺞﻳﺎـﺘﻧ

ﺭ ﻱﺭﺍﺩﺮﺑ ﻥﻮﻴﺳﺮﮔ )

( VAR

ﻥﻮﻴﺴﻧﺎﻫﻮﻳ ﻲﮕﺘﺷﺎﺒﻧﺍ ﻢﻫ ﻥﻮﻣﺯﺁﻭ - 4

ﺱﻮﻠﻴـﺳﻮﻳ ﺪـﻴﻳﺄﺗ

ﻩﺪـﻨﻨﻛ

ﺪﺷ ﻞﻳﺪﻌﺗ ﻱﻮﮕﻟﺍ ﺱﺎﺳﺍﺮﺑ ﻪﻴﻛﺮﺗ ﺭﺩ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻊﺑﺎﺗ ﺩﻮﺟﻭ ﻩ

ﻱ ﺖﺳﺍ ﻥﺎﮕﻴﻛ .

ﭻﻳﻭﻮﻛﻮﻠﻴﻣ )5

1999 ( ، ﺕﺎـﺒﺛﺍ ﻲـﻣ ﺩﻮـﺟﻭ ﻂﻳﺍﺮـﺷ ﺭﺩ ﻥﺎـﮕﻴﻛ ﻑﺭﺎـﻌﺘﻣ ﻱﻮـﮕﻟﺍ ﺪـﻨﻛ

ﻪﻧﺎﻜﺗ ﻱﺎﻫ ﻥﻭﺮﺑ ﺍﺯ ﻞﻳﺪﻌﺗ ﺪﻨﻣﺯﺎﻴﻧ ﻻﺎﺑ ﻡﺭﻮﺗ ﻭ ﻲﻣ

ﺪﺷﺎﺑ ﻮﮕﻟﺍ ﺪﻳﺎﺑ ﻭ ﻪـﻛ ﻲﻳﺎـﻫﺮﻴﻐﺘﻣ ﺱﺎﺳﺍﺮﺑ

ﻪﻧﺎﻜﺗ ﺩﻮﺟﻭ ﺕﺍﺮﺛﺍ ﺮﮕﻧﺎﻴﺑ ﻱﺎﻫ

ﻥﻭﺮﺑ ﺍﺯ ﺖﺳ ، ﺩﻮﺷ ﻞﻳﺪﻌﺗ .

ﺮﻴﻐﺘﻣ ﻥﺩﺮﻛ ﺩﺭﺍﻭ ﺎﺑ ﻖﻴﻘﺤﺗ ﻦﻳﺍ ﺭﺩ

ﻱﻭﻼﺴﮔﻮﻳ ﻭ ﻚﻳﺰﻜﻣ ﺩﺎﺼﺘﻗﺍ ﻱﺍﺮﺑ ﻱﺯﺎﺠﻣ ،

ﺭﺩ ﻥﺎـﮕﻴﻛ ﻝﻮـﭘ ﻱﺎـﺿﺎﻘﺗ ﺯﺍ ﻱﺪـﻳﺪﺟ ﻱﻮـﮕﻟﺍ

ﻪﻧﺎﻜﺗ ﻂﻳﺍﺮﺷ ﻱﺎﻫ

ﻥﻭﺮﺑ ﺍﺯ ﻪﺋﺍﺭﺍ ﻩﺩﺍﺩ ﻥﺎﺸﻧ ﻭ ﻲﻣ

ﺪﻳﺪﺟ ﻱﻮﮕﻟﺍ ﻪﻛ ﺩﻮﺷ ،

ﻲﺤﻳﺮـﺼﺗ ﺐـﺳﺎﻨﻣ

،

ﻪﺑ ﺭﻮﻈﻨﻣ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻞﻴﻠﺤﺗ ،

ﻪﻧﺎﻜﺗ ﻪﺑ ﻪﺟﻮﺗ ﺎﺑ ﺖﺳﺍﺯﻭﺮﺑ ﻱﺎﻫ

.

ﺍﻮﻧﺎﻜﭼﻮﻛﺎﻣ )6

2007 ( ، ﺑ ﻩﻭﺎﺒﻴﻣﺯ ﺭﺩ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻊﺑﺎﺗ ﺩﺭﻭﺁﺮﺑ ﻪﺑ ﻞﻳﺪﻌﺗ ﻱﻮﮕﻟﺍ ﺱﺎﺳﺍ ﺮ

ﺘﻓﺎﻳ ﻪ ﻱ ﻝﺎﺳ ﻲﻃ ﻥﺎﮕﻴﻛ ﻱﺎﻫ

1999 ﺎﺗ 2006 ﻩﺩﺍﺩ ﺱﺎﺳﺍ ﺮﺑ ﺖـﺳﺍ ﻪـﺘﺧﺍﺩﺮﭘ ﻪـﻧﺎﻫﺎﻣ ﻱﺎـﻫ

.

1. Metin 2. Muslu

3. Phylaktis-Taylor 4. Johansson- Jusilus 5. Milykovic 6. Makochekanwa

ﻖﻘﺤﺗ ﻦﻳﺍﺭﺩ ،

ﺍ ﺮـﺑ ﻥﺎﮕﻴﻛ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻊﺑﺎﺗ ﺭﺩ ﺲﻴـﺘﻛﻼﻴﻓ ﻲﻳﺎـﻧﺎﻣ ﻁﺮـﺷ ﺱﺎـﺳ

- ﺭﻮـﻠﻴﺗ

) 1993 ( ، ﺮﻬﺑ ﺥﺮﻧ ﻩ ﻱ ﺎﻄﺧ ﺢﻴﺤﺼﺗ ﺱﺎﺳﺍ ﺮﺑ ﺭﻮﻛﺬﻣ ﻱﻮﮕﻟﺍ ﻭ ﺩﺭﺍﻭ ﻲﻜﻧﺎﺑ )1

(ECM

، ﺵﺯﺍﺮـﺑ

ﺖﺳﺍ ﻩﺪﺷ .

ﺞﻳﺎﺘﻧ ، ﻞﻣﺍﻮﻋ ﺮﻴﺛﺄﺗ ﮔ ﺍﺭ ﻪﺘﻓﺎﻳ ﻞﻳﺪﻌﺗ ﻱﻮﮕﻟﺍ ﺮﺑ ﺭﺍﺬ ﺪﻴﻳﺄﺗ

ﻲﻣ ﺪﻨﻛ .

2ﻭﺍژ ) 2015 (،

ﺖﺳﺍ ﻪﺘﺧﺍﺩﺮﭘ ﻦﻴﭼ ﻡﺭﻮﺗﺮﺑﺍ ﺭﺩ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻂﻳﺍﺮﺷ ﻞﻴﻠﺤﺗ ﻪﺑ .

ﻦﻳﺍ ﺭﺩ

ﺤﺗ ﺪـﻳﺪﭘ ﻖـﻴﻘ ﻩ

ﻱ ﺮﺑﺍ ﻲﻧﺎـﻬﺟ ﮓـﻨﺟ ﺯﺍ ﺪـﻌﺑ ﻦﻴـﭼ ﻡﺭﻮـﺗ ،

ﻲـﺿﺎﻳﺭ ﺢﻳﺮـﺼﺗ ﻭﺩ ﺱﺎـﺳﺍ ﺮـﺑ

ﻩﺩﺍﺩ ﺮـﺑ ﻲـﻨﺘﺒﻣ ﻪﻓﺮﻃ ﻚﻳ ﻢﺘﻳﺭﺎﮕﻟ ﻭ ﻪﻓﺮﻃ ﻭﺩ ﻢﺘﻳﺭﺎﮕﻟ ﻞﻣﺎﺷ ﻲﻧﻮﻴﺳﺮﮔﺭ ـﻧﺎﻫﺎﻣ ﻱﺎـﻫ

ﻪ ﻱ

ﻝﺎﺳ ﻱﺎﻫ 1946 ﺎﺗ 1949 ﺖـﺳﺍ ﻩﺪﺷ ﺩﺭﻭﺁﺮﺑ ﻥﻮﺴﻧﺎﻫﻮﻳ ﻲﻌﻤﺠﻤﻫ ﺵﻭﺭ ﺱﺎﺳﺍ ﺮﺑ .

ﺞﻳﺎـﺘﻧ

ﻲﻓﺮﻃ ﻭﺩ ﻢﺘﻳﺭﺎﮕﻟ ﻱﻮﮕﻟﺍ ﻪﻛ ﺖﺳﺍ ﻥﺁ ﻱﺎﻳﻮﮔ ﺤﻳﺮﺼﺗ ،

ﺐﺳﺎﻨﻣ ﻲ ﻱﺍﺮﺑ

ﺪﻴﻳﺄﺗ ﻱﺎـﺿﺎﻘﺗ ﺭﺎﺘﻓﺭ

ﺖـﺳﺍ ﻥﺎﮕﻴﻛ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻱﻮﮕﻟﺍ ﺱﺎﺳﺍ ﺮﺑ ﻝﻮﭘ

، ﺭﺎـﺘﻓﺭ ﻪـﻓﺮﻃ ﻚـﻳ ﺢﻳﺮـﺼﺗ ﻱﻮـﮕﻟﺍ ﻲـﻟﻭ

ﺍﺭ ﻥﺎﮕﻴﻛ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻱﻮﮕﻟﺍ ﺱﺎﺳﺍ ﺮﺑ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﺪﻴﻳﺄﺗ

ﻲﻤﻧ ﺪﻨﻛ .

ﻲﻣﺮﻴﻤﺳ ﻲﻳﺎﺑﺎﺑ ﻭ ﻱﺮﺸﻋ ﻲﻨﺛﺍ )

1388 ( ، ﻩﺩﺮﭙﺳ ﺭﺩ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻊﺑﺎﺗ ﺩﺭﻭﺁﺮﺑ ﻪﺑ ﻱﺎـﻫ

ﻚﻧﺎﺑ ﺭﺩ ﻪﻨﺴﺤﻟﺍ ﺽﺮﻗ ﻫ

ﻱﺎ ﺘﺧﺍﺩﺮﭘ ﻥﺍﺮﻳﺍ ﻪ

ﺪﻧﺍ . ﻭ ﻥﺎـﮕﻴﻛ ﻱﻮـﮕﻟﺍ ﺯﺍ ﻩﺩﺎﻔﺘﺳﺍ ﺎﺑ ﻖﻴﻘﺤﺗ ﺞﻳﺎﺘﻧ

ﻪﺑ ﻩﺩﺍﺩ ﻱﺮﻴﮔﺭﺎﻛ ﻝﺎﺳ ﻲﻧﺎﻣﺯ ﻱﺮﺳ ﻱﺎﻫ

ﻱﺎﻫ 1340 - 1386 ، ﻲﻣ ﻥﺎﺸﻧ ﺪﻫﺩ

ﺶﻳﺍﺰﻓﺍ ﻪﻛ ﻚﻳ

ﻱﺪﺻﺭﺩ ﺕﺭﺎﻈﺘﻧﺍ ﻲﻣﺭﻮﺗ ﺐﺒﺳ ﺶﻫﺎﻛ 014 / 0 ﻢﺠﺣ ﺭﺩ ﻱﺪﺻﺭﺩ ﻩﺩﺮﭙﺳ

ﻱﺎﻫ ﺽﺮﻗ ﻪﻨﺴﺤﻟﺍ

ﻚﻧﺎﺑ ﺎﻫ ﻲﻣ ﻮﺷ ﺩ .

ﻲﻧﺎﺘﺳﺎﺑ ﻱﺭﺪﻴﺣ ﻭ ﺮﻓ )

1394 ( ، ﻴﻠﺤﺗ ﻪﺑ ﺱﺎـﺳﺍ ﺮـﺑ ﻝﻮـﭘ ﻱﺎﺿﺎﻘﺗ ﻊﺑﺎﺗ ﻲﻫﺎﻓﺭ ﺕﺍﺮﺛﺍ ﻞ

ﺘﺧﺍﺩﺮﭘ ﻡﻼﺳﺍ ﺭﺩ ﻩﺩﺍﻮﻧﺎﺧ ﻲﻗﻼﺧﺍ ﻲﻧﺎﺒﻣ ﻪ

ﺪﻧﺍ . ﺭﺩ ﻩﺩﺍﻮﻧﺎـﺧ ﻲﻧﺎـﺒﻣ ﺱﺎـﺳﺍﺮﺑ ﻖـﻴﻘﺤﺗ ﻦﻳﺍ ﺭﺩ

ﻡﻼﺳﺍ ، ﻩﺰﻴﮕﻧﺍ ﺯﺍ ﻱﺪﻳﺪﺟ ﻉﻮﻧ ﻲﮔﮋﻳﻭ ﻞﻣﺎﺷ ﺎﻫ

ﻱﺎﻫ ﻲﺘـﺳﻭﺩ ﻉﻮـﻧ ﻭ ﺖـﺷﺬﮔ ﻥﻮﭼ ﻲﻗﻼﺧﺍ ،

ﻩﺰﻴﮕﻧﺍﺮﺑ ﺎﻬﻧﺁ ﺮﺛﺍ ﻭ ﻲﻓﺮﻌﻣ ﻪﺘﻔـﺳ ﻞﻣﺎـﺷ ﻝﻮـﭘ ﻱﺎـﺿﺎﻘﺗ ﻑﺭﺎـﻌﺘﻣ ﻱﺎـﻫ

ﻱﺯﺎـﺑ ، ﻭ ﻲﺗﻻﺩﺎـﺒﻣ

ﻞﻴﻠﺤﺗ ﻲﻃﺎﻴﺘﺣﺍ ﻩﺪﺷ

ﻲﻜـﺳﺍﺭﺪﻴﺳ ﻲﻟﻮـﭘ ﻱﻮـﮕﻟﺍ ﺏﻮﭼﺭﺎﭼ ﺭﺩ ﻭ ،

ﻪـﻳﺍﺭﺍ ﻱﺪـﻳﺪﺟ ﺢﻳﺮـﺼﺗ

ﻲﻣ ﻮﺷ ﺩ . ﻥﺎﺸﻧ ﺞﻳﺎﺘﻧ ﻲﻣ

ﻪﺑ ﻩﺩﺍﻮﻧﺎﺧ ﻪﻛ ﺪﻫﺩ ﻲﮔﮋﻳﻭ ﺶﻳﺍﺰﻓﺍ ﻞﻴﻟﺩ

ﻱﺎﻫ ﻥﻮـﭼ ﺖﺒﺜﻣ ﻲﻗﻼﺧﺍ

ﻖﻳﺮﻃ ﺯﺍ ﻲﺘﺳﻭﺩ ﻉﻮﻧ ﻭ ﺖﺷﺬﮔ ﺬﮔﺮﺛﺍ

ﻲﻧﺎـﻣﺯ ﺞﻴﺟﺮـﺗ ﺥﺮـﻧ ﺶﻫﺎﻛ ﺮﺑ ﻱﺭﺍ ﺐﺒـﺳ

ﺶﻳﺍﺰـﻓﺍ

ﺶﻴﺑ ﺮﺗ ﻲﻣ ﻪﻌﻣﺎﺟ ﻩﺎﻓﺭ ﻮﺷ

ﺩ .

ﻤﺟ ﻌﻟﺎﻄﻣ ﭻﻴﻫ ﺭﺩ ﻪﻛ ﺖﺳﺍ ﻥﺁ ﻱﺎﻳﻮﮔ ﺕﺎﻌﻟﺎﻄﻣ ﻱﺪﻨﺑ ﻊ ﻪ

ﻱﺍ ﻞﺧﺍﺩ ﺭﺩ ، ﻱﺎـﺿﺎﻘﺗ ﻊﺑﺎﺗ

ﻂﻳﺍﺮـﺷ ﺱﺎـﺳﺍﺮﺑ ﻭ ﻥﺎـﮕﻴﻛ ﻱﺎـﺿﺎﻘﺗ ﻊﺑﺎـﺗ ﺪـﻳﺪﺟ ﺢﻳﺮﺼﺗ ﺱﺎﺳﺍ ﺮﺑ ﻥﺍﺮﻳﺍ ﺩﺎﺼﺘﻗﺍ ﺭﺩ ﻝﻮﭘ ﻲﺟﺭﺎﺧ ﺕﻼﻣﺎﻌﺗ ﻭ ﻲﺘﻔﻧ ﺩﺎﺼﺘﻗﺍ ﻡﺎﺠﻧﺍ

ﺖﺳﺍ ﻪﺘﻓﺮﮕﻧ .

1. Error Correction Model 2. Zhao

3 - ﻱﺮﻈﻧ ﻲﻧﺎﺒﻣ

"

ﺶﻟﺍﻭ ﻒﻳﺮﻌﺗ ﺱﺎﺳﺍ ﺮﺑ )

2010 (،

ﻲﻟﻮـﭘ ﺩﺎﺼﺘﻗﺍ ﺯﺍ ،

ـﭘ ﺩﺎـﺼﺘﻗﺍ ﻪﺧﺎـﺷ ﻲﻟﻮ

ﻱﺍ ﻢـﻠﻋ ﺯﺍ

ﻝﻮﭘ ﻢﺠﺣ ﺭﺎﺘﻓﺭ ﻞﻴﻠﺤﺗ ﻪﺑ ﻪﻛ ﺖﺳﺍ ﺩﺎﺼﺘﻗﺍ ﻱﺎـﻫﺮﻴﻐﺘﻣ ﺮـﺑ (ﻝﻮـﭘ ﻱﺎﺿﺎﻘﺗ ﻭ ﻪﺿﺮﻋ ﻞﻣﺎﺷ)

ﻌﻴﻤﺠﺗ ﻲ ﻥﻼﻛ ﻩﺪﺷ ﻲﻣ

ﺩﺯﺍﺩﺮﭘ . ﻲـﺳﺎﻨﺷ ﺵﻭﺭ ﺮـﻈﻨﻣ ﺯﺍ ،

ﺮـﺻﺎﻨﻋ ﻥﺎـﻴﻣ ﻂـﺑﺍﻭﺭ ﺝﺍﺮﺨﺘـﺳﺍ

ﺮﻴﺛﺄﺗ ﺖﺳﺍ ﻦﻜﻤﻣ ﺕﺭﻮﺻ ﻭﺩ ﻪﺑ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻭ ﻪﺿﺮﻋ ﺮﺑ ﺭﺍﺬﮔ .

ﺮـﺑ ﻪـﻛ ﺖـﺳﺍ ﻥﺁ ﻝﻭﺍ ﺵﻭﺭ

ﺑ ﺪﻨﻳﺍﺮﻓ ﻚﻳ ﺱﺎﺳﺍ ﻨﻴﻬ

ﻪ ﺑﺎﻳ ﻲ ، ﻮﺷ ﺝﺍﺮﺨﺘﺳﺍ ﻂﺑﺍﻭﺭ ﺩ

. ﻊﺑﺎـﺗ ﺭﺩ ﻝﻮﭘ ﻥﺩﺮﻛ ﺩﺭﺍﻭ ﻪﻨﻴﻣﺯ ﻦﻳﺍ ﺭﺩ

ﺖﻴﺑﻮﻄﻣ ﻊﺑﺎﺗ ﺪﻴﻗ ﺎﻳ ﻭ ﺖﻴﺑﻮﻠﻄﻣ ،

ﻪﺑ ﻥﺍﻮﻨﻋ ﺵﻭﺭ ﺎﻫ ﻱ ﻝﻮـﭘ ﻢـﺠﺣ ﺭﺎﺘﻓﺭ ﻞﻴﻠﺤﺗ ﺭﺩ ﻑﺭﺎﻌﺘﻣ

ﺖﺳﺍ . ﻲﺑﺮﺠﺗ ﺪﻫﺍﻮﺷ ﺮﺑ ﻲﻨﺘﺒﻣ ﻪﻛ ﺖﺳﺍ ﻥﺁ ﻡﻭﺩ ﺵﻭﺭ ،

ﻪﻄﺑﺍﺭ ﺎـﺑ ﻥﺁ ﺖﺤـﺻ ﻭ ﻒـﺸﻛ ﻱﺍ

ﺩﻮﺷ ﻥﻮﻣﺯﺁ ﺮﮕﻳﺩ ﻂﻳﺍﺮﺷ ﺭﺩ ﺕﺍﺮﻴﻴﻐﺗ ﻭ ﻞﻳﺪﻌﺗ .

ﻧﺎﻣ ﻳﺮﻈﻧ ﺪﻨ ﻪ ﻱ ﺪـﻋﺎﻗ ﺎﻳ ﻭ ﻝﻮﭘ ﻱﺭﺍﺪﻘﻣ ﻩ

ﻱ

ﺭﻮﻠﻴﺗ ) 1993 ( ، ﺑ ﺪﻨﻳﺍﺮﻓ ﻪﺑ ﻪﺟﻮﺗ ﻥﻭﺪﺑ ﻪﻛ ﻲﻣﺭﻮﺗ ﺕﺭﺎﻈﺘﻧﺍ ﺎﺑ ﺲﭙﻴﻠﻴﻓ ﻲﻨﺤﻨﻣ ﻪﻨﻴﻬ

ﺑﺎـﻳ ﻭ ﻲ

ﺪﺷ ﺝﺍﺮﺨﺘﺳﺍ ﻲﺑﺮﺠﺗ ﺪﻫﺍﻮﺷ ﺮﺑ ﻲﻨﺘﺒﻣ ﻩ

ﺪﻧﺍ . ﺲﻴـﺘﻛﻼﻴﻓ ﻦﻴﻨﭽﻤﻫ ﻭ ﻥﺎﮕﻴﻛ ﻱﻮﮕﻟﺍ -

ﺭﻮـﻠﻴﺗ

ﺖﺳﺍ ﻡﻭﺩ ﺵﻭﺭ ﺮﺑ ﻲﻨﺘﺒﻣ ﺶﻟﺍﻭ)

، 2010 ، 31 - 1 ( .

3 - 1 - ﻥﺎﮕﻴﻛ ﻲﺘﻨﺳ ﻱﻮﮕﻟﺍ ﻥﺎﮕﻴﻛ ِﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻱﻮﮕﻟﺍ )

1956 ( ، ﻊﺑﺎـﺗ ﺩﺭﻭﺁﺮـﺑ ﺭﺩ ﻲﺳﺎﺳﺍ ﻭ ﻪﻳﺎﭘ ﻱﺎﻫﻮﮕﻟﺍ ﺯﺍ ﻲﻜﻳ

ﺩﺮﻛ ﻪﺑﺮﺠﺗ ﺍﺭ ﻡﺭﻮﺗ ﻱﻻﺎﺑ ﺥﺮﻧ ﻪﻛ ﺖﺳﺍ ﻲﻳﺎﻫﺩﺎﺼﺘﻗﺍ ﺭﺩ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻩ

ﺪﻧﺍ . ﻦـﻳﺍ ﻲﻠـﺻﺍ ﻑﺪﻫ

ﻮﮕﻟﺍ ، ﻪﻧﺎﻜﺗ ﻭ ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ﻞﻴﻠﺤﺗ ﻪـﻛ ﺖـﺳﺍ ﻲﻄﻳﺍﺮﺷ ﺭﺩ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﺮﺑ ﻱﺩﺎﺼﺘﻗﺍ ﻱﺎﻫ

ﺪﺷﺎﺑ ﻲﻳﻻﺎﺑ ﺢﻄﺳ ﺭﺩ ﻡﺭﻮﺗ .

ﻲﻣﺭﻮـﺗ ﺮـﺑﺍ ﻂﻳﺍﺮﺷ ﺭﺩ ﻪﻛ ﺖﺳﺍ ﻥﺁ ﻮﮕﻟﺍ ﻲﻠﺻﺍ ﻡﺎﻴﭘ ﻡﺭﻮـﺗ ﺎـﻳ1

ﻻﺎﺑ ﺭﺎﻴﺴﺑ ،

ﺭﺩ ﺕﺍﺮﻴﻴﻐﺗ ﺮﺛﺍ ﺖﻤﻴﻗ

ﺎﻫ ، ﺭﺎﻴﺴﺑ ﺶﻴﺑ ﺮﺗ ﻩﺩﻮـﺑ ﻲﻘﻴﻘﺣ ﻱﺎﻫﺮﻴﻐﺘﻣ ﺭﺩ ﺕﺍﺮﻴﻴﻐﺗ ﺯﺍ

ﺕﺪﺷ ﻪﺑ ﺕﺍﺮﻴﻴﻐﺗ ﻦﻳﺍ ﻭ ﺐﺟﻮﻣ

ﻥﺩﺯ ﻢﻫﺮﺑ ﻝﺩﺎﻌﺗ

ﺎﻫ ﻱ ﻥﻼﻛ ﺩﺎﺼﺘﻗﺍ ﻲﻣ

ﺩﻮـﺷ

، ﻡﺭﻮـﺗ ﺍﺮـﻳﺯ

ﻻﺎﺑ ، ﻳﺍ ﻪﻛ ﺩﺭﺍﺩ ﻩﺍﺮﻤﻫ ﻪﺑ ﺍﺭ ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ﻩﺪﻨﻳﺍﺰﻓ ﺕﺭﻮﺻ ﻪﺑ ﺕﺍﺭﺎﻈﺘﻧﺍ ﻦ

ﺐـﺟﻮﻣ ﺶﻫﺎـﻛ

ﻦﻳﺰﮕﻳﺎﺟ ﺶﻳﺍﺰﻓﺍ ﻭ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻱﺎﻫ

ﻲﻳﺍﺭﺍﺩ ﻭ ﻲﺟﺭﺎﺧ ﻝﻮﭘ ﺪﻨﻧﺎﻣ ﻝﻮﭘ ﻲـﻣ

ﻦﻳﺪـﺑ ﻭ ﺩﺩﺮـﮔ

ﻢﻫﺮـﺑ ﺕﺪـﺷ ﻪﺑ ﻲﻳﺍﺭﺍﺩ ﻭ ﻲﻟﻮﭘ ﻱﺎﻫﺍﺯﺎﺑ ﺭﺩ ﻝﺩﺎﻌﺗ ﺐﺒﺳ ﻲـﻣ

ﺩﺭﻮـﺧ

، ﻦﻳﺍﺮﺑﺎـﻨﺑ ﻂﻳﺍﺮـﺷ ﺭﺩ

ﻻﺎﺑ ﻲﻣﺭﻮﺗ ،

ﺩﺎـﺼﺘﻗﺍ ﻲـﻌﻗﺍﻭ ﻱﺎﻫﺮﻴﻐﺘﻣ ﺎﺑ ﻲﻟﻮﭘ ﺶﺨﺑ ﻥﺎﻴﻣ ﻁﺎﺒﺗﺭﺍ ﺪﻳﺎﺑ ﻪـﺑ

ﺍﺪـﺣ ﻞﻗ ﺪـﺳﺮﺑ

ﻥﺎﮕﻴﻛ) ، 1956 ، ﺹ 25 ( .

ﻥﺎﮕﻴﻛ

، ﻄﺑﺍﺭ ﺍﺪﺘﺑﺍ ﺭﺩ ﻪ

ﻱ ﻝﻮﭘ ﻱﺭﺍﺪﻘﻣ )

MV=PY

ﺮﻈﻧ ﺭﺩ ﺍﺭ ( ﻲﻣ

ﺩﺮﻴﮔ

، ﻧﻮﮔ ﻪﺑ ﻪ ﻱﺍ ﻪﻛ

،M

ﻲﻤﺳﺍ ﻝﻮﭘ ﻢﺠﺣ

، ،P

ﺺﺧﺎﺷ ﺖﻤﻴﻗ ﺎﻫ ، ،V

ﻭ ﻝﻮـﭘ ﺵﺩﺮﮔ ﺖﻋﺮﺳ ،Y

ﻲـﻌﻗﺍﻭ ﺪـﻣﺁﺭﺩ

ﺖﺳﺍ . ﺽﺮﻓ ﺲﭙﺳ ﻲﻣ

ﺮـﻬﺑ ﺥﺮـﻧ ﺯﺍ ﻩﺪﻨﻳﺍﺰﻓ ﻲﻌﺑﺎﺗ ﻝﻮﭘ ﺵﺩﺮﮔ ﺖﻋﺮﺳ ﻪﻛ ﺪﻨﻛ ﻩ

ﻱ ﻲﻤـﺳﺍ

1. Hyper Inflation

ﺪﺷﺎﺑ ، ﻲﻨﻌﻳ ، ߙⁱ

V(i)=

ﺮﻬﺑ ﺥﺮﻧ ﻩ ﻱ ﻲﻤـﺳﺍ ) ﻲﻣﺭﻮـﺗ ﺕﺍﺭﺎـﻈﺘﻧﺍ ﻉﻮـﻤﺠﻣ ﻢـﻫ ﺍﺭ (i

)

ߨ^௘

ﻭ (

ﺮﻬﺑ ﻩ ﻱ ) ﻲﻌﻗﺍﻭ

r ( ﻲﻣ ﺪﻧﺍﺩ

، ﻲﻨﻌﻳ :

) 1 (

‹ ൌ ” ൅ Ɏ^ୣ

ﻄﺑﺍﺭ ﺯﺍ ﺮﮔﺍ ﻪ

ﻱ )

MV=PY

ﺩﻮﺷ ﻪﺘﻓﺮﮔ ﻢﺘﻳﺭﺎﮕﻟ (

، ﻞﻴﺴﻧﺍﺮﻔﻳﺩ ﺎﺑ ﺮﻴﮔ

ﺎﻬﻧ ﺭﺩ ﻥﺁ ﺯﺍ ﻱ ﺖـﻳ

ﻲﻣ ﺭﺩ ﺪﺷﺭ ﺥﺮﻧ ﺕﺭﻮﺻ ﻪﺑ ﺎﻫﺮﻴﻐﺘﻣ ﻨﻳﺁ

:ﺪ

) 2 (

^Ǥെ ^Ǥ ൌ ^Ǥെ^Ǥ

^Ǥെ ^Ǥ

، ﺪﻧﺎﻣ ﺪﺷﺭ ﻩ

ﻱ ﺎﺑ ﻪﻛ ﺖﺳﺍ ﻝﻮﭘ ﻲﻌﻗﺍﻭ

^Ǥ

ﻩﺩﺍﺩ ﻥﺎﺸﻧ ﻲﻣ

ﺩﻮﺷ . ﻥﺩﺍﺩ ﺭﺍﺮـﻗ ﺎـﺑ

ﻄﺑﺍﺭ ﻪ ﻱ ) 1 ﺮﻬﺑ ﺥﺮﻧ ﻱﺎﺟ ﻪﺑ ( ﻩ

ﻱ ﻪﻄﺑﺍﺭ ﺭﺩ ﻲﻤﺳﺍ ،ﻱ

Ƚⁱ

V(i)=

ـﻄﺑﺍﺭ ﺭﺩ ﻥﺁ ﺢﻳﺮـﺼﺗ ﻭ ﻪ

ﻱ

) 2 ( ﺖﺷﺍﺩ ﻢﻴﻫﺍﻮﺧ :

) 3 (

^Ǥെ ^Ǥ ൌ ^Ǥെ Ƚ ሺ” ൅ Ɏ^ୣሻ

ﻥﺎﮕﻴﻛ ﻲﻣ ﻥﺎﻴﺑ ﻪﻛ ﺪﻨﻛ ﻳﺍﺮﺷ ﺭﺩ ﻡﺭﻮﺗ ﻂ ﻱﺎﻫ ﻻﺎـﺑ ، ﺪـﺷﺭ) ﻲـﻌﻗﺍﻭ ﻱﺎـﻫﺮﻴﻐﺘﻣ ﻁﺎـﺒﺗﺭﺍ

ﻭ ﻲﻌﻗﺍﻭ ﺮﻬﺑ

ﻩ ﻱ ﺪﻧﺎﻣ ﺎﺑ (ﻲﻌﻗﺍﻭ ﻩ

ﻱ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﺎﻳ ﻲﻌﻗﺍﻭ )

݉^Ǥ

ﻊﻄﻗ ( ﻲﻣ ﺩﻮﺷ ، ﻦﻳﺍﺮﺑﺎﻨﺑ ، ﻊﺑﺎﺗ

ﺮﻳﺯ ﺕﺭﻮﺻ ﻪﺑ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻲﻣ

ﺷﺎﺑ :ﺪ

) 4 (

^Ǥ ൌ െȽɎ^ୣ

ﻞﻜﺷ ﻱﺎﻫ ) 1 ) ﻭ ( 2 (،

ﺭﺎﻛ ﻭ ﺯﺎﺳ ﺐﻴﺗﺮﺗ ﻪﺑ ﺬﮔﺮﺛﺍ

ﺎﻫﺮﻴﻐﺘﻣ ﻱﺭﺍ ﺮﺛﺆﻣ

ﺎـﺿﺎﻘﺗ ﺮﺑ ﻝﻮـﭘ ﻱ

ﻡﺭﻮﺗ ﺯﺍ ﺪﻌﺑ ﻭ ﻞﺒﻗ ﺍﺭ ﻲﻣ ﻥﺎﺸﻧ

ﻨﻫﺩ ﺪ . ﻥﺎﻤﻫ ﺭﻮﻃ ﻞﻜـﺷ ﺭﺩ ﻪﻛ )

1 ( ﻩﺪﻫﺎـﺸﻣ ﻲـﻣ

ﺩﻮـﺷ

، ﺭﺩ

ﻡﺭﻮﺗ ﻡﺪﻋ ﺕﺭﻮﺻ ﻡﺭﻮﺗ ﺎﻳ ﻭ

ﻱﺎﻫ ﻦﻴﻳﺎﭘ ) ﻢـﻛ ﺮـﺗ ﺯﺍ 5 (ﺪـﺻﺭﺩ ، ﺮـﻬﺑ ﻩ ﻱ ﺕﺍﺭﺎـﻈﺘﻧﺍ ﻭ ﻲـﻌﻗﺍﻭ

ﻖﻳﺮﻃ ﺯﺍ ﻲﻣﺭﻮﺗ ﺬﮔﺮﺛﺍ

ﺮـﮕﻳﺩ ﻱﻮـﺳ ﺯﺍ ﻲﻌﻗﺍﻭ ﺪﻣﺁﺭﺩ ﻭ ﻮﺴﻜﻳ ﺯﺍ ﻝﻮﭘ ﺵﺩﺮﮔ ﺖﻋﺮﺳ ﺮﺑ ﻱﺭﺍ ،

ﺮﺛﺍ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﺮﺑ ﻲﻣ

ﺪﻧﺭﺍﺬﮔ .

ﻞﻜﺷ 1 - ﻞﻣﺍﻮﻋ ﺮﺛﺆﻣ ﻞﻜﺷ ﺮﺑ ﺮﻴﮔ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻱ ﺮﺛﺄﺘﻣ

ﻻﺎﺑ ﻡﺭﻮﺗ ﺯﺍ ﻞﺒﻗ ﻥﺎﮕﻴﮔ ﻲﺘﻨﺳ ﻱﻮﮕﻟﺍ ﺯﺍ ﻲﻌﻗﺍﻭ ﻩﺮﻬﺑ

ﺕﺍﺭﺎﻈﺘﻧﺍ ﻲﻣﺭﻮﺗ

ﺵﺩﺮﮔ ﺖﻋﺮﺳ ﻝﻮﭘ

ﺪﻴﻟﻮﺗ ﻲﻌﻗﺍﻭ

ﻱﺎﺿﺎﻘﺗ ﻝﻮﭘ +

+

-

+

ﺎﻣﺍ ﻥﺎﻤﻫ ﺭﻮﻃ ﻞﻜﺷ ﻪﻛ ) 2 ﻥﺎﺸﻧ ( ﻲﻣ ﺪﻫﺩ

، ﻻﺎﺑ ﻭ ﺮﻤﺘﺴﻣ ﻡﺭﻮﺗ ﺮﺛﺍ ﺐﺒﺳ

ﻲﺑ ﻥﺪـﺷ ﺮﺛﺍ

ﻭ ﺪﻣﺁﺭﺩ) ﻲﻌﻗﺍﻭ ﻱﺎﻫﺮﻴﻐﺘﻣ ﺮﻬﺑ

ﻩ ﻱ ﻲﻌﻗﺍﻭ ( ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﺮﺑ ﻲﻣ

ﻮﺷ ﺩ .

ﻞﻜﺷ 2 - ﻞﻣﺍﻮﻋ ﺮﺛﺆﻣ ﻞﻜﺷ ﺮﺑ ﺮﻴﮔ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻱ ﺮﺛﺄﺘﻣ

ﻻﺎﺑ ﻡﺭﻮﺗ ﺯﺍ ﺪﻌﺑ ﻥﺎﮕﻴﮔ ﻲﺘﻨﺳ ﻱﻮﮕﻟﺍ ﺯﺍ

:ﻊﺒﻨﻣ ﻩﺪﻨﺴﻳﻮﻧ ﺮﺛﺄﺘﻣ ، ﻥﺎﮕﻴﻛ ﺯﺍ ) 1965 (

2 - 2 - ﻪﻧﺎﻜﺗ ﺱﺎﺳﺍ ﺮﺑ ﻥﺎﮕﻴﻛ ﺪﻳﺪﺟ ﻱﻮﮕﻟﺍ ﻱﺎﻫ

ﻥﻭﺮﺑ ﺍﺯ

ﺢﻳﺮﺼﺗ ﻱﺎﻫ ﻲﻔﻠﺘﺨﻣ ﻥﺎﮕﻴﻛ ﻱﻮﮕﻟﺍ ﺯﺍ

ﻡﺎﺠﻧﺍ ﺖﺳﺍ ﻪﺘﻓﺮﮔ

، ﻪﺑ ﻧﻮﮔ ﻪ ﻱﺍ ﻭﺮـﺑ ﻪﻛ )1

1970 ( ،

ﺖﻨﺟﺭﺎﺳ )2

1977 (،

ﺱﻻﺍ ﻭﻭ ﺖﻨﺟﺭﺎﺳ )3

1973 ( ، ﻲﻣﻻﺎـﺳ )4

1979 ( ، ﺖﻨﺟﺭﺎـﺳ ﻭ ﻲﻣﻻﺎـﺳ

) 1979 ( ،

5ﻞﺑﺁ ) ﻥﺍﺭﺎـﻜﻤﻫ ﻭ 1979

( ، ﻮﻧﺎﻴﺘـﺴﻳﺮﻛ )6

1987 ( ، ﺭﻮـﻠﻴﺗ ) 1991 ﻞـﺸﻴﻣ ﻭ ( ﻭ7

ﻥﺍﺭﺎﻜﻤﻫ ) 1994 ( ، ﻮﮕﻟﺍ ﻦﻳﺍ ِﺽﻭﺮﻓ ﻲﺧﺮﺑ ﺭﺩ ﺮﻴﻴﻐﺗ ﺎﺑ ،

ﺢﻳﺮـﺼﺗ ﻪـﺑ ﻱﺎـﻫ

ﺖـﺳﺩ ﻱﺪـﻳﺪﺟ

ﺘﻓﺎﻳ ﻪ ﺪﻧﺍ ﺎﻣﺍ ﺭﻮﻠﻴﺗ ﻭ ﺲﻴﺘﻛﻼﻴﻓ )

1993 ( ، ﻗﺍ ﺖﻴﻌﺿﻭ ﻞﻴﻠﺤﺗ ﺎﺑ ﻞـﻳﺯﺮﺑ ﻱﺎﻫﺭﻮـﺸﻛ ﻱﺩﺎـﺼﺘ

،

ﻦﻴﺘﻧﺍژﺭﺁ ، ـﻫﺩ ﺭﺩ ﻲﻠﻴـﺷ ﻭ ﻭﺮـﭘ ﻪ

ﻱ 1970 ﻭ 1980 ، ﺪﻴـﺳﺭ ﻪـﺠﻴﺘﻧ ﻦـﻳﺍ ﻪـﺑ ﻩ ﺍ

ﺪـﻧ ﻪـﻛ ﺭﺩ

ﻻﺎﺑ ﻡﺭﻮﺗ ﺎﺑ ﻭ ﻚﭼﻮﻛِﺯﺎﺑ ﻱﺎﻫﺩﺎﺼﺘﻗﺍ ،

ﻲﻣ ﺢﻳﺮﺼﺗ ﺪﻨﻣﺯﺎﻴﻧ ﻥﺎﮕﻴﻛ ﻱﻮﮕﻟﺍ ﺪﻨﺷﺎﺑ

ﺭﺎﺘﺧﺎـﺳ ﺍﺮـﻳﺯ

ﻦﻴﻣﺄﺗ ﻪﻧﺎﻜﺗ ﻭ ﺖﻟﻭﺩ ﻲﻟﺎﻣ ﻱﺎﻫ

ﻥﻭﺮﺑ ﺍﺯ ) ﻥﺎﮕﻴﻛ ﻱﻮﮕﻟﺍ ﺭﺩ 1956

ﺖﺳﺍ ﻩﺪﺸﻧ ﺩﺭﺍﻭ ( .

ﺩﺭﺍﻭ ﺎـﺑ

1. Barro 2. Sargent 3. Wallace 4. Salemi 5. Abel 6. Christiano 7. Michael

ﻩﺮﻬﺑ ﻱ ﻲﻌﻗﺍﻭ

ﺕﺍﺭﺎﻈﺘﻧﺍ ﻲﻣﺭﻮﺗ

ﺖﻋﺮﺳ ﻝﻮﭘ ﺵﺩﺮﮔ

ﻲﻌﻗﺍﻭ ﺪﻴﻟﻮﺗ

ﻱﺎﺿﺎﻘﺗ ﭘ ﻝﻮ

+ -

ﻻﺎﺑ ﻡﺭﻮﺗ

ﻪﻧﺎﻜﺗ ﺮﺛﺍ ﻥﺩﺮﻛ ﻲﺿﺭﺎﻌﺗ ﻲﺟﺭﺎﺧ ﺕﻼﻣﺎﻌﺗ ﻭ ﻲﺘﻔﻧ ﻱﺎﻫ

، ﻲﻣ ) ﻞﻜـﺷ ﻥﺍﻮـﺗ 3

ﺮﻳﻮـﺼﺗ ﻪـﺑ ﺍﺭ (

ﺪﻧﺎﺸﻛ .

ﻞﻜﺷ 3 - ﺮﺛﺍ ﻪﻧﺎﻜﺗ ﻱﺎﻫ ﻥﻭﺮﺑ ﺍﺯ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﺮﺑ ﺮﺛﺄﺘﻣ

ﺪﺷ ﻞﻳﺪﻌﺗ ﻱﻮﮕﻟﺍ ﺯﺍ ﻩ

ﻱ ﻻﺎﺑ ﻡﺭﻮﺗ ﺎﺑ ﺩﺎﺼﺘﻗﺍ ﺭﺩ ﻥﺎﮕﻴﮔ

ﻥﺎﮕﻴﻛ ﻱﻮﮕﻟﺍ ﺪﻳﺪﺟ ﺢﻳﺮﺼﺗ ﺯﺍ ﺮﺛﺄﺘﻣ ،ﻩﺪﻨﺴﻳﻮﻧ :ﻊﺒﻨﻣ

ﻥﺎﻤﻫ ﺭﻮﻃ ) ﻞﻜﺷ ﻪﻛ 3

ﻥﺎﺸﻧ ( ﻲﻣ ﺪـﻫﺩ

، ﻪـﻧﺎﻜﺗ ﻱﺎـﻫ ﻥﻭﺮـﺑ ﺍﺯ ﺯﺍ ﻲـﺷﺎﻧ ﺶـﺨﺑ ﻭﺩ ﻪـﺑ

ﻪﻧﺎﻜﺗ ﻭ ﻲﺿﺭﺎﻌﺗ ﻲﺟﺭﺎﺧ ﺕﻼﻣﺎﻌﺗ ﻢﻴﺴﻘﺗ ﻲﺘﻔﻧ ﻱﺎﻫ

ﻲﻣ ﺪﻧﻮﺷ . ﻲـﺿﺭﺎﻌﺗ ﻲﺟﺭﺎـﺧ ﺕﻼﻣﺎـﻌﺗ

ﺐﺒﺳ ﻲﺳﺎﻴﺳ ﻂﺑﺍﻭﺭ ﺩﻮﺒﻬﺑ ﺭﺩ ﻲﻧﺎﻨﻴﻤﻃﺍ ﺎﻧ ﺶﻳﺍﺰﻓﺍ ﻲـﻣ

ﻦـﻳﺍ ﻪـﻛ ﺪﻧﻮـﺷ ﻪﻟﺄـﺴﻣ

ـﻨﻳﺰﻫ ﻪ ﻱ

ﺶﻳﺍﺰﻓﺍ ﺍﺭ ﺩﺎﺼﺘﻗﺍ ﺭﺩ ﺪﻴﻟﻮﺗ ﺖﺻﺮﻓ ﻲﻣ

ﺪﻫﺩ ، ﻧ ﺍﺮﻳﺯ ﻲـﺳﺎﻴﺳ ﺕﺎﺒﺛ ﻭ ﺖﻴﻨﻣﺍ ﻥﺩﻮﺒ ،

ﻭ ﻚـﺴﻳﺭ

ﻳﺎﻣﺮﺳ ﻥﺎﻨﻴﻤﻃﺍ ﻡﺪﻋ ﻪ

ﺬﮔ ﺶﻳﺍﺰﻓﺍ ﺍﺭ ﺩﺎﺼﺘﻗﺍ ﻱﺭﺍ ﻲﻣ

ﻱﺎﻫﺪـﻣﺁﺭﺩ ﺶﻫﺎـﻛ ﻪـﺑ ﺮـﺠﻨﻣ ﻭ ﺪـﻫﺩ

ﻩﺩﺯﺎﺑ ﻭ ﻲﻌﻗﺍﻭ ﺩﺎﺼﺘﻗﺍ ﺭﺩ ﻲﻌﻗﺍﻭ (ﻩﺮﻬﺑ)

ﻲﻣ ﻮﺷ ﺩ ﻩﺎﮕﻨﺑ . ﺎـﻫ ﻥﺎـﻳﺯ ﻥﺍﺮـﺒﺟ ﻱﺍﺮـﺑ ﻱﺩﺎـﺼﺘﻗﺍ ﻱ

ﻩﺩﺯﺎـﺑ ﻭ ﻲﻌﻗﺍﻭ ﻱﺎﻫﺪﻣﺁﺭﺩ ﺶﻫﺎﻛ ﺯﺍ ﻲﺷﺎﻧ ﺏﺬـﺟ ﻥﺎـﻜﻣﺍ ﻡﺪـﻋ ﻞـﻴﻟﺩ ﻪـﺑ ﻲـﻌﻗﺍﻭ (ﻩﺮـﻬﺑ)

ﻱﺎﻫ ﻪﻧﺎﻜﺗ ﻲﺟﺭﺎﺧ

ﺕﻼﻣﺎﻌﺗ ﻲﺟﺭﺎﺧ ﻲﺿﺭﺎﻌﺗ

ﻱﺎﻫ ﻪﻧﺎﻜﺗ ﻲﺘﻔﻧ

ﺯﺍ ﻥﺎﻨﻴﻤﻃﺍ ﻡﺪﻋ ﻂﺑﺍﻭﺭ ﺩﻮﺒﻬﺑ

ﻲﺳﺎﻴﺳ

ﺶﻳﺍﺰﻓﺍ ﺖﺻﺮﻓ ﻪﻨﻳﺰﻫ

ﺪﻴﻟﻮﺗ

ﺯﺍ ﻲﺷﺎﻧ ﻡﺭﻮﺗ ﻭ ﻪﻨﻳﺰﻫ ﺭﺎﺸﻓ

ﻱﺭﺎﻤﻴﺑ ﻱﺪﻨﻠﻫ

ﺥﺮﻧ ﺶﻫﺎﻛ ﻲﻫﺩﺯﺎﺑ (ﻩﺮﻬﺑ) ﻲﻌﻗﺍﻭ

ﻱﺎﻫ ﻩﺎﮕﻨﺑ ﻱﺩﺎﺼﺘﻗﺍ

ﺪﻣﺁﺭﺩ ﺶﻫﺎﻛ ﻲﻌﻗﺍﻭ

ﺮﻤﺘﺴﻣ ﻡﺭﻮﺗ ﺎﺑ ﻭ ﻻ

ﻲﻟﻮﭘ ﺶﻳﺍﺰﻓﺍ ﻲﻫﺪﺑ ﻥﺩﺮﻛ ﺩﺎﺼﺘﻗﺍ ﺭﺩ

ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ

ﻲﻣﺭﻮﺗ

+ -

ﺳ ﻳﺎﻣﺮ ﻪ ﺬﮔ ﻱﺭﺍ ﻱﺎﻫ ﻲﺟﺭﺎﺧ (ﻲـﺳﺎﻴﺳ ﺪـﺑ ﻂـﺑﺍﻭﺭ ﻭ ﻢﻳﺮـﺤﺗ ﺯﺍ ﻲـﺷﺎﻧ ﻲـﺳﺎﻴﺳ ﺪﺑ ﻂﻳﺍﺮﺷ)

،

ﻲﻫﺪـﺑ ﻦﺘﺧﺍﺪﻧﺍ ﺾﻳﻮﻌﺗ ﻪﺑ ﺖﻬﺟ ﺽﺍﺮﻘﺘﺳﺍ ﻪﺑ ﺭﻮﺒﺠﻣ ﻱﺎـﻫ

ﻱﺎﻫﺪـﻣﺁﺭﺩ ﺶﻫﺎـﻛ ﺯﺍ ﻲـﺷﺎﻧ

ﻩﺩﺯﺎﺑ ﻭ ﻲﻌﻗﺍﻭ ﺪﻨﺘﺴﻫ ﻲﻌﻗﺍﻭ (ﻩﺮﻬﺑ)

، ﺶﻳﺍﺰـﻓﺍ ﻭ ﺩﺎﺼﺘﻗﺍ ﺭﺩ ﻲﻫﺪﺑ ﻥﺩﺮﻛ ﻲﻟﻮﭘ ﻪﺑ ﺮﺠﻨﻣ ﻪﻛ

ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻭ ﻲﻫﺩ ﻡﺍﻭ ﻲﻣ

ﻮﺷ ﺩ . ﺩ ﻱﻮﺳ ﺯﺍ ﻪﻧﺎﻜﺗ ﺮﮕﻳ

ـﻨﻳﺰﻫ ﻪـﻜﻧﺁ ﻞـﻴﻟﺩ ﻪـﺑ ﻲﺘﻔﻧ ﻱﺎﻫ ﻪ

ﻱ

ﻭ ﻩﺩﺍﺩ ﺶﻳﺍﺰﻓﺍ ﺍﺭ ﻪﺿﺮﻋ ﺶﺨﺑ ﺐﺒﺳ

ﺩﺎﺼﺘﻗﺍ ﺭﺩ ﻱﺪﻨﻠﻫ ﻱﺭﺎﻤﻴﺑ ﺯﻭﺮﺑ ﻲﻣ

ﺪﻧﻮـﺷ ، ﻞـﻳﻻﺩ ﺯﺍ

ﻡﺭﻮﺗ ﺯﻭﺮﺑ ﻱﺎﻫ

ﺩﻮﺑ ﺪﻨﻫﺍﻮﺧ ﺩﺎﺼﺘﻗﺍ ﺭﺩ ﻻﺎﺑ ﻭ ﺮﻤﺘﺴﻣ .

ﻻﺎـﺑ ﻭ ﺮﻤﺘـﺴﻣ ﻡﺭﻮﺗ ﺶﻳﺍﺰﻓﺍ ﺐـﺟﻮﻣ

ﺶﻫﺎﻛ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﺖﻳﺎﻬﻧ ﺭﺩ ﻭ ﻩﺪﺷ ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ﺶﻳﺍﺰﻓﺍ ﻲﻣ

ﺑﺎﻳ ﺪ . ﺮﮕﻳﺩ ﻱﻮﺳ ﺯﺍ ،

ﺎـﺑ

ﻨﻳﺰﻫ ﺶﻳﺍﺰﻓﺍ ﻪ

ﻱ ﺪﻴﻟﻮﺗ ﺖﺻﺮﻓ ،

ﺪﻣﺁﺭﺩ ﺩﺎـﺼﺘﻗﺍ ﺭﺩ ﻲـﻌﻗﺍﻭ ﻲﻫﺩﺯﺎﺑ ﻭ

، ﺖـﻳﺎﻬﻧ ﺭﺩ ﻭ ﺶﻫﺎـﻛ

ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﺶﻳﺍﺰﻓﺍ ﻪﺑ ﺮﺠﻨﻣ ﻲﻣ

ﺩﻮﺷ ، ﻦﻳﺍﺮﺑﺎﻨﺑ ﻥﺎﻤﻫ ﺭﻮﻃ ﻞﻜﺷ ﻪﻛ ) 3 ﻥﺎـﺸﻧ ( ﻲـﻣ

ﺪـﻫﺩ ،

ﺪﺷ ﻞﻳﺪﻌﺗ ﻱﻮﮕﻟﺍ ﺱﺎﺳﺍﺮﺑ ﻩ

ﻱ ﻥﺎﮕﻴﻛ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ،

ﻪﻧﺎﻜﺗ ﻱﺎﻫ ﻥﻭﺮﺑ ﺍﺯ ﻮـﺴﻜﻳ ﺯﺍ ﻲـﻣ

ﺪـﻨﻧﺍﻮﺗ

ﺐﺒﺳ ﺰﻓﺍ ﻭ ﺎﻫﺪـﻣﺁﺭﺩ ﺶﻫﺎﻛ ﻝﺎﻧﺎﻛ ﻖﻳﺮﻃ ﺯﺍ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﺶﻳﺍ ﺮـﻬﺑ

ﻩ ﻱ ﺩﺎـﺼﺘﻗﺍ ﺭﺩ ﻲـﻌﻗﺍﻭ

ﺕﺍﺭﺎﻈﺘﻧﺍ ﻝﺎﻧﺎﻛ ﻖﻳﺮﻃ ﺯﺍ ﺮﮕﻳﺩ ﻱﻮﺳ ﺯﺍ ﻭ ﺪﻧﻮﺷ ﻫﺩ ﺶﻫﺎﻛ ﺍﺭ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻲﻣﺭﻮﺗ

ﺪﻨ .

3 - ﻖﻴﻘﺤﺗ ﻱﻮﮕﻟﺍ :ﺖﺳﺍ ﺮﻳﺯ ﺡﺮﺷ ﻪﺑ ﻥﺎﮕﻴﻛ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻱﻮﮕﻟﺍ

) 4

» (

¼

« º

¬

ª DS ut

* t

t Exp( )

P M

ﻮﮕﻟﺍ ﻦﻳﺍ ﺭﺩ ،

،M

ﻲﻤﺳﺍ ﻝﻮﭘ ﻢﺠﺣ ،

،P

ﺺﺧﺎﺷ ﺖﻤﻴﻗ ﺎـﻫ ،

Ɏ^כ

، ﻲﻣﺭﻮـﺗ ﺕﺍﺭﺎـﻈﺘﻧﺍ ،

،Ƚ

ﺪـﻧﺎﻣ ﻪﺑ ﺖﺒﺴﻧ ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ﺕﺍﺮﻴﻴﻐﺗ ﺐﻳﺮﺿ ﻩ

ﻱ ﻲـﻌﻗﺍﻭ

P ) (M

t

ﺕﺭﻮـﺻ ﻪـﺑ ﻪـﻛ ﺖـﺳﺍ t

ﻲﻳﺎﻤﻧ ،1

ﺖﺳﺍ ﻩﺪﺷ ﺢﻳﺮﺼﺗ .

،u

ﻪـﻧﺎﻜﺗ ﻞـﻴﻟﺩ ﻪـﺑ ﻪﻛ ﺖﺳﺍ ﺎﻄﺧ ﻥﺍﺰﻴﻣ ﻱﺎـﻫ

ﻥﻭﺮـﺑ ﺍﺯ ﺩﺎـﺠﻳﺍ

ﻲﻣ ﺩﻮﺷ . ﻢﺘﻳﺭﺎﮕﻟ ﺎﺑ ﺮﻴﮔ

ﻄﺑﺍﺭ ﻦﻴﻓﺮﻃ ﺯﺍ ﻱ ﻪ

ﻱ ) 4 ( ، ﻄﺑﺍﺭ ﻪ ﻱ ) 5 ( ﺝﺍﺮﺨﺘﺳﺍ ﻲﻣ

:ﺩﻮﺷ

) 5 (

* t t

t) log(P ) V

M

log( DS

˜_୲

، ﺭﺩ ﺖﻘﻴﻘﺣ ﻥﺎﻤﻫ

Ž‘‰ሺ—ሻ

، ﺖﺳﺍ . ﻞﻜﺷ ﺭﺎﻛﻭﺯﺎﺳ ﺮﻴﮔ

ﺮﺑ ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ﻱ ﺱﺎـﺳﺍ

ﺡﺮﺷ ﻪﺑ ﻥﺎﮕﻴﻛ ﻱﻮﮕﻟﺍ ) ﻪﻟﺩﺎﻌﻣ

6 ( ﻲﻣ ﺪﺷﺎﺑ .

) 6 (

) (

dt b

d _*

t t

* S S

S

1. Exponential

ﺐﻳﺮﺿ ،b

ﻲـﻌﻗﺍﻭ ﻡﺭﻮـﺗ ﺶﻳﺍﺰـﻓﺍ ﻪﺑ ﺖﺒﺴﻧ ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ﻞﻳﺪﻌﺗ ﺖﻋﺮﺳ )

Ɏ_୲

( ، ﻪـﺑ

ﺎﻈﺘﻧﺍ ﻲﻣﺭﻮﺗ ﺕﺍﺭ )

Ɏ_୲^כ

ﺖﺳﺍ ﻥﺎﻣﺯ ﻝﻮﻃ ﺭﺩ ( .

) ﺭﻮﻠﻴﺗ ﻭ ﺲﺘﻴﻛﻼﻴﻓ 1993

( ، ﻝﻼـﺧﺍ ﺰـﺟ ﺢﻳﺮﺼﺗ ﺎﺑ ﻭ ﻩﺩﺍﺩ ﻂﺴﺑ ﺍﺭ ﻥﺎﮕﻴﻛ ﻱﻮﮕﻟﺍ

˜୲

ﺮﺑ ﻪﻧﺎﻜﺗ ﺱﺎﺳﺍ ﻲﺘﻤﻴﻗ ﻱﺎﻫ

، ﺪـﻨﻨﻛ ﺩﺎﺠﻳﺍ ﻞﻣﺍﻮﻋ ﺩﻭﺭﻭ ﻥﺎﻜﻣﺍ ﻩ

ﻱ ﻪـﻧﺎﻜﺗ ﺭﺩ ﺍﺭ ﻱﺩﺎـﺼﺘﻗﺍ ﻱﺎـﻫ

ﻢﻫﺍﺮﻓ ﻥﺎﮕﻴﻛ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﻱﻮﮕﻟﺍ ﻲﻣ

ﺪﻨﻨﻛ .

) 7 ( )

P (

V _t

t1

J

tE ' 1

ﻄﺑﺍﺭ ﻪ ﻱ ) 7 ( ، ﺽﺮﻓ ﻲﻣ ﻥﺎﻣﺯ ﺭﺩ ﻝﻼﺧﺍ ﻞﻣﺎﻋ ﻪﻛ ﺪﻨﻛ ﻱﺎﻫ

ﻲﺗﺁ ﺮﺛﺄﺘﻣ ﻝﻼـﺧﺍ ﻞـﻣﺎﻋ ﺯﺍ

ﻝﺎﺣ ﻥﺎﻣﺯ ﺭﺩ )

ሺɀ_୲

ﺭﺩ ﺕﺍﺮﻴﻴﻐﺗ ﻭ ﺖﻤﻴﻗ

ﺎﻫ ﻱ ) ﻲﺗﺁ

ο_୲ାଵ

( ، ﺪﺷﺎﺑ J_t . ﺕﻼﻣﺎـﻌﺗ ﺯﺍ ﻱﺩﻮﻤﻧ

ﻭ ﻲﺿﺭﺎﻌﺗ ﻲﺟﺭﺎﺧ

ο_୲ାଵ

، ﺖﺳﺍ ﺖﻔﻧ ﺖﻤﻴﻗ ﺕﺍﺮﻴﻴﻐﺗ .

ﺮــﻓ ﻝﺎــﻤﻋﺍ ﺎــﺑ ﺽ

) 7 ــﻄﺑﺍﺭ ﺭﺩ ( ﻪ

ﻱ ) 5 ( ، ﻱﺎــﺟ ﻪــﺑ ﻥﺁ ﻥﺩﺮــﻛ ﻦﻳﺰﮕﻳﺎــﺟ ﺎــﺑ

ݒ_௧

، ﺭﺩ

ﻪﻄﺑﺍﺭ )ﻱ 5 ( ﺖﺷﺍﺩ ﻢﻴﻫﺍﻮﺧ :

) 8

>

^{log(Mt)log(Pt) bS*Jt E('Pt1)}

@

(

ﺭﺩ ﻄﺑﺍﺭ ﻪ ﻱ ) 8 ( ، ﺕﺭﺎﺒﻋ ɀ_୲൅ Ⱦሺο_୲ାଵሻ

، ﻪﻧﺎﻜﺗ ﺮﮕﻧﺎﻴﺑ ﺪﻧﺎﻣ ﻪﺑ ﻩﺩﺭﺍﻭ ﻱﺎﻫ

ﻩ ﻱ ﻲـﻘﻴﻘﺣ

ﺖﺳﺍ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﺎﻳ .

ﺩﺭﺍﻮﻣ ﻪﺑ ﻪﺟﻮﺗ ﺎﺑ ﻥﺍﺮﻳﺍ ﺩﺎﺼﺘﻗﺍ ﻱﺍﺮﺑ ﺡﺮﻄﻣ

ﻩﺪﺷ ، ﻲﻣ ﻥﺍﻮﺗ ﻱﺎـﺟ ﻪـﺑ

ﻄﺑﺍﺭ ﻪ ﻱ ) 8 ( ، ﻄﺑﺍﺭ ﻪ ﻱ ) 9 ﺢﻳﺮﺼﺗ ﺍﺭ ( ﺮﻛ

ﺩ .

) 9

>

^{log(Mdt) bS*log(HSE)log(oil)}

@

(

،‹Ž

ﺖﻔﻧ ﺖﻤﻴﻗ ،

،

ﻲﺟﺭﺎﺧ ﺕﻼﻣﺎﻌﺗ ﺮﺛﺍ ﺖﺳﺍ1

‘‰ሺ_୲ሻ

، ﻢﺘﻳﺭﺎـﮕﻟ ﻞﺿﺎﻘﺗ

_୲

ﻢﺘﻳﺭﺎﮕﻟ ﺯﺍ

_୲

ﻭ

Ɏ^כ

ﻲﻣ ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ﺪﺷﺎﺑ

.

ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ﺩﺭﻭﺁﺮﺑ ﻱﺍﺮﺑ ،

ﺎـﺳ ﺮﺘﻠﻴﻓ ﺵﻭﺭ ﺯﺍ ﻚـﻳﺭﺩﻮﻫ ﻱﺯ

ﻩﺩﺎﻔﺘـﺳﺍ ﺕﺎﻜـﺳﺮﭘ–

ﺖﺳﺍ ﻩﺪﺷ .

ﺯﺍ ﻲـﻜﻳ ﻪـﻛ ﺵﻭﺭ ﻦﻳﺍ ﺵﻭﺭ

ﺎـﻫ ﻱ ﻩﺩﺍﺩ ﺩﺭﻭﺁﺮـﺑ ﻱﺍﺮـﺑ ﻝﻭﺍﺪـﺘﻣ ﻞـﺑﺎﻗﺮﻴﻏ ﻱﺎـﻫ

ﺖــﺳﺍ ﻩﺪﻫﺎـﺸﻣ ﻲــﻠﻗ ﻭ ﻲﻨﻴـﺴﺣ)

ﻩﺩﺍﺯ ، 1389 ، :ﺹ 33 ﺡﺮـﺷ ﻪــﺑ ( ) ﻪــﻟﺩﺎﻌﻣ

10 ( ﺩﺭﻭﺁﺮــﺑ

ﻲﻣ :ﺩﻮﺷ

) 10

2 (

1 1 1

2 1 1

)]

( ) [(

) (

Min _t ^T_{t t t t t}

T

t yt W ¦ W W W W

¦ O

1.

ﺵﻭﺭ ﺱﺎﺳﺍﺮﺑ Hufbauer, Schott and Ellitott

ﺎﻳ ،ﻲﺿﺭﺎﻌﺗ ﻲﺟﺭﺎﺧ ﺕﻼﻣﺎﻌﺗ ﺕﺍﺮﺛﺍ ﺯﺍ ﻩﺩﺎﻔﺘﺳﺍ ﻱﺍﺮﺑ ،HSE

ﻲﻣ ﻩﺭﻭﺩ ﻥﺍﻮﺗ ﺩﻮﺟﻭ ﻱﺎﻫ ﻢﻳﺮﺤﺗ ﻉﺍﻮﻧﺍ ﺱﺎﺳﺍ ﺮﺑ ﺍﺭ ﻢﻳﺮﺤﺗ

ﺎﻫ ﻪﺒﺗﺭ ﻱﺩﺎﺼﺘﻗﺍ ﻒﻠﺘﺨﻣ ﻂﻳﺍﺮﺷ ﻭ ﻦﻳﺍ ﺭﺩ .ﺩﺮﻛ ﻱﺪﻨﺑ

ﻢﻳﺮﺤﺗ ،ﻱﺪﻨﺑ ﻪﺒﺗﺭ ﻱﺎﻨﺒﻣ ،ﻖﻴﻘﺤﺗ ﺎﻫ

ﻝﺎﺳ ﺯﺍ ،ﺱﺎﺳﺍ ﻦﻳﺍ ﺮﺑ .ﺖﺳﺍ ﻩﺩﻮﺑ ﻱﺩﺎﺼﺘﻗﺍ ﻱ 1358

ﺏﻼﻘﻧﺍ ﻱﺯﻭﺮﻴﭘ ﻥﺍﺭﻭﺩ ،

ﻢﻳﺮﺤﺗ ﻥﺍﺭﻭﺩ ،ﻚﻳ ﺩﺪﻋ ،ﻲﻠﻴﻤﺤﺗ ﮓﻨﺟ ﻭ ﺎﻫ

ﻪﻣﺎﻧ ﻊﻄﻗ ﺯﺍ ﻞﺒﻗ ﺎﺗ ) ﺖﻴﻨﻣﺍ ﻱﺍﺭﻮﺷ ﻱﺎﻫ

2006 ﺎﻳ 1386 ﻭ ﻭﺩ ﺩﺪﻋ (

ﻢﻳﺮﺤﺗ ﺪﻳﺪﺸﺗ ﻞﻴﻟﺩ ﻪﺑ ،ﻥﺁ ﺯﺍ ﺲﭘ ﺎﻫ

ﺵﻭﺭ ﺩﺭﻮﻣ ﺭﺩ ﺮﺘﺸﻴﺑ ﺕﺎﺤﻴﺿﻮﺗ ﻱﺍﺮﺑ .ﺖﺳﺍ ﻩﺪﺷ ﻪﺘﻓﺮﮔ ﺮﻈﻧ ﺭﺩ ﻪﺳ ﺩﺪﻋ

) ﺮﻧﺰﻳﺭﺩ ﻪﺑ ﺭﻮﻛﺬﻣ 1999

:ﺹ،

70 - 130 ﭽﺨﻳﺭﺎﺗ ﻭ ( ﻪ ﻱ ﻢﻳﺮﺤﺗ ﺎﻫ ﻱ ) ﻥﺍﺭﺎﻜﻤﻫ ﻭ ﻲﻧﺎﻴﻐﻃ ﻪﺑ ﻥﺍﺮﻳﺍ 1393

ﻪﻌﺟﺍﺮﻣ (

.ﺩﻮﺷ

ݕ_௧

، ﺭﺎﻈﺘﻧﺍ ﺩﺭﻮﻣ ﺮﻴﻐﺘﻣ ﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ﻖﻴﻘﺤﺗ ﻦﻳﺍ ﺭﺩ)

(ﻲﻣﺭ ﻭ

ɒ_୲

، ﺩﺭﻮﻣ ﺮﻴﻐﺘﻣ ﺯﺍ ﻑﺍﺮﺤﻧﺍ

ﺖﺳﺍ ﺮﻈﻧ .

ﻪﻄﺑﺍﺭ ﻦﻳﺍ ﺭﺩ ،

ﻝﻭﺍ ﺕﺭﺎـﺒﻋ ،

ﻡﻭﺩ ﺕﺭﺎـﺒﻋ ﻭ ﻑﺍﺮـﺤﻧﺍ ﺭﺍﺪـﻘﻣ ﺯﺍ ﻞـﺿﺎﻔﺗ ﺭﻭﺬـﺠﻣ ،

ﺖﺳﺍ ﺪﻧﻭﺭ ءﺰﺟ ﺕﺎﻓﺍﺮﺤﻧﺍ .

ﻄﺑﺍﺭ ﻪﺑ ﻪﺟﻮﺗ ﺎﺑ ﻪ

ﻱ ) 10 ( ، ﻱﺮـﺳ ﺕﺭﻮـﺻ ﻪـﺑ ﻲﻣﺭﻮـﺗ ﺕﺍﺭﺎـﻈﺘﻧﺍ

ﻲﻣ ﺝﺍﺮﺨﺘﺳﺍ ﻲﻄﺧ ﺮﻴﻏ ﻲﻧﺎﻣﺯ ﺩﻮﺷ

.

ﻄﺑﺍﺭ ﻪ ﻱ ) 10 (،

ﺒﺳﺎﺤﻣ ﺵﻭﺭ ﻪ

ﻱ ﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ـﻄﺑﺍﺭ ﺭﺩ ﺩﻮـﺟﻮﻣ ﻲ

ﻪ ﻱ ) 9 ﻥﺎـﺸﻧ ﺍﺭ (

ﻲﻣ ﺪﻫﺩ . ﻄﺑﺍﺭ ﺱﺎﺳﺍ ﺮﺑ ﻪ

ﻱ ) 9 ﻞﻣﺎﻋ ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ( ﺮﻴﺛﺄﺗ

ﻭ ﺖـﺳﺍ ﻝﻮـﭘ ﻱﺎـﺿﺎﻘﺗ ﺮﺑ ﺭﺍﺬﮔ

ﻪﻛ ﻲﻠﻣﺎﻋ ﺮﻫ ﺐﺒﺳ

ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ﺭﺩ ﺮﻴﻴﻐﺗ (ﻲـﻘﻴﺒﻄﺗ ﺎـﻳ ﻭ ﻲـﻳﻼﻘﻋ ﺕﺍﺭﺎﻈﺘﻧﺍ ﺯﺍ ﻢﻋﺍ)

-

ﻞﻴﻟﺩ ﻪﺑ ﺖﺳﺎﻴﺳ

ﺎﻫ ﻱ ﻩﺮـﻬﺑ ﺥﺮـﻧ ﺭﺩ ﺮـﻴﻴﻐﺗ ﻥﻮـﭼ ﻲﻟﺎـﻣ ﺎﻳ ﻭ ﻲﻟﻮﭘ ،

ﻝﻮـﭘ ﻢـﺠﺣ ،

ـﺴﻛ ﻱﺮ

ﺟﺩﻮﺑ ﻪ ﻱ ﻩﺮﻴﻏ ﻭ ﺖﻟﻭﺩ -

ﻮﺷ ﺩ،

ﻲﻣ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﺮﺑ ﺪﻧﺍﻮﺗ ﺬـﮔﺮﺛﺍ

ﺪـﺷﺎﺑ ﺭﺍ . ﺪـﻧﻮﻣﺩﺍ) ، 2007 ،

ﺹ 3 (،

ﻦﻳﺍﺮﺑﺎﻨﺑ ، ﻚـﻳﺭﺩﻮﻫ ﻱﺯﺎـﺳ ﺮﺘﻠﻴﻓ ﺵﻭﺭ ﺒـﺳﺎﺤﻣ ﺖـﻴﻠﺑﺎﻗ ﺕﺎﻜـﺳﺮﭘ–

ﻪ ﻱ ﺕﺍﺭﺎـﻈﺘﻧﺍ

ﺍﺭﺍﺩ ﻲﻘﻴﺒﻄﺗ ﻭ ﻲﻳﻼﻘﻋ ﺕﺍﺭﺎﻈﺘﻧﺍ ﺪﻨﻳﺍﺮﻓ ﻭﺩ ﺮﻫ ﺱﺎﺳﺍ ﺮﺑ ﺍﺭ ﻲﻣﺭﻮﺗ ﻲﻣ

ﺪﺷﺎﺑ

، ﻪﺑ ـﻧﻮﮔ ﻪ ﻱﺍ ﻪـﻛ

ﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ﺪﻴﻣﺍ ﺮﮔﺍ ﺪﺷﺎﺑ ﻲﻌﻗﺍﻭ ﻡﺭﻮﺗ ﺪﻴﻣﺍ ﺮﺑﺍﺮﺑ ﻲﻣﺭ

، ﺕﺍﺭﺎﻈﺘﻧﺍ ﻩﺎﮕﻧﺁ

، ﺭﺩ ﻭ ﺖـﺳﺍ ﻲـﻳﻼﻘﻋ

ﺖﺳﺍ ﻲﻳﻼﻘﻋ ﺮﻴﻏ ﺕﺍﺭﺎﻈﺘﻧﺍ ﺕﺭﻮﺼﻨﻳﺍ ﺮﻴﻏ ﻥﺍﺭﺎﻜﻤﻫ ﻭ ﺵَﺍ)

، 2002 ، :ﺹ 635 ( .

ﻩﺪﺷ ﻪﻳﺍﺭﺍ ﺕﺎﺤﻴﺿﻮﺗ ﻪﺑ ﻪﺟﻮﺗ ﺎﺑ ،

ﻝﻭﺪـﺟ ﺭﺩ ﻖـﻴﻘﺤﺗ ﻱﺎـﻫﺮﻴﻐﺘﻣ ﻪﺑ ﻁﻮﺑﺮﻣ ﺕﺎﻋﻼﻃﺍ

) 1 ﺖﺳﺍ ﻩﺪﺷ ﻩﺩﺭﻭﺁ ( .

ﻝﻭﺪﺟ 1 - ﻣ ﻭ ﻖﻴﻘﺤﺗ ﻱﺎﻫﺮﻴﻐﺘﻣ ﻲﻓﺮﻌﻣ ﻨﺎ

ﺎﻬﻧﺁ ﻊﺑ

ﺮﻴﻐﺘﻣ ﻉﻮﻧ ﺮﻴﻐﺘﻣ ﻥﺍﻮﻨﻋ

ﻩﺩﺍﺩ ﻊﺒﻨﻣ

ﻪﺘﺴﺑﺍﻭ ﻢﺘﻳﺭﺎﮕﻟ ﺯﺍ ﻲﻤﺳﺍ ﻝﻮﭘ ﻢﺠﺣ ﻢﺘﻳﺭﺎﮕﻟ ﻞﺿﺎﻔﺗ

ﺖﻤﻴﻗ ﺎﻫ ﻱﺰﻛﺮﻣ ﻚﻧﺎﺑ ﻲﻧﺎﻣﺯ ﻱﺮﺳ :(ﻩﺪﻨﻨﻛ ﻑﺮﺼﻣ ﻱﺎﻬﺑ ﺺﺧﺎﺷ)

ﻞﻘﺘﺴﻣ Ɏ^כ

ﻚﻳﺭﺩﻮﻫ ﻱﺯﺎﺳ ﺮﺘﻠﻴﻓ ﺵﻭﺭ :ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ﺕﺎﻜﺳﺮﭘ-

.

ﻞﻘﺘﺴﻣ ﺭﻭﺩ

ﻩ ﻱ ﻲﻠﻴﻤﺤﺗ ﮓﻨﺟ ﻭ ﺏﻼﻘﻧﺍ ﺯﺎﻏﺁ ﻲﻧﺎﻣﺯ ﻚﻳ ﺩﺪﻋ

، ﻝﺎﺳ ﺯﺍ 67 ﺎﺗ

1386 ، ﺩﺪﻋ ﻭﺩ ﺖﺳﺍ ﻩﺪﺷ ﺩﺭﺍﻭ ﻪﺳ ﺩﺪﻋ ﻥﺁ ﺯﺍ ﺲﭘ ﻭ .

ﻣ ﻖﻴﻘﺤﺗ ﺞﻳﺎﺘﻧ :ﻊﺒﻨ

4 - ﻖﻴﻘﺤﺗ ﻱﻮﮕﻟﺍ ﻞﻴﻠﺤﺗ ﻭ ﻪﻳﺰﺠﺗ ﻭ ﺩﺭﻭﺁﺮﺑ

4 - 1 - ﺕﺎﻜﺳﺮﭘ ﻭ ﻚﻳﺭﺪﻫ ﺵﻭﺭ ﺱﺎﺳﺍ ﺮﺑ ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ﺩﺭﻭﺁﺮﺑ

ﺮﺑ ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ﺕﺍﺮﻴﻴﻐﺗ ﺪﻧﻭﺭ ﺭﺩ ﺕﺎﻜﺳﺮﭘ ﻭ ﻚﻳﺭﺪﻫ ﺮﺘﻠﻴﻓ ﺵﻭﺭ ﺱﺎﺳﺍ

ﻞﻜﺷ ) 4 (

ﻥﺎﺸﻧ ﺖﺳﺍ ﻩﺪﺷ ﻩﺩﺍﺩ .

ﻥﺎﻤﻫ ﺭﻮﻃ ﻩﺪﻫﺎـﺸﻣ ﻪﻛ ﻲـﻣ

ﻝﺎـﺳ ﺯﺍ ﺩﻮـﺷ 1358

ﻝﺎـﺳ ﺎـﺗ 1374

ﻣﺎﻧﺮﺑ ﻭ ﻲﻠﻴﻤﺤﺗ ﮓﻨﺟ ﻥﺎﻣﺯ) ﻪ

ﻱ ﻪﻌﺳﻮﺗ ﻝﻭﺍ (،

ﻩﺩﻮﺑ ﻩﺪﻨﻳﺍﺰﻓ ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ

، ﺯﺍ ﺲـﭘ ﻲـﻟﻭ















ﻡﺭﻮﺗ ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ

ﻝﺎﺳ ﺎﺗ ﻥﺁ 1384

ﻪﺘﺷﺍﺬﮔ ﺶﻫﺎﻛ ﻪﺑﻭﺭ

، ﻲﻟﻭ ﻩﺭﺎﺑﻭﺩ ﻝﺎﺳ ﺯﺍ 1384 ﺕﺍﺭﺎـﻈﺘﻧﺍ ﺪـﻧﻭﺭ ﺪﻌﺑ ﻪﺑ

ﺖﺳﺍ ﻩﺩﻮﺑ ﻩﺪﻨﻳﺍﺰﻓ ﻲﻣﺭﻮﺗ .

58 ﺎﺗ 92

ﻞﻜﺷ 4 - ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ﺩﺭﻭﺁﺮﺑ ﻝﺎﺳ ﻲﻃ ﺕﺎﻜﺳﺮﭘ ﻭ ﻚﻳﺭﺪﻫ ﺮﺘﻠﻴﻓ ﺵﻭﺭ ﺱﺎﺳﺍ ﺮﺑ

ﻱﺎﻫ

ﻖﻴﻘﺤﺗ ﺞﻳﺎﺘﻧ :ﻊﺒﻨﻣ

4 - 2 - ﻖﻴﻘﺤﺗ ﻱﻮﮕﻟﺍ ﺩﺭﻭﺁﺮﺑ

ﻝﻭﺪﺟ ) 2 ( ، ﻪﺘﻓﺎﻳ ﻢﻴﻤﻌﺗ ﺮﻟﻮﻓ ﻲﻛﺩ ﻥﻮﻣﺯﺁ ﺱﺎﺳﺍ ﺮﺑ ﺍﺭ ﻮﮕﻟﺍ ﻱﺎﻫﺮﻴﻐﺘﻣ ﻲﻳﺎﻧﺎﻣ ﻥﻮﻣﺯﺁ

1

) ﻥﺎﺸﻧ (ADF

ﻲﻣ ﺪﻫﺩ . ﻖـﻠﻄﻣ ﺭﺪـﻗ ﻪﻛ ﺎﺠﻧﺁ ﺯﺍ ـﺷ ﻪﺒـﺳﺎﺤﻣADF

ﻲـﻧﺍﺮﺤﺑ ﺮﻳﺩﺎـﻘﻣ ﺯﺍ ﻩﺪ

گﺭﺰﺑ ﺮﺗ ﺖﺳﺍ

، ﺩﺭ ﻲﻳﺎﻧﺎﻣ ﻡﺪﻋ ﺽﺮﻓ ﻲﻣ

ﺪﻨﺘﺴﻫ ﺎﻧﺎﻣ ﺎﻫﺮﻴﻐﺘﻣ ﻡﺎﻤﺗ ﻭ ﺩﻮﺷ .

ﻝﻭﺪﺟ 2 - ﻖﻴﻘﺤﺗ ﻱﺎﻫﺮﻴﻐﺘﻣ ﻲﻳﺎﻧﺎﻣ ﻥﻮﻣﺯﺁ

ﺮﻴﻐﺘﻣ ﻞﺿﺎﻔﺗ ﺩﺍﺪﻌﺗ

ﺮﻴﮔ ADF ﻱ

ﻩﺪﺷ ﻪﺒﺳﺎﺤﻣ ﺢﻄﺳ ﻲﻧﺍﺮﺤﺑ

1 ﺢﻄﺳ %

ﻲﻧﺍﺮﺤﺑ 5 ﺢﻄﺳ %

ﻲﻧﺍﺮﺤﺑ 10 ﺠﻴﺘﻧ % ﻪ ﻱﻥﻮﻣﺯﺁ

ﺍﺪﺒﻣ ﺯﺍ ﺽﺮﻋ ﺎﺑ ﺭﺎﺑﻭﺩ MD 95

/ 6 - 65 / 3 - 95 / 2 - 61 / 2 - ﺎﻧﺎﻣ

ﺍﺪﺒﻣ ﺯﺍ ﺽﺮﻋ ﺎﺑ ﺭﺎﺑﻭﺩ HSE 63

/ 6 - 65 / 3 - 95 / 2 - 61 / 2 - ﺎﻧﺎﻣ

EXPINF ﺍﺪﺒﻣ ﺯﺍ ﺽﺮﻋ ﺎﺑ ﺭﺎﺒﻜﻳ

44 / 4 - 65 / 3 - 95 / 2 - 61 / 2 - ﺎﻧﺎﻣ

ﺍﺪﺒﻣ ﺯﺍ ﺽﺮﻋ ﺎﺑ ﺭﺎﺒﻜﻳ Oil 67

/ 4 - 65 / 3 - 95 / 2 - 61 / 2 - ﺎﻧﺎﻣ

ﻖﻴﻘﺤﺗ ﺞﻳﺎﺘﻧ :ﻊﺒﻨﻣ

1. Augmented Dickey Fuller

ﻝﻭﺪﺟ 3

، ﻥﺎﺸﻧ ﺍﺭ ﻮﮕﻟﺍ ﻱﺎﻫﺩﺭﻭﺁﺮﺑ ﺞﻳﺎﺘﻧ ﻲﻣ

ﺪﻫﺩ . ﻪﺟﻮﺗ ﺎﺑ ﺭﺩ ﻲﻳﺎـﻧﺎﻣ ﻥﻮﻣﺯﺁ ﺞﻳﺎﺘﻧ ﻪﺑ

ﻝﻭﺪﺟ ) 2 (،

ﻲﻣ ﻝﻭﺪﺟ ﺭﺩ ﻩﺪﻣﺁ ﺖﺳﺩ ﻪﺑ ﺐﻳﺍﺮﺿ ﻪﺑ ﻥﺍﻮﺗ )

3 ﺩﺮﻛ ﺩﺎﻤﺘﻋﺍ ( .

ﻝﻭﺪﺟ 3 - ﻖﻴﻘﺤﺗ ﻱﺎﻫﻮﮕﻟﺍ ﺩﺭﻭﺁﺮﺑ ﺞﻳﺎﺘﻧ

ﺩﺭﻭﺁﺮﺑ ﺵﻭﺭ ﺮﻴﻐﺘﻣ

ﺐﻳﺮﺿ ﻩﺭﺎﻣﺁ

ﺎﻫ

ARIMAX¹ ﺍﺪﺒﻣ ﺯﺍ ﺽﺮﻋ

) (C 3 / 34/56) 17

2( Adj. R-squared=^٠/956

EXPINF(-3)^٣ 83

/ 1 -2/97) Akaike (AIC)⁼-3/08 -(

LOG(HSE(-2)) 28

/ 0/07) 5 Schwarz (SC)^=-2/85 (

LOG(OIL) 16

/ 0/11) 5 F-statistic=17^٣/21 (

MA(1) 43

/ 0/58) 2 Durbin-Watson stat=1/88 (

ﻱﺭﺍﺩﺮﺑ ﻥﻮﻴﺳﺮﮔﺭﺩﻮﺧ (VAR)

ﺍﺪﺒﻣ ﺯﺍ ﺽﺮﻋ )

(C 11 / 1/43) 4 Adj. R-squared=^٠/987 (

MD(-1) 94

/ 05/67) (

MD(-2) 25

/ 0 --1/66) Akaike (AIC)⁼-4^/29 (

EXPINF(-3) 89

/ 0 -2/88) -(

LOG(HSE(-2)) 12

/ 0/81) 3 Schwarz (SC)⁼- 4/02 (

LOG(OIL) 037

/ 01/62) (

ﻖﻴﻘﺤﺗ ﺞﻳﺎﺘﻧ :ﻊﺒﻨﻣ

4 - 3 - ﻞﻴﻠﺤﺗ ﻭ ﻪﻳﺰﺠﺗ ﻱﻮـﮕﻟﺍ ﻭﺩ ﻱﺎـﻫﺩﺭﻭﺁﺮﺑ ﻪـﺑ ﻪـﺟﻮﺗ ﺎﺑ

ARIMAX

ﻭ ،VAR

ﻩﺪﻫﺎـﺸﻣ ﻲـﻣ

ﺩﻮـﺷ ﻪـﻛ1

ﻪﻔﻗﻭ ﻪﺳ ﺎﺑ ﻲﻣﺭﻮﺗ ﺕﺍﺭﺎﻈﺘﻧﺍ ﻲﻔﻨﻣ ﺮﺛﺍ ﻝﻮﭘ ﻱﺎﺿﺎﻘﺗ ﺮﺑ

، ﻭﺩ ﺎـﺑ ﻲـﺿﺭﺎﻌﺗ ﻲﺟﺭﺎـﺧ ﺕﻼﻣﺎـﻌﺗ

1 ﻥﺎﻤﻫ ،ﺎﻫﻮﮕﻟﺍ ﻦﻳﺍ . ﻱﻮﮕﻟﺍ

ARIMA ﻲﻣ ﻪﻛ ﺕﻭﺎﻔﺗ ﻦﻳﺍ ﺎﺑ ،ﺖﺳﺍ ﻮﮕﻟﺍ ﺮﺘﻬﺑ ﻦﻴﺒﺗ ﺭﺩ ﻲﺤﻴﺿﻮﺗ ﻱﺎﻫﺮﻴﻐﺘﻣ ﺯﺍ ﻥﺍﻮﺗ

.ﺩﺮﻛ ﻩﺩﺎﻔﺘﺳﺍ 2 ﺭﺎﻣﺁ ﺰﺘﻧﺍﺮﭘ ﻞﺧﺍﺩ ﺩﺍﺪﻋﺍ . ﻩ

ﻱ ﻲﻣ ،T .ﺪﻨﺷﺎﺑ

3 ﻪﻔﻗﻭ ﺩﺍﺪﻌﺗ ﺏﺎﺨﺘﻧﺍ ﺭﺩ . .ﺖﺳﺍ ﻩﺪﺷ ﻩﺩﺎﻔﺘﺳﺍ ﺰﺗﺭﺍﻮﺷ ﻭ ﻚﻴﻳﺎﻛﺁ ﻱﺎﻫﺭﺎﻴﻌﻣ ﺯﺍ ،ﻮﮕﻟﺍ ﻱﺎﻫﺮﻴﻐﺘﻣ ﻱﺎﻫ