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بررسی آثار تغییرات قیمت نفت خام بر شاخص بورس اوراق بهادار تهران: کاربرد الگوی M-GARCH رهیافت BEKK

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ﻕﺍﺭﻭﺍ ﺱﺭﻮﺑ ﺺﺧﺎﺷ ﺮﺑ ﻡﺎﺧ ﺖﻔﻧ ﺖﻤﻴﻗ ﺕﺍﺮﻴﻴﻐﺗ ﺭﺎﺛﺁ ﻲﺳﺭﺮﺑ :ﻥﺍﺮﻬﺗ ﺭﺍﺩﺎﻬﺑ ﻮﮕﻟﺍ ﺩﺮﺑﺭﺎﻛ

M-GARCH

ﺖﻓﺎﻴﻫﺭ

BEKK

ﻲﻳﺎﻫﺩﺮﺳ ﻱﺭﺎﻜﻓ ﺩﺍﺰﻬﺑ

*

،1

ﻲﺣﻮﺒﺻ ﺩﻮﻤﺤﻣ ﻱﺭﻮﭙﻫﺎﺷ ﺎﺿﺭﺪﻤﺣﺍ ،2

3

1 . ﻱﻮﺠﺸﻧﺍﺩ ﻩﺭﻭﺩ

ﺪﻬﺸﻣ ﻲﺳﻭﺩﺮﻓ ﻱﺮﺘﻛﺩ ،

jfakari@gmail.com

2 . ﺩﺎﺘﺳﺍ ﺪﻬﺸﻣ ﻲﺳﻭﺩﺮﻓ ﻩﺎﮕﺸﻧﺍﺩ

، sabouhi@um.ac.ir

3 . ﺸﻧﺍﺩ ﻱﻮﺠ ﻩﺭﻭﺩ ﻱﺭﺎﺳ ﻩﺎﮕﺸﻧﺍﺩ ﻱﺮﺘﻛﺩ ،

A.shahpouri@stu.sanru.ac.ir

:ﺖﻓﺎﻳﺭﺩ ﺦﻳﺭﺎﺗ 28

/ 09 / 1395 :ﺵﺮﻳﺬﭘ ﺦﻳﺭﺎﺗ 05

/ 10 / 1396

ﻩﺪﻴﻜﭼ ﻙﻮﺷ ﻭ ﺕﺎﻧﺎﺳﻮﻧ ﻲﻣ ﻲﺘﻔﻧ ﻱﺎﻫ

ﻴﻟﻮﺗ ﻱﺎﻫﺭﻮﺸﻛ ﺭﺩ ﺪﻧﺍﻮﺗ ﻩﺪـﻨﻨﻛﺪ

ﺮـﺑ ﺭﺍﺬـﮔﺮﺛﺍ ﻞـﻣﺎﻋ ﺖـﻔﻧ

ﻙﻮـﺷ ﺭﺎـﺛﺁ ﻲﺳﺭﺮﺑ ،ﺮﺿﺎﺣ ﻪﻌﻟﺎﻄﻣ ﻑﺪﻫ .ﺪﺷﺎﺑ ﺭﺍﺩﺎﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮﺑ ﺺﺧﺎﺷ ﺮـﺑ ﺮـﻴﺧﺍ ﻲـﺘﻔﻧ ﻱﺎـﻫ

ﺖﻤﻴﻗ ﺺﺧﺎﺷ ﻲـﻣ ﺭﺍﺩﺎـﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮﺑ

ﻩﺎـﺗﻮﻛ ﻲﺗﺎـﻋﻼﻃﺍ ﻢـﻳژﺭ ﻭﺩ ﺭﻮـﻈﻨﻣ ﻦﻳﺪـﺑ .ﺪـﺷﺎﺑ ﻭ ﺕﺪـﻣ

ﺕﺪﻣﺪﻨﻠﺑ

، ﻱﻮﮕﻟﺍ ﺯﺍ ﻭ ﺩﺎﺠﻳﺍ MV-GARCH

ﻞﺣ ﺵﻭﺭ ﻭ ﻩﺩﺍﺩ ﻭBEKK

ﻦﻳﺩﺭﻭﺮﻓ ﺯﺍ ﻪﻧﺍﺯﻭﺭ ﻱﺎﻫ

ﻝﺎﺳ ﻩﺎﻣ 1390 ﺎﺗ ﻩﺎﻣ 1394 ﻝﺎﺳ ﻲـﻣ ﻥﺎـﺸﻧ ﻪﻌﻟﺎﻄﻣ ﺞﻳﺎﺘﻧ .ﺖﺳﺍ ﻩﺪﺷ ﻩﺩﺎﻔﺘﺳﺍ ـﻫﺩ

ﺭﺩ ﻪـﻛ ﺪ

ﻩﺎﺗﻮﻛ ﻙﻮﺷ ﺕﺪﻣﺪﻨﻠﺑ ﻭ ﺕﺪﻣ

ﺍ ﻲﺘﻔﻧ ﺭﺩ ،ﻥﺁﺮـﺑ ﻥﻭﺰـﻓﺍ .ﺩﺭﺍﺩ ﺭﺍﺩﺎـﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮـﺑ ﺮـﺑ ﻲـﻔﻨﻣ ﺕﺍﺮﺛ

ﺰﻴﻧ ﺕﺪﻣﺪﻨﻠﺑ ﺕﺍﺮﺛﺍ

ﺭﺍﺩﺎﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮﺑ ﺮﺑ ﺖﻔﻧ ﺖﻤﻴﻗ ﺕﺎﻧﺎﺳﻮﻧ ﺖـﺳﺍ ﻲﻔﻨﻣ ،

ﻪـﻜﻨﻳﺍ ﻪـﺑ ﻪـﺟﻮﺗ ﺎـﺑ .

ﻩﺎﺗﻮﻛ ﺭﺩ ﺖﻔﻧ ﺖﻤﻴﻗ ﺕﺎﻧﺎﺳﻮﻧ ﺩﺭﺍﺩ ﺖﺒﺜﻣ ﺮﺛﺍ ﺖﻔﻧ ﺖﻤﻴﻗ ﺺﺧﺎﺷ ﺮﺑ ﺕﺪﻣ

، ﻪـﺑ ﺮـﺠﻨﻣ ﺮـﺛﺍ ﻦـﻳﺍ ﻪﻛ

ﺮﺑﺎـﻨﺑ ،ﺖﺳﺍ ﻩﺪﺷ ﺱﺭﻮﺑ ﺺﺧﺎﺷ ﺕﺎﻧﺎﺳﻮﻧ ﺶﻳﺍﺰﻓﺍ ﻝﺎـﻘﺘﻧﺍ ﺯﺍ ﻪـﻛ ﺩﻮـﺷ ﺫﺎـﺨﺗﺍ ﺪـﻳﺎﺑ ﻲﺘـﺳﺎﻴﺳ ﻦﻳﺍ

ﻲﻣ ﺭﻮﻈﻨﻣ ﻦﻳﺍ ﻱﺍﺮﺑ .ﺩﻮﺷ ﻱﺮﻴﮔﻮﻠﺟ ﺺﺧﺎﺷ ﻪﺑ ﺖﻔﻧ ﺖﻤﻴﻗ ﺕﺎﻧﺎﺳﻮﻧ ﻪﻤﻴﺑ ﺯﺍ ﻥﺍﻮﺗ

،ﻡﺎﻬﺳ ﻦﭘﻮـﻛ

ﻥﺎﻜﻣﺍ ،ﻡﺎﻬﺳ ﺮﺧ

ﺵﻭﺭ ﻉﺍﺪﺑﺍ ،ﻚﺴﻳﺭ ﺵﻭﺮﻓﻭﺪﻳ ﻦﻳﻮﻧ ﻱﺎﻫ

ﻧﺍﺩﺮﮔ ﺭﺍﺯﺎﺑ ﻖﻳﻮـﺸﺗ ﻭ ﻡﺎﻬﺳ ﺪﺒﺳ ﻉﻮﻨﺗ ،ﻲ

ﻪﻳﺎﻣﺮﺳ ﻪﺑ ﻡﺩﺮﻣ ﺱﺭﻮﺑ ﺭﺩ ﻱﺭﺍﺬﮔ

ﺮﻛ ﻩﺩﺎﻔﺘﺳﺍ ﺭﺍﺩﺎﻬﺑ ﻕﺍﺭﻭﺍ .ﺩ

ﻪﻘﺒﻃ ﻱﺪﻨﺑ :JEL ،B41 ،E62 G10

ﻩژﺍﻭ ﻱﺪـﻴﻠﻛ ﻱﺎﻫ :

ﺖـﻔﻧ ،ﺭﺍﺩﺎـﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮـﺑ ،ﺖـﻤﻴﻗ ﺺﺧﺎـﺷ ،ﻡﺎـﺧ

MV-GARCH ،

ﮓﻨﻴﭽﻴﺋﻮﺳ ﻑﻮﻛﺭﺎﻣ ،BEKK

* . ﻩﺪﻨﺴﻳﻮﻧ ،ﻝﻮﺌﺴﻣ ﻩﺭﺎﻤﺷ ﺱﺎﻤﺗ ﻱ 09120759069

(2)

ﻪﻣﺪﻘﻣ ﺪﻧﻭﺭ ﻦﻳﺍ ﻡﻭﺍﺪﺗ ﻭ ﻱﺩﺎﺼﺘﻗﺍ ﺪﺷﺭ ﺪﻨﻳﺁﺮﻓ ﺭﺩ

، ﻪﻳﺎﻣﺮﺳ ﻪﺑ ﺯﺎﻴﻧ ﻪﺑ

ﻥﺍﻮﻨﻋ ﺪـﻴﻟﻮﺗ ﻢﻬﻣ ﻞﻣﺎﻋ

ﻪﺑﺯﻭﺭ ﺯﻭﺭ ﻲﻣ ﺶﻳﺍﺰﻓﺍ ﻪﻠﺌﺴﻣ ﻦﻳﺍ ﻭ ﺪﺑﺎﻳ

ﺐﺒﺳ ﻩﺪﺷ ﺖﺳﺍ ﺗ ﺖﻟﻭﺩ ﺎ ﺖﺳﺎﻴﺳ ﺎﻫ ﻲـﻔﻠﺘﺨﻣ ﻱﺎـﻫ

ﺫﺎﺨﺗﺍ ﻪﻳﺎﻣﺮﺳ ﺏﺬﺟ ﻱﺍﺮﺑ ﺍﺭ ﻛ

ﺯﺍ .ﺪﻨﻨ ﻢﻬﻣ ﺮﺗ ﺖﻟﻭﺩ ﺕﺎﻣﺍﺪﻗﺍ ﻦﻳ ﺎﻫ

ﺍ ﻱﺍﺮـﺑ ﻪﻳﺎﻣﺮـﺳ ﺭﺍﺯﺎﺑ ﺩﺎﺠﻳ

ﻪﻳﺎﻣﺮﺳ ﺏﺬﺟ ﻲﻣ ﻲﺟﺭﺎﺧ ﻭ ﻲﻠﺧﺍﺩ ﻱﺎﻫ

ﺯﺍ ﻲﻜﻳ .ﺪﺷﺎﺑ ﻬﻣ

ﻢ ﺮﺗ ﺭﺩ ﻪﻳﺎﻣﺮـﺳ ﺭﺍﺯﺎـﺑ ﻱﺎـﻳﺍﺰﻣ ﻦﻳ

ﻝﻮﭘ ﺭﺍﺯﺎﺑ ﺎﺑ ﻪﺴﻳﺎﻘﻣ

، ﺡﺮـﻃ ﻦﻴﻣﺄﺗ ﺭﺩ ﻥﺁ ﻲﻣﺭﻮﺗ ﺪﺿ ﺭﺎﺛﺁ ﻪﻳﺎﻣﺮـﺳ ﻱﺎـﻫ

ـﻣ ﻱﺭﺍﺬـﮔ ﻲ

.ﺪـﺷﺎﺑ

ﺖﻬﺟ ﻪﺑ ﻪﻳﺎﻣﺮﺳ ﺭﺍﺯﺎﺑ ﺮﺑ ﺮﺛﺆﻣ ﻞﻣﺍﻮﻋ ﺖﺧﺎﻨﺷ ﻪﻳﺎﻣﺮﺳ ﻲﻫﺩ

ﺬﮔ ﻲـﻧﺍﻭﺍﺮﻓ ﻚـﻤﻛ ﺭﺍﺯﺎـﺑ ﺭﺩ ﻱﺭﺍ

ﻲﻣ ﻨﻛ ،ﻥﺍﺭﺎﻜﻤﻫ ﻭ ﻱﺮﻴﻣﺍ ﻦﻳﺪﻛﺎﭘ) ﺪ 1387

ﻢﻬﻣ .(

ﻪﻳﺎﻣﺮـﺳ ﺭﺍﺯﺎـﺑ ﺶـﻘﻧ ﻦﻳﺮﺗ

، ﺭﺩ ﻭ ﻞﻳﺪـﺒﺗ

ﺱﺮﺘﺳﺩ ﻥﺩﺍﺩ ﺭﺍﺮﻗ

ﺎﻣﺮﺳ ﻪﻳ ﺪﺣﺍﻭ ﻭ ﻱﺪﻴﻟﻮﺗ ﺭﻮﻣﺍ ﻱﺍﺮﺑ ﻲﻫﺎﮕﻨﺑ ﻭ ﻱﺩﺮﻓ ﻱﺎﻫ ﻱﺩﺎـﺼﺘﻗﺍ ﻱﺎﻫ

ﺖﺳﺍ ﺮﮕﻳﺩ

، ﺍﺮﺑﺎﻨﺑ ﻩﺎﮕﻨﺑ ﻭ ﺩﺍﺮﻓﺍ ﺭﺍﺯﺎﺑ ﻦﻳﺍ ﺭﺩ ،ﻦﻳ ﺎﻫ

ﺶـﻘﻧ ﻪـﻛ ﺪﻨﺘـﺴﻫ ﻲـﻳ ﻌﺗ

ﻦﻴـﻴ ﻩﺪـﻨﻨﻛ ﻱﺍ

ﻪﻳﺎﻣﺮﺳ ﺭﺩ ﺩﺍﺮﻓﺍ ﻢﻴﻤﺼﺗ ﺮﺑ ﻪﻛ ﻲﻠﻣﺎﻋ ﺮﻫ .ﺪﻧﺭﺍﺩ ﻪﻳﺎﻣﺮﺳ ﺭﺍﺯﺎﺑ ﺭﺩ ﻱﺭﺍﺬﮔ

ﺮﺛﺆﻣ ﺭﺍﺯﺎـﺑ ﺭﺩ ،ﺪﺷﺎﺑ

ﻦﺑ) ﺖﺷﺍﺩ ﺪﻫﺍﻮﺧ ﺖﻴﻤﻫﺍ ﻪﻳﺎﻣﺮﺳ ،ﻲﻧﺍﻮﺿﺎﻗ ﻭ ﺮﺻﺎﻧ

2007 .(

ﻢﻬﻣ ءﺰﺟ ﻥﺍﺮﻳﺍ ﺭﺩ ﺭﺍﺩﺎﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮﺑ ﺭﺍﺯﺎﺑ ﺍﺯﺎﺑ ﺶﺨﺑ ﻦﻳﺮﺗ

ﻲﻣ ﺏﻮﺴﺤﻣ ﻪﻳﺎﻣﺮﺳ ﺭ ﺩﻮﺷ

ﻪﻳﺎﻣﺮﺳ ﻱﺍﺮﺑ ﻲﻤﺳﺭ ﻊﺟﺮﻣ ﻪﻛ ﺲﭘ ﻥﺎﮔﺪﻧﺭﺍﺩ ﻥﺍﺭﺍﺬﮔ

ﺪﻛﺍﺭ ﻱﺎﻫﺯﺍﺪﻧﺍ ﻲﻣ

ﺪﺷﺎﺑ ﺺﺧﺎـﺷ . ﻱﺎـﻫ

ﻩﺪﺷ ﺩﺎﺠﻳﺍ ﺭﺍﺯﺎﺑ ﻦﻳﺍ ﻞﻴﻠﺤﺗ ﻱﺍﺮﺑ ﻲﻔﻠﺘﺨﻣ ﺖﺳﺍ

ﻢﻬﻣ ﻪﻛ ﻥﺁ ﻦﻳﺮﺗ ﺎﻫ ﻡﺎﻬـﺳ ﺖﻤﻴﻗ ﺺﺧﺎﺷ

ﻲﻣ ﻢﻫ .ﺪﺷﺎﺑ ﻭ (ﻱﺩﺎﺼﺘﻗﺍ ﻖﻧﻭﺭ ﻭ ﺩﻮﻛﺭ) ﻱﺩﺎﺼﺘﻗﺍ ﻞﻣﺍﻮﻋ ﻦﻴﻨﭼ

ﻏ ﺏﻮـﺧ ﺭﺎﺒﺧﺍ) ﻱﺩﺎﺼﺘﻗﺍﺮﻴ

،ﺪﺑ ﻭ ﻩﺪﺷ ﻲﻳﺎﺳﺎﻨﺷ (ﻲﻧﺎﻬﺟ ﺕﺎﻗﺎﻔﺗﺍ ﻢﻳﺮـﻛ) ﺪﻨﺘـﺴﻫ ﺭﺍﺬـﮔﺮﻴﺛﺄﺗ ﺺﺧﺎﺷ ﻦﻳﺍﺮﺑ ﻪﻛ ﺪﻧﺍ

،ﻩﺩﺍﺯ

1385 ﻲﻣ ﺮﻴﺛﺄﺗ ﺭﺍﺩﺎﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮﺑ ﺺﺧﺎﺷ ﺮﺑ ﺕﺪﺷ ﻪﺑ ﻪﻛ ﻲﻠﻣﺍﻮﻋ ﺯﺍ .(

ﻲﻣ ،ﺪﻧﺭﺍﺬﮔ ﻪﺑ ﻥﺍﻮﺗ

ﻩﺭﺎﺷﺍ ﺯﺭﺍ ﺥﺮﻧ ﻭ ﺖﻔﻧ ﺖﻤﻴﻗ ﺮﻛ

ﻢﻫ .ﺩ ﺭﺍﺩﺎـﻬﺑ ﻕﺍﺭﻭﺍ ﺭﺍﺯﺎـﺑ ﺯﺍ ﻲﻟﺎـﻣ ﺩﺎـﺼﺘﻗﺍ ﺕﺎﻴﺑﺩﺍ ﺭﺩ ﻦﻴﻨﭼ

ﻪﺑ ﻛ ﻢﻴﻈﻨﺗ ﻚﻳ ﻥﺍﻮﻨﻋ ﻩﺪﻨﻨ

ﻱ ﻲـﻣ ﺩﺎـﻳ ﺭﻮﺸﻛ ﺮﻫ ﻱﺩﺎﺼﺘﻗﺍ ﻂﻳﺍﺮﺷ ﺪـﻨﻨﻛ

، ﺭﺎـﺘﻓﺭ ،ﻦﻳﺍﺮﺑﺎـﻨﺑ

ﻲـﻣ ﺭﻮـﺸﻛ ﻥﺁ ﻲـﺳﺎﻴﺳ ﻭ ﻱﺩﺎـﺼﺘﻗﺍ ﺩﺮـﻜﻠﻤﻋ ﺮﮕﻧﺎـﺸﻧ ﺭﻮـﺸﻛ ﺮـﻫ ﺭﺩ ﻡﺎﻬﺳ ﺖﻤﻴﻗ ﺪـﺷﺎﺑ

،ﻲﺘﺨﺘﻳﺎﭘ) 2011

.(

ﻪﻫﺩ ﻲﻃ ﺭﺩ ﻩﺪـﻨﻨﻛ ﻦﻴـﻴﻌﺗ ﺶـﻘﻧ ﺖﻔﻧ ﺖﻤﻴﻗ ﻪﺘﺷﺬﮔ ﻱﺎﻫ

ﻭ ﻱﺩﺎـﺼﺘﻗﺍ ﺪـﺷﺭ ﺭﺩ ﻱﺍ

ﻪﻌﺳﻮﺗ ﻱﺎﻫﺭﻮﺸﻛ ﻲﺳﺎﻴﺳ ﺖﻴﻌﻗﻮﻣ ﺩ ﻪﻌـﺳﻮﺗ ﻝﺎـﺣ ﺭﺩ ﻭ ﻪـﺘﻓﺎﻳ

ﻦـﻳﺍ ﺖـﻴﻤﻫﺍ .ﺖـﺳﺍ ﻪﺘـﺷﺍ

ﻲﻣ ﺮﺘﺸﻴﺑ ﻲﺘﻗﻭ ﻉﻮﺿﻮﻣ ﻦﻴﺑ ﺕﺎﻌﻟﺎﻄﻣ ﻪﻛ ﺩﻮﺷ

ﺭﺩ ﻱﺩﺎﻳﺯ ﻲﻠﻠﻤﻟﺍ ﻪﻨﻴﻣﺯ

ﻱ ﻪـﺑ ﻭ ﻱژﺮـﻧﺍ ﺭﻮـﻃ

ﻭ ﻚـﻟ) ﺩﺭﺍﺩ ﺩﻮـﺟﻭ ﻡﺎﻬـﺳ ﺭﺍﺯﺎـﺑ ﺮـﺑ ﺖﻔﻧ ﺖﻤﻴﻗ ﺕﺍﺮﺛﺍ ﺹﻮﺼﺧ ﺭﺩ ﻱﺩﺎﻳﺯ ﺕﺎﻌﻟﺎﻄﻣ ﺹﺎﺧ ،ﺱﺪﻴﻠﻴﻛﺍﺮﺗﺎﻛ 2013

ﻪﻫﺩ ﺭﺩ ﺖﻔﻧ ﺖﻤﻴﻗ ﻥﺍﺮﺤﺑ .(

ﻱ 70 ﺩﺎﺼﺘﻗﺍ ﺭﺩ ﻲﮔﺭﺰﺑ ﻙﻮﺷ ﻱﺩﻼﻴﻣ

ﺩﺎﺠﻳﺍ ﻲﻧﺎﻬﺟ ﻛ

ﺖﺳﺍ ﻩﺩﺮ ،

ﻪﺑ ﺭﻮﻃ ﻱ ﻪﻜـﺸﺑ ﺮـﻫ ﺯﺍ ﺖـﻔﻧ ﺖـﻤﻴﻗ ﻪـﻛ ﻱﺍ

45 / 2 ﻝﺎـﺳ ﺭﺩ ﺭﻻﺩ

(3)

1972 ﻪــﺑ 25 / 11 ﻝﺎــﺳ ﺭﺩ ﺭﻻﺩ 1974

ــﺘﻓﺎﻳ ﺶﻳﺍﺰــﻓﺍ ﻪ

ﻝﺎــﺳ ﺭﺩ ﻭ 1980

ﻪــﺑ 5 / 31 ﺭﻻﺩ

ﺪﻴﺳﺭ ﺖﺳﺍ ﻩ . ﺪﻌﺑ ﺯﺍ ﺍ ﻙﻮﺷ ﻦﻳ ﻲـﭘ ﺭﺩ ﺮﺘـﺸﻴﺑ ﻱﺩﺎﺼﺘﻗﺍ ﺕﺎﻌﻟﺎﻄﻣ ﻲﺘﻔﻧ ﻱﺎﻫ

ﺕﺍﺮـﺛﺍ ﻦﺘﻓﺎـﻳ

ﻞﺜﻣ ﻱﺩﺎﺼﺘﻗﺍ ﻥﻼﻛ ﻲﻠﺻﺍ ﻱﺎﻫﺮﻴﻐﺘﻣ ﺮﺑ ﺖﻔﻧ ﺖﻤﻴﻗ ﺮﻧ ،GDP

ﻭ ﻡﺭﻮـﺗ ،ﻱﺩﺎـﺼﺘﻗﺍ ﺪـﺷﺭ ﺥ

ﺩﻮﺑ ﺯﺭﺍ ﺥﺮﻧ ﻩ

ﺪﻧﺍ ،ﻥﻮﺘﻠﻴﻤﻫ) 1983

،ﻙﺭﻮﻣ ﻭ 1989

ﺯﺍ ﻱﺩﺍﺪﻌﺗ .(

ﻥﺎﻘﻘﺤﻣ ﻲـﺳﺭﺮﺑ ﻪـﺑ ﺰـﻴﻧ

ﻭ ﻡﺎﻬـﺳ ﻲﻫﺩﺯﺎـﺑ ﺥﺮـﻧ ،ﻡﺎﻬـﺳ ﺖـﻤﻴﻗ ﻞـﺜﻣ ﻲـﻳﺍﺭﺍﺩ ﺖﻤﻴﻗ ﺮﺑ ﺖﻔﻧ ﺖﻤﻴﻗ ﺕﺍﺮﻴﻴﻐﺗ ﺕﺍﺮﺛﺍ ﺘﺧﺍﺩﺮﭘ ﻲﻠﺤﻣ ﻱﺎﻫﺩﺎﺼﺘﻗﺍ ﻪ ﺍ

ﺖـﻤﻴﻗ ﻲﻫﺩﺯﺎـﺑ ﺥﺮﻧ ﻦﻴﺑ ﻲﻔﻨﻣ ﻁﺎﺒﺗﺭﺍ ﺕﺎﻌﻟﺎﻄﻣ ﺯﺍ ﻱﺭﺎﻴﺴﺑ .ﺪﻧ

ﺳﻮﻧ ،ﺖﻔﻧ ﻡﺎﻬـﺳ ﺖـﻤﻴﻗ ﻲﻫﺩﺯﺎﺑ ﻭ ﻡﺎﻬﺳ ﺖﻤﻴﻗ ﻲﻫﺩﺯﺎﺑ ﺥﺮﻧ ﺕﺎﻧﺎﺳﻮﻧ ﺎﺑ ﺖﻔﻧ ﺖﻤﻴﻗ ﺕﺎﻧﺎ

ﺍﺭ

ﻪﺑ ﺖﺳﺩ ﻩﺩﺭﻭﺁ ،ﺱﺪـﻴﻠﻴﻛﺍﺮﺗﺎﻛ ﻭ ﻚـﻟ) ﺪـﻧﺍ 2013

ﺮﺘـﺸﻴﺑ ﻪـﻛ ﺖـﺳﺍ ﺮـﻛﺫ ﻥﺎﻳﺎـﺷ ﻪـﺘﺒﻟﺍ .(

ﺖﻴﻟﺎﻌﻓ ﻦﻴﺑ ﻁﺎﺒﺗﺭﺍ ﺮﺑ ﻲﺑﺮﺠﺗ ﺕﺎﻌﻟﺎﻄﻣ ﺖـﻔﻧ ﺖـﻤﻴﻗ ﺺﺧﺎـﺷ ﺕﺍﺮـﻴﻴﻐﺗ ﻭ ﻱﺩﺎـﺼﺘﻗﺍ ﻱﺎـﻫ

ﺭﺩ ﻲﻛﺪﻧﺍ ﺕﺎﻌﻟﺎﻄﻣ ﻭ ﻩﺩﻮﺑ ﺰﻛﺮﻤﺘﻣ ﻪﻨﻴﻣﺯ

ﻱ ﺕﺍﺮﺛﺍ ﻙﻮﺷ ﺎﺑ ﻲﻟﺎﻣ ﻱﺎﻫﺭﺍﺯﺎﺑ ﺖـﻔﻧ ﺖﻤﻴﻗ ﻱﺎﻫ

ﺩﻮﺟﻭ ﺮـﺑ ﺖـﻔﻧ ﺖﻤﻴﻗ ﺮﮔﺍ .ﺩﺭﺍﺩ ﺪـﻣﺁﺭﺩ ﺮـﺑ ﻱﺭﺍﺬـﮔﺮﺛﺍ ﻦـﻳﺍ ،ﺩﺭﺍﺬـﮕﺑ ﺮﻴﺛﺄـﺗ ﻲـﻌﻗﺍﻭGNP

ﺖﻛﺮﺷ ﺎﻫ ﻲـﻣ ﺮـﺛﺍ ﺖـﻔﻧ ﺖـﻤﻴﻗ ﺯﺍ ﻢﻴﻘﺘـﺴﻣﺮﻴﻏ ﺎـﻳ ﻢﻴﻘﺘـﺴﻣ ﺭﻮﻃ ﻪﺑ ﻪﻛ ﻲﻳ ﺮﺛﺆـﻣ ،ﺪـﻧﺮﻴﮔ

ﻲﻣ ﺪﺷﺎﺑ ؛ ﺖﻔﻧ ﺖﻤﻴﻗ ﺶﻳﺍﺰﻓﺍ ﻦﻳﺍﺮﺑﺎﻨﺑ ﺐﺒﺳ

ﻥﺎﮔﺪﻨﻨﻛﺪﻴﻟﻮﺗ ﻱﺭﺎﻈﺘﻧﺍ ﺪﻣﺁﺭﺩ ﺶﻫﺎﻛ ﺪـﺷ

ﻩ ﻭ

ﺑﻪ ﻝﺎﺒﻧﺩ ﻡﺎﻬﺳ ﺖﻤﻴﻗ ﺭﺩ ﻲﻧﺁ ﺶﻫﺎﻛ ﺐﺟﻮﻣ ﻥﺁ ﺖﻛﺮﺷ

ﺎﻫ ﻲﻣ ،ﻞـﻳﺎﻛ ﻭ ﺰﻧﻮﺟ) ﺩﻮﺷ 1992

.(

ﻙﻮـﺷ ﺕﺍﺮـﺛﺍ ،ﻲﻧﺎﻬﺟ ﺩﺎﺼﺘﻗﺍ ﺮﺑ ﻡﺎﺧ ﺖﻔﻧ ﻲﺗﺎﻴﺣ ﺶﻘﻧ ﻪﺑ ﻪﺟﻮﺗ ﺎﺑ ﺮـﺑ ﻲـﺘﻔﻧ ﺖـﻤﻴﻗ ﻱﺎـﻫ

،ﻥﻮﺘﻠﻴﻣﺎـﻫ) ﺖﺳﺍ ﻩﺩﻮﺑ ﻥﺎﻧﺍﺩﺩﺎﺼﺘﻗﺍ ﻱﺍﺮﺑ ﻢﻬﻣ ﻞﺋﺎﺴﻣ ﺯﺍ ﻱﺩﺎﺼﺘﻗﺍ ﻥﻼﻛ ﻱﺎﻫﺮﻴﻐﺘﻣ 1996

،

،ﻥﺎﻴﻠﻴﻛ ﻭ ﻲﻜﺳﺭﺎﺑ 2004

.(

ﻲﻧﺍﺮﮕﻧ ﺩﺭﺍﺩ ﺩﻮـﺟﻭ ﺖﻔﻧ ﺖﻤﻴﻗ ﺎﺑ ﻁﺎﺒﺗﺭﺍ ﺭﺩ ﻪﻛ ﻱﺮﮕﻳﺩ ﻢﻬﻣ ﺭﺎﻴﺴﺑ

، ﺭﺎﻴـﺴﺑ ﻲﮕﺘـﺴﺑﺍﻭ

ﻩﺪﻨﻨﻛﺭﺩﺎﺻ ﻱﺎﻫﺭﻮﺸﻛ ﺩﺎﻳﺯ ﻱ

ﻲﻣ ﺖﻔﻧ ﺖﻤﻴﻗ ﻪﺑ ﺖﻔﻧ ﺮـﺠﻨﻣ ﺖﻔﻧ ﺖﻤﻴﻗ ﻪﺑ ﻲﮕﺘﺴﺑﺍﻭ .ﺪﺷﺎﺑ

ﻙﻮﺷ ﻲﻔﻨﻣ ﺕﺍﺮﺛﺍ ﺵﺮﻳﺬﭘ ﻪﺑ ﺺﺧﺎﺷ ﺮﺑ ﺖﻔﻧ ﺖﻤﻴﻗ ﻱﺎﻫ

ﻲـﻣ ﻱﺩﺎـﺼﺘﻗﺍ ﻥﻼـﻛ ﻱﺎﻫ ﻮـﺷ

،ﺪــﻨﻠﻧﺭﻮﺑ) 2009

ــﻫﺮﻴﻐﺘﻣ ﺮــﺑ ﻲــﺘﻔﻧ ﺖــﻤﻴﻗ ﻙﻮــﺷ ﺕﺍﺮــﺛﺍ .(

ﻱﺎﻫﺭﻮــﺸﻛ ﻱﺩﺎــﺼﺘﻗﺍ ﻱﺎ

ﺭﺍﻭ ﻩﺪﻨﻨﻛﺩ ﻱ ﻩﺪﻨﻨﻛﺭﺩﺎﺻ ﻱﺎﻫﺭﻮﺸﻛ ﺎﺑ ﺖﻔﻧ ﻱ

ﺖﻔﻧ ﺕﻭﺎﻔﺘﻣ ﻲﻣ ﺮﺘـﺸﻴﺑ ﺭﺩ ﻝﺎﺜﻣ ﻱﺍﺮﺑ .ﺪﺷﺎﺑ

ﻩﺪﺷ ﺵﺭﺍﺰﮔ ﻲﻔﻨﻣ ﻱﺩﺎﺼﺘﻗﺍ ﻥﻼﻛ ﻱﺎﻫﺮﻴﻐﺘﻣ ﺮﺑ ﺖﻤﻴﻗ ﺶﻳﺍﺰﻓﺍ ﺕﺍﺮﺛﺍ ﺕﺎﻌﻟﺎﻄﻣ ﺖـﺳﺍ

ﻪـﻛ

ﻩﺪﻨﻨﻛﺭﺩﺎﺻ ﻱﺎﻫﺭﻮﺸﻛ ﻱﺍﺮﺑ ﻕﺎﻔﺗﺍ ﻦﻳﺍ ﻱ

ﺕﺍﺮـﺛﺍ ﺖـﻔﻧ ﺖﻤﻴﻗ ﺶﻳﺍﺰﻓﺍ ﺎﺑ ،ﺩﺭﺍﺪﻧ ﻕﺍﺪﺼﻣ ﺖﻔﻧ

ﺼﺘﻗﺍ ﺖﺒﺜﻣ ﻩﺪﻨﻨﻛﺭﺩﺎﺻ ﻱﺎﻫﺭﻮﺸﻛ ﺭﺩ ﻱﺩﺎ

ﻱ ﻲﻣ ﻩﺪﻫﺎﺸﻣ ﺖﻔﻧ ﻱﻻﺎـﺑ ﺖـﻤﻴﻗ ﻪـﺘﺒﻟﺍ ،ﺩﻮـﺷ

ﻪﻨﻳﺰﻫ ﺶﻳﺍﺰﻓﺍ ﻪﺑ ﺮﺠﻨﻣ ﺖﻔﻧ ﻲـﻣ ﺰـﻴﻧ ﺖـﻟﻭﺩ ﺝﺭﺎـﺨﻣ ﻭ ﻱﺎﻫ

ﻡﺭﻮـﺗ ﻪـﻛ ﺩﻮـﺷ ﺍﺯ

ﻲـﻣ ﺪـﺷﺎﺑ

،ﻦﻴﻠﻴﻛ ﻭ ﻲﻜﺳﺭﺎﺑ) 2004

ﻪﻠﺌﺴﻣ ﻪﺑ ﻪﺟﻮﺗ ﺎﺑ .(

ﻱ ﻙﻮﺷ ﻪﺑ ﻡﺎﻬﺳ ﺭﺍﺯﺎﺑ ﺶﻨﻛﺍﻭ ﺖـﻤﻴﻗ ﻱﺎـﻫ

ﺖﻔﻧ

، ﺖﺒﺜﻣ ﺎﻳ ﻲﻔﻨﻣ ،ﻙﻮﺷ ﻉﻮﻧ ﻪﺑ ﻪﺘﺴﺑ

، ﻮﺧ ﺮﻴﻐﺘﻣ ،ﻥﺍﺭﺎـﻜﻤﻫ ﻭ ﮓـﻧﺍﻭ) ﺩﻮـﺑ ﺪﻫﺍ

2013 .(

(4)

ﻩﺪﺷ ﻥﺎﻴﺑ ﺐﻟﺎﻄﻣ ﻪﺑ ﻪﺟﻮﺗﺎﺑ

، ﻪﻌﻟﺎﻄﻣ ﻑﺪﻫ ﻱ

،ﺮﺿﺎﺣ ﻪﺴﻳﺎﻘﻣ ﻭ ﻲﺳﺭﺮﺑ ﻱ

ﻙﻮـﺷ ﺭﺎـﺛﺁ ﻱﺎـﻫ

ﻩﺭﻭﺩ ﺭﺩ ﺖﻔﻧ ﺖﻤﻴﻗ ﻲﻣ ﺍﺰﺠﻣ ﺭﻮﻃ ﻪﺑ ﻥﺁ ﺶﻫﺎﻛ ﻭ ﺖﻔﻧ ﺖﻤﻴﻗ ﺶﻳﺍﺰﻓﺍ ﻱﺎﻫ

.ﺪﺷﺎﺑ

ﻝﺎﺳ ﻲﻃ ﺭﺩ ﻥﺍﺮﻳﺍ ﺖﺳﺍ ﻩﺩﻮﺑ ﺖﻔﻧ ﻲﻠﺻﺍ ﻥﺎﮔﺪﻨﻨﻛﺭﺩﺎﺻ ءﺰﺟ ﻩﺭﺍﻮﻤﻫ ﻪﺘﺷﺬﮔ ﻱﺎﻫ

؛ ﺍﺬﻟ

ﺎﻳﺯ ﺪﺣ ﺎﺗ ﻲﮕﺘﺴﺑﺍﻭ ﻦﻳﺍ .ﺩﻮﺑ ﺪﻫﺍﻮﺧ ﻲﺘﻔﻧ ﻱﺎﻫﺪﻣﺁﺭﺩ ﻪﺑ ﻪﺘﺴﺑﺍﻭ ﻱﺩ

ﺐﺒﺳ ﻲﻣ ﺭﺩ ﻪـﻛ ﺩﻮـﺷ

ﺖﻤﻴﻗ ﻊﻔﺘﻨﻣ ﺖﻔﻧ ﻱﻻﺎﺑ ﻱﺎﻫ ﻮـﺷ ﺭﺮـﻀﺘﻣ ﺖـﻔﻧ ﺖﻤﻴﻗ ﺶﻫﺎﻛ ﺎﺑ ﻭ ﻩﺪﺷ

ﻦـﻳﺍ ﺩﻮـﺟﻭ ﺎـﺑ .ﺩ

ﻪﻄـﺳﺍﻭ ﻪﺑ ﺯﺭﺍ ﺥﺮﻧ ﻭ ﺭﺍﺩﺎﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮﺑ ﻥﻮﭽﻤﻫ ﻥﻼﻛ ﻱﺎﻫﺮﻴﻐﺘﻣ ،ﻲﮕﺘﺴﺑﺍﻭ ﻱ

ﻱﺎﻫﺪـﻣﺁﺭﺩ

ﺧ ﺮﻴﻴﻐﺗ ﺵﻮﺨﺘﺳﺩ ﻥﺎﮔﺪﻨﻨﻛﺪﻴﻟﻮﺗ ﺭﺎﻈﺘﻧﺍ ﻭ ﻱﺯﺭﺍ ﺭﺩ ﺖـﻔﻧ ﻢﻬـﺳ ﺭﺩ ﻪﻠﺌـﺴﻣ ﻦﻳﺍ .ﺪﺷ ﺪﻫﺍﻮ

.ﺖﺳﺍ ﺺﺨﺸﻣ ﻲﻠﺧﺍﺩ ﺺﻟﺎﺧﺎﻧ ﺪﻴﻟﻮﺗ ﻭ ﺕﺍﺭﺩﺎﺻ ﻝﻭﺪﺟ 1

، ﻭ ﺕﺍﺭﺩﺎﺻ ﺯﺍ ﺖﻔﻧ ﻢﻬﺳ ﻩﺪﻨﻨﻛﺭﺩﺎـﺻ گﺭﺰﺑ ﺭﻮﺸﻛ ﺞﻨﭘGDP

ﻱ ﺭﺩ ﺍﺭ ﺖـﻔﻧ

ﻝﺎﺳ 2013 ﻲﻣ ﻥﺎﺸﻧ ﻲـﻣ ﻥﺎـﺸﻧ ﻝﻭﺪـﺟ ﻦـﻳﺍ .ﺪـﻫﺩ

ﻪـﻛ ﺪـﻫﺩ ﻱﺎﻫﺭﻮـﺸﻛ ﺮﺘـﺸﻴﺑGDP

ﻩﺪﻨﻨﻛﺭﺩﺎﺻ ﻱ

ﺩﺭﺍﺩ ﺖﻘﻧ ﺖﻤﻴﻗ ﻪﺑ ﻱﺩﺎﻳﺯ ﻲﮕﺘﺴﺑﺍﻭ ﺖﻔﻧ ؛

ﺮﺑﺎﻨﺑ ،ﺖـﻔﻧ ﺖـﻤﻴﻗ ﺕﺍﺮﻴﻴﻐﺗ ﺎﺑ ﻦﻳﺍ

.ﺪﺷ ﺪﻫﺍﻮﺧ ﺮﻴﻴﻐﺗ ﺵﻮﺨﺘﺳﺩ ﺰﻴﻧ ﺎﻫﺭﻮﺸﻛ ﻦﻳﺍGDP ﻝﻭﺪﺟ 1 . ﻭ ﺕﺍﺭﺩﺎﺻ ﺭﺩ ﺖﻔﻧ ﻢﻬﺳ ﻭ ﻲﺗﺍﺭﺩﺎﺻ ﺪﻣﺁﺭﺩ ﻝﺎﺳ ﺭﺩGDP

2013

ﺭﻮﺸﻛ ﺖﻔﻧ ﺕﺍﺭﺩﺎﺻ

(ﺭﻻﺩ ﺩﺭﺎﻴﻠﻴﻣ) ﺯﺍ ﺖﻔﻧ ﻢﻬﺳ

ﺕﺍﺭﺩﺎﺻ GDP

ﻱﺩﻮﻌﺳ ﻥﺎﺘﺴﺑﺮﻋ 9

/ 375 83

% 40

%

ﻪﻴﺳﻭﺭ 3

/ 523 54

% 14

%

ﻥﺍﺮﻳﺍ 82

61

% 12

%

ﻪﻳﺮﺠﻴﻧ 103

82

% 14

%

ﻲﺑﺮﻋ ﻩﺪﺤﺘﻣ ﺕﺍﺭﺎﻣﺍ 379

53

% 48

%

:ﺬﺧﺄﻣ www.UNCTAD.org

ﺑ ﺕﺍﺮﻴﻴﻐﺗ ﺎ ﺥﺮﻧ ،ﻪﻳﺎﻣﺮﺳ ﺭﺍﺯﺎﺑ ،ﻪﺟﺩﻮﺑ ،ﺖﻟﻭﺩ ﺪﻣﺁﺭﺩ ﻞﺜﻣ ﻱﺩﺎﺼﺘﻗﺍ ﻥﻼﻛ ﻞﻣﺍﻮﻋGDP

ﺪـﻨﻫﺍﻮﺧ ﺮـﻴﻴﻐﺗ ﻱﺩﺎـﺼﺘﻗﺍ ﻱﺎﻫﺮﻴﻐﺘﻣ ﺮﮕﻳﺩ ﻭ ﺯﺭﺍ ﺮـﻛ

ﻢـﻫ .ﺩ ﻲﮕﺘـﺴﺑﺍﻭ ﻦﻴـﻨﭼ ﻱﺎﻫﺭﻮـﺸﻛ

ﻩﺪﻨﻨﻛﺭﺩﺎﺻ ﻱ

ﺖﻔﻧ ﺐﺒﺳ ﻒﻌﺿ ﻲﺳﺎﻴﺳ ﻱﺎﻫ ﻲﻣ

ﺩﻮﺷ ﻢﻳﺮﺤﺗ ﺭﺩ ﻪﻠﺌﺴﻣ ﻦﻳﺍ ﻪﻛ ﻲـﺘﻔﻧ ﻱﺎـﻫ

ﻝﺎﺳ ﺩﻮﻬﺸﻣ ًﻼﻣﺎﻛ ﺰﻴﻧ ﺮﻴﺧﺍ ﻱﺎﻫ ﺖﺳﺍ

.

(5)

ﻖﻴﻘﺤﺗ ﻱﺮﻈﻧ ﻲﻧﺎﺒﻣ ﻲﻠﻣﺍﻮﻋ ﺯﺍ ﺯﺭﺍ ﺥﺮﻧ ﻭ ﺖﻔﻧ ﺖﻤﻴﻗ ﺪﻨﺘﺴﻫ

ﺮﺑ ﻪﻛ ـﻧﺭﺍﺬﮔﺮﺛﺍ ﺭﺍﺩﺎﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮﺑ ﺺﺧﺎﺷ .ﺪ

ﺯﺭﺍ ﺥﺮﻧ ﺮﺑ ﺰﻴﻧ ﺭﺍﺩﺎﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮﺑ ﻦﻴﻨﭽﻤﻫ ﺆﻣ

ﻲـﻣ ﺮﺛ ﺕﺎـﻌﻟﺎﻄﻣ ﺭﺩ ﺕﺎـﻃﺎﺒﺗﺭﺍ ﻦـﻳﺍ .ﺪـﺷﺎﺑ

ﺖﺳﺍ ﻩﺪﺷ ﻲﺳﺭﺮﺑ ﻪﺘﺷﺬﮔ ؛

ﻙﻮﺷ ﻱﺭﺍﺬﮔﺮﻴﺛﺄﺗ ﻲﺳﺭﺮﺑ ﻪﺑ ﻂﻘﻓ ﻪﻌﻟﺎﻄﻣ ﻦﻳﺍ ﺭﺩ ﻦﻳﺍﺮﺑﺎﻨﺑ ﻭ ﺎـﻫ

ﺪﺷ ﻪﺘﺧﺍﺩﺮﭘ ﺎﻫﺭﺍﺯﺎﺑ ﻦﻴﺑ ﺩﻮﺟﻮﻣ ﺕﺎﻧﺎﺳﻮﻧ ﺖﺳﺍ ﻩ

. ﺱﺎﺳﺍﺮﺑ ﺞﻳﺎـﺘﻧ ﺖـﺳﺩ ﻪـﺑ ﺱﺭﻮـﺑ ،ﻩﺪـﻣﺁ

ﺭﺍﺩﺎﻬﺑ ﻕﺍﺭﻭﺍ ﺕﺪﻣﺪﻨﻠﺑ ﺭﺩ

ﻙﻮﺷ ﺯﺍ ﻲﻣ ﻱﺩﺎﻳﺯ ﺕﺍﺮﺛﺍ ﺱﺭﻮﺑ ﺩﻮﺧ ﻱﺎﻫ ﻪﺘﻜﻧ ﻦﻳﺍ .ﺩﺮﻳﺬﭘ

ﻥﺎﺸﻧ

ﻲﻣ ﻕﺍﺭﻭﺍ ﺱﺭﻮـﺑ ﺮـﺑ ﻱﺩﺎـﻳﺯ ﺕﺍﺮـﺛﺍ ﺪﺷﺎﺑ ﻲﻧﺁ ﻪﻛ ﻲﻗﺎﻔﺗﺍ ﺮﻫ ﺎﻳ ﻭ ﺪﺑ ﻭ ﺏﻮﺧ ﺭﺎﺒﺧﺍ ﻪﻛ ﺪﻫﺩ

ﻲﻣ ﺭﺍﺩﺎﻬﺑ .ﺩﺭﺍﺬﮔ

ﻨﭽﻤﻫ ﻩﺎﺗﻮﻛ ﺭﺩ ﺕﺎﻧﺎﺳﻮﻧ ﻱﺭﺍﺬﮔﺮﺛﺍ ﻥﺍﺰﻴﻣ ﻦﻴ ﺕﻭﺎـﻔﺘﻣ ﺕﺪـﻣﺪﻨﻠﺑ ﻭ ﺕﺪـﻣ

ﻲﻣ ﺭﺩ .ﺪﺷﺎﺑ ﻩﺎﺗﻮﻛ

ﺕﺪﻣ

، ﺪـﻨﻠﺑ ﺭﺩ ﻭ ﻪﺘﺷﺍﺩ ﺖﺒﺜﻣ ﺕﺍﺮﺛﺍ ﺕﺎﻧﺎﺳﻮﻧ ﻲـﻔﻨﻣ ﺕﺍﺮـﺛﺍ ﻦـﻳﺍ ﺕﺪـﻣ

ﻲﻣ ﻩﺎﺗﻮﻛ ﺭﺩ .ﺪﺷﺎﺑ ﻣ

ﻪـﺑ .ﺩﺭﺍﺩ ﺭﺍﺩﺎـﻬﺑ ﻕﺍﺭﻭﺍ ﺭﻮـﺑ ﺺﺧﺎـﺷ ﺮﺑ ﻱﺮﺘﺸﻴﺑ ﺕﺍﺮﺛﺍ ﺖﻔﻧ ﺖﻤﻴﻗ ﺕﺪ

ﻲﻣ ﺮﻈﻧ ﺪـﻫﺍﻮﺧ ﺮﺘـﺸﻴﺑ ﻱﺭﺍﺬﮔﺮﺛﺍ ﻦﻳﺍ ،ﺪﺷﺎﺑ ﻪﺘﺷﺍﺩ ﻪﻣﺍﺩﺍ ﺖﻔﻧ ﺖﻤﻴﻗ ﺶﻫﺎﻛ ﺪﻧﻭﺭ ﺮﮔﺍ ﺪﺳﺭ

ﻲﻣ ﻥﺎﺸﻧ ﻪﻛ ﺪﻧﺭﺍﺩ ﺩﻮﺟﻭ ﻱﺩﺎﻳﺯ ﺕﺎﻘﻴﻘﺤﺗ .ﺪﺷ ﻱﺩﺎـﺼﺘﻗﺍ ﻥﻼـﻛ ﻱﺎـﻫﺮﻴﻐﺘﻣ ﺮﻴﻴﻐﺗ ﺎﺑ ﺪﻨﻫﺩ

ﺮﻴﻴﻐﺗ ﻡﺎﻬﺳ ﺖﻤﻴﻗ ﺺﺧﺎﺷ ﻲﻣ

ﻛ ﺕﺎﻘﻴﻘﺤﺗ ﻦﻳﺍ ﺭﺩ .ﺪﻨ ﺕﺎـﻌﻟﺎﻄﻣ ﺯﺍ ﻪﺘـﺳﺩ ﻦﻳﺍ ﻱﺮﻈﻧ ﻞﻴﻟﺩ

ﻲﻣ ﻡﺎﻬﺳ ﺖﻤﻴﻗ ﻪﻛ ﺖﺳﺍ ﻦﻳﺍ ﺪﻧﺍﻮﺗ

ﻪﺑ ﻥﺍﻮﻨﻋ ﻩﺪـﺷ ﻞـﻳﺰﻨﺗ ﻲﺗﺁ ﻥﺎﻳﺮﺟ ﻚﻳ ﺮـﻈﻧ ﺭﺩ

ﻪـﺘﻓﺮﮔ

) ﺎﺘﻧﺎﭘ .ﺩﻮﺷ 2002

ﻪﻳﺮﻈﻧ ﻖﻳﺮﻃ ﺯﺍ ﻪﺑ ﺍﺭ ﻡﺎﻬﺳ ﺩﻮﺳ ﻞﻳﺰﻨﺗ ،ﻲﻟﺎﻣ ﻱﺎﻫ

ﺩﺎﻬﻨـﺸﻴﭘ ﺮﻳﺯ ﺕﺭﻮﺻ

ﺖﺳﺍ ﻩﺩﺮﻛ :

) 1 (

t j t

j t,t j

D E D

0 1 r

f

ª º

« »

« »

¬ ¼

¦

ﺩ ،ﻕﻮﻓ ﻪﻄﺑﺍﺭ ﺭ

Dt

ﺭﺩ ﻡﺎﻬـﺳ ﺩﻮﺳ ﻥﺎـﻣﺯ

،t rt,t+j

ﻥﺎـﻣﺯ ﻦﻴـﺑ ﻩﺮـﻬﺑ ﺥﺮـﻧ ﻭt

t+j Et

ﻥﺎﻣﺯ ﺭﺩ ﺕﺍﺭﺎﻈﺘﻧﺍ ﺯﺍ .ﺖﺳﺍt

ﻪﻟﺩﺎﻌﻣ

، ﻱﺭﺍﺬـﮔﺮﻴﺛﺄﺗ ﺱﺎﺳﺍ ﺮﺑ ﻱﺩﺎﺼﺘﻗﺍ ﻥﻼﻛ ﻞﻣﺍﻮﻋ ،ﻩﺪﺷﺩﺎﻳ

ﺥﺮﻧ ﺎﻳ ﺭﺎﻈﺘﻧﺍ ﺩﺭﻮﻣ ﻲﮕﻨﻳﺪﻘﻧ ﻥﺎﻳﺮﺟ ﺮﺑ ﻲﻣ ﺏﺎﺨﺘﻧﺍ ﻞﻳﺰﻨﺗ ﻱﺎﻫ

.ﺪﻧﻮﺷ

ﺭﺍﺯﺎﺑ ﺩﺮﻜﻳﻭﺭ ﻪﻳﺮﻈﻧ ﻦﻴﻨﭽﻤﻫ

، ﺭﺎﺧ ﺕﺎﻴﻠﻤﻋ ﺮﺑ ﺯﺭﺍ ﺥﺮﻧ ﻱﺭﺍﺬﮔﺮﻴﺛﺄﺗ ﻲﮕﻧﻮﮕﭼ ﻩﺎﮕﻨﺑ ﻲﺟ

ﻲﻣ ﻥﺎﺸﻧ ﺍﺭ ﻡﺎﻬﺳ ﺖﻤﻴﻗ ﻭ ﻩﺎﮕﻨﺑ ﺩﻮﺳ ﺮﺑ ،ﻉﻮﻤﺠﻣ ﺭﺩ ﻭ ﻱﺩﺎﺼﺘﻗﺍ ،ﻥﺍﺭﺎـﻜﻤﻫ ﻭ ﮓﻨـﺷ) ﺪﻫﺩ

2004 ﻲﻠﻣ ﺪﻴﻟﻮﺗ ﺶﻳﺍﺰﻓﺍ ﺎﺑ ،ﻪﻳﺮﻈﻧ ﻦﻳﺍ ﺱﺎﺳﺍ ﺮﺑ .(

ﻪﺑ ﻝﺎﺒﻧﺩ ﺽﺮـﻓ ﺎـﺑ ﻭ ﻝﻮﭘ ﺵﺯﺭﺍ ﺶﻫﺎﻛ

ﻝﺎﺷﺭﺎﻣ ﻁﺮﺷ ﻱﺭﺍﺮﻗﺮﺑ -

) ﺮﻧﺮﻟ

x M

CA

M[ ]

S K K 1

ﻪـﻛ ﻲـﺗﺁ ﺕﺍﺭﺎـﻈﺘﻧﺍ ﻱﺪـﻘﻧ ﺕﺎﻧﺎﻳﺮﺟ

ﺯﺍ ﺮﺛﺄﺘﻣ ﻩﺪﻨﻳﺁ ﺭﺩ ﻲﺟﺭﺎﺧ ﻭ ﻲﻠﺧﺍﺩ ﻞﻛ ﻱﺎﺿﺎﻘﺗ ﻲﻣ ﺭﺍﺮﻗ ﺮﻴﺛﺄﺗ ﺖﺤﺗ ،ﺪﻧﺍ

ﻭ ﺩﺮـﻴﮔ ﻪـﺑ ﻝﺎـﺒﻧﺩ

ﻥﺎﻳﺮﺟ ﻲﻧﻮﻨﻛ ﺵﺯﺭﺍ ﻝﺩﺎﻌﻣ ﻪﻛ ﻡﺎﻬﺳ ﻲﻧﻮﻨﻛ ﺖﻤﻴﻗ ،ﻥﺁ ﻪـﺟﺭﺩ ﺎـﺑ ،ﺖﺳﺍ ﻲﺗﺁ ﻱﺪﻘﻧ ﻱﺎﻫ

ﻩﺪﻨﻳﺁ ﻭ ﻲﻠﻌﻓ ﺖﻴﻟﺎﻌﻓ ﻱ

ﺺﺧﺎﺷ ﻂﺳﻮﺗ ﻪﻛ ﺩﺎﺼﺘﻗﺍ ﺪـﺷﺭ ﺥﺮﻧ ،ﻲﺘﻌﻨﺻ ﺕﺍﺪﻴﻟﻮﺗ ﺪﻨﻧﺎﻣ ﻲﻳﺎﻫ

(6)

ﻩﺯﺍﺪـﻧﺍ ﻝﺎﻐﺘﺷﺍ ﺥﺮﻧ ﻭ ﺩﺎﺼﺘﻗﺍ ﻲﻌﻗﺍﻭ ﮔ

ﻲـﻣ ﻱﺮـﻴ ﻮﺋﺎـﻛ ﻭ ﺎـﻣ .ﺩﻮـﺑ ﺪـﻫﺍﻮﺧ ﻞـﻣﺎﻌﺗ ﺭﺩ ،ﺩﻮـﺷ

) 1990 ﻪﻳﺮﻈﻧ ﺭﺩ ،(

ﻱ ﺩﺍﺩ ﻥﺎﺸﻧ ﺩﻮﺧ ﻩ ﺍ

ﻲﺗﺍﺩﺭﺍﻭ ﻱﺎﻫﺩﺎﺼﺘﻗﺍ ﺭﺩ ﺯﺭﺍ ﺥﺮﻧ ﺶﻫﺎﻛ ﻪﻛ ﺪﻧ ﺐﺒـﺳ

ﺪﺷ ﺪﻫﺍﻮﺧ ﻡﺎﻬﺳ ﺭﺍﺯﺎﺑ ﻖﻧﻭﺭ ؛

،ﻦﻳﺍﺮﺑﺎﻨﺑ ﺁﺮﺑ

ﻚـﻳ ﺭﺩ ﻡﺎﻬـﺳ ﺭﺍﺯﺎﺑ ﺮﺑ ﺯﺭﺍ ﺥﺮﻧ ﺮﻴﻴﻐﺗ ﺮﺛﺍ ﻞﻛ ﺪﻨﻳ

ﻩﺎﮕﻨﺑ ﺐﻴﻛﺮﺗ ﻪﺑ ﺩﺎﺼﺘﻗﺍ ،ﺕﺍﺩﺭﺍﻭ ﻭ ﺕﺍﺭﺩﺎﺻ ﺭﺩ ﺮﻴﮔﺭﺩ ﻱﺎﻫ

ﻩﺎﮕﻨﺑ ﻲﮕﺘﺴﺑﺍﻭ ﻥﺍﺰﻴﻣ ﺩﺍﻮـﻣ ﻪﺑ ﺎﻫ

ﺶﺸﻛ ﻭ ﻲﺗﺍﺩﺭﺍﻭ ﻪﻴﻟﻭﺍ .ﺩﺭﺍﺩ ﻲﮕﺘﺴﺑ ﻲﺗﺍﺭﺩﺎﺻ ﺕﻻﻮﺼﺤﻣ ﻱﺍﺮﺑ ﺎﺿﺎﻘﺗ ﻥﺩﻮﺑ ﺮﻳﺬﭘ

ﻪﻨﻴﺸﻴﭘ ﺶﻫﻭﮋﭘ

ﺭﺩ ﻪﻨﻴﻣﺯ ﻱ ﺢﻄـﺳ ﺭﺩ ﻱﺩﺎـﻳﺯ ﺭﺎﻴـﺴﺑ ﺕﺎﻌﻟﺎﻄﻣ ﻪﻳﺎﻣﺮﺳ ﺭﺍﺯﺎﺑ ﻭ ﻱژﺮﻧﺍ ﺭﺍﺯﺎﺑ ﻦﻴﺑ ﻁﺎﺒﺗﺭﺍ

ﻲﺟﺭﺎﺧ ﻭ ﻲﻠﺧﺍﺩ ﺖـﺳﺍ ﻩﺪـﺷ ﻡﺎـﺠﻧﺍ

ﺶﻴـﭘ . ) ﻲﻧﺎﺘـﺴﻏﺎﺑ ﻭ ﺭﺎـﻬﺑ 1393

ﻟﺎﻄﻣ ﺭﺩ ﻪـﻌ ﺎـﺑ ﻱﺍ

ﻪﺑ ﮔﺭﺎﻛ ﻱﺭﺎﺘﺧﺎـﺳ ﻱﺭﺍﺩﺮـﺑ ﺢﻴﺿﻮﺗﺩﻮﺧ ﺵﻭﺭ ﻱﺮﻴ )1

ﻩﺩﺍﺩ ﻭ (SVAR

ﻝﺎـﺳ ﺯﺍ ﻪـﻧﺎﻫﺎﻣ ﻱﺎـﻫ

1380 ﺎﺗ 1390

، ﻙﻮﺷ ﻱﺩﺎﺼﺘﻗﺍ ﺕﺍﺮﺛﺍ ﻲﺳﺭﺮﺑ ﻪﺑ ﻥﻼـﻛ ﻱﺎـﻫﺮﻴﻐﺘﻣ ﺮـﺑ ﺖـﻔﻧ ﺖﻤﻴﻗ ﻱﺎﻫ

ﺘﺧﺍﺩﺮﭘ ﻱﺩﺎﺼﺘﻗﺍ ﻪ ﺍ

ﻥﺎﺸﻧ ﻪﻌﻟﺎﻄﻣ ﺞﻳﺎﺘﻧ .ﺪﻧ ﻲﻣ

ﻫﺩ ﺮـﺑ ﻲﻜﭼﻮـﻛ ﺮـﺛﺍ ﺖـﻔﻧ ﺖﻤﻴﻗ ﻙﻮﺷ ﻪﻛ ﺪ

ﻢﻫ .ﺩﺭﺍﺩ ﻲﺘﻌﻨﺻ ﺕﺍﺪﻴﻟﻮﺗ ﺪﺷﺭ ﻨﭼ

ﻦﻴ ﺮﺛﺍ ﻡﺎﻬـﺳ ﺺﺧﺎـﺷ ﻭ ﺯﺭﺍ ﺥﺮـﻧ ﺮﺑ ﺖﻔﻧ ﺖﻤﻴﻗ ﻙﻮﺷ

ﺭﺍﺩﺎﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮﺑ ﺖﺳﺍ ﻩﺩﻮﺑ ﺎﻨﻌﻣ

) ﻱﻮﻨﻫﺩ ﻲﻤﺷﺎﻫ . 1392

ﻪﻌﻟﺎﻄﻣ ﺭﺩ ﺎﺑ ﻱﺍ

ﻪﺑ ﮔﺭﺎـﻛ ﻱﺮﻴ

ﻱﺭﺍﺩﺮﺑ ﻱﺎﻄﺧ ﺢﻴﺤﺼﺗ ﻱﻮﮕﻟﺍ )2

ﻞﻛ ﺺﺧﺎﺷ ﺮﺑ ﻼﻃ ﻭ ﺖﻔﻧ ﺖﻤﻴﻗ ﺮﺛﺍ ﻲﺳﺭﺮﺑ ﻪﺑ (VCEM

ﺘﺧﺍﺩﺮﭘ ﻥﺍﺮﻳﺍ ﺭﺍﺩﺎﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮﺑ ﺖﻤﻴﻗ ﻪ ﺍ

ﻪﻌﻟﺎﻄﻣ ﺞﻳﺎﺘﻧ .ﺪﻧ ﺎـﻬﻧﺁ ﻱ

ﻥﺎـﺸﻧ ﻲـﻣ ـﻫﺩ ﺭﺩ ﻪـﻛ ﺪ

ﻲﻨﻌﻣ ﻭ ﻲﻔﻨﻣ ﺮﺛﺍ ﺖﻔﻧ ﺖﻤﻴﻗ ﺕﺪﻣﺪﻨﻠﺑ .ﺩﺭﺍﺩ ﺭﺍﺩﺎﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮﺑ ﺺﺧﺎﺷ ﺮﺑ ﻱﺭﺍﺩ

) ﻱﺮﻜﺷ ﻭ ﻲﻤﻴﻫﺍﺮﺑﺍ 1391

ﻱﺭﺎﺘﺧﺎـﺳ ﻱﺭﺍﺩﺮـﺑ ﻱﺎﻄﺧ ﺢﻴﺤﺼﺗ ﻱﻮﮕﻟﺍ ﺯﺍ ﻩﺩﺎﻔﺘﺳﺍ ﺎﺑ

) ﻩﺩﺍﺩ ﻭ (SVAR

ﻪﻧﺎﻫﺎﻣ ﻱﺎﻫ 1378

ﻝﺎﺳ ﺎﺗ 1387

، ﻪـﻧﺎﻜﺗ ﻥﺭﺎـﻘﺘﻣﺎﻧ ﺕﺍﺮـﺛﺍ ﻲـﺳﺭﺮﺑ ﻪـﺑ ﻱ

ﻥﺎﻨﻴﻤﻃﺍ ﻞﺻﺍﻮﻓ ﻪﺴﻳﺎﻘﻣ ﻭ ﻞﻴﻜﺸﺗ ﻭ ﻡﺎﻬﺳ ﺖﻤﻴﻗ ﺺﺧﺎﺷ ﺮﺑ ﺖﻔﻧ ﻲﺘﻤﻴﻗ ﻩﺍﺭ ﺩﻮﺧ

ﺯﺍﺪـﻧﺍ ﺭﺩ

ﺘﺧﺍﺩﺮﭘ ﻲﻧﺁ ﺶﻨﻛﺍﻭ ﻊﺑﺍﻮﺗ ﻪ ﺍ

ﻱﺎـﻄﺧ ﺲﻧﺎـﻳﺭﺍﻭ ﻪـﻳﺰﺠﺗ ﻭ ﻲـﻧﺁ ﺶﻨـﻛﺍﻭ ﺯﺍ ﻞـﺻﺎﺣ ﺞﻳﺎـﺘﻧ .ﺪﻧ

ﺶﻴﭘ ﻥﺎﺸﻧ ﻲﻨﻴﺑ ﻲﻣ

ﻫﺩ ﺍﺭ ﻡﺎﻬـﺳ ﺖـﻤﻴﻗ ﺺﺧﺎـﺷ ،ﺖـﻔﻧ ﺖـﻤﻴﻗ ﺖﺒﺜﻣ ﻪﻧﺎﻜﺗ ﺪ

، ﻭ ﺶﻳﺍﺰـﻓﺍ

ﺎﻜﺗ ﻪﻧ ﻱ ﻲﻣ ﺶﻫﺎﻛ ﺍﺭ ﺺﺧﺎﺷ ﻦﻳﺍ ،ﻲﻔﻨﻣ ﻢﻫ .ﺪﻫﺩ

ﺯﺭﺍ ﺥﺮـﻧ ﺮـﻴﻐﺘﻣ ﺯﺍ ﻪﻌﻟﺎﻄﻣ ﻦﻳﺍ ﺭﺩ ﻦﻴﻨﭼ

ﺪﺷ ﻩﺩﺎﻔﺘﺳﺍ ﺰﻴﻧ ﺖﺳﺍ ﻩ

ﻱﺪﻴﻣﺍ . ) ﺭﻮﭘ 1391 (،

ﻪﻌﻟﺎﻄﻣ ﺭﺩ ﺢﻴﺤـﺼﺗ ﻱﻮـﮕﻟﺍ ﺯﺍ ﻩﺩﺎﻔﺘـﺳﺍ ﺎـﺑ ﻱﺍ

ﻱﺭﺍﺩﺮﺑ ﻱﺎﻄﺧ )3

ﻩﺩﺍﺩ ﻭ (VECM

ﻪﻧﻻﺎﺳ ﻱﺎﻫ 1369

ﺎﺗ 1385

، ﺕﺎﻧﺎـﺳﻮﻧ ﺮﻴﺛﺄـﺗ ﻲﺳﺭﺮﺑ ﻪﺑ

ﺮﺑ ﺖﻔﻧ ﺖﻤﻴﻗ ﻩﺩﺯﺎﺑ

ﺍﻭ ﻱ ﻬﺳ ﻲﻌﻗ ﺘﺧﺍﺩﺮﭘ ﻥﺍﺮﻳﺍ ﺩﺎﺼﺘﻗﺍ ﺭﺩ ﻡﺎ ﺖﺳﺍ ﻪ

ﻩﻭﻼـﻋ ﻪـﻌﻟﺎﻄﻣ ﻦﻳﺍ ﺭﺩ .

1.Structural Vector Autoregressive 2. Vector Error Correction Models 3.Vector error Correction Models

(7)

ﺪﺷ ﻩﺩﺎﻔﺘﺳﺍ ﺰﻴﻧ ﻡﺭﻮﺗ ﺥﺮﻧ ﻭ ﺯﺭﺍ ﺥﺮﻧ ﺮﻴﻐﺘﻣ ﺯﺍ ﺖﻔﻧ ﺖﻤﻴﻗ ﺮﺑ ﺖـﺳﺍ ﻩ

ﻥﺎـﺸﻧ ﻪـﻌﻟﺎﻄﻣ ﺞﻳﺎـﺘﻧ .

ﻲﻣ ﻫﺩ ﻩﺎﺗﻮﻛ ﻭ ﺕﺪﻣﺪﻨﻠﺑ ﺭﺩ ﺖﻔﻧ ﺖﻤﻴﻗ ﺕﺎﻧﺎﺳﻮﻧ ﻪﻛ ﺪ ﺕﺍﺮـﺛﺍ ﻡﺎﻬـﺳ ﻲﻌﻗﺍﻭ ﻲﻫﺩﺯﺎﺑ ﺮﺑ ﺕﺪﻣ

ﮓﻧﺍﻭ .ﺩﺭﺍﺩ ﻲﻔﻨﻣ ﺕﺍﺮﺛﺍ ﺕﺪﻣﺪﻨﻠﺑ ﺭﺩ ﺯﺭﺍ ﺥﺮﻧ ﻭ ﺖﺒﺜﻣ ) ﻥﺍﺭﺎـﻜﻤﻫ ﻭ

2013 (،

ﻪـﻌﻟﺎﻄﻣ ﺭﺩ ﻱﺍ

ﻭ ﻩﺪﻨﻨﻛﺭﺩﺎـﺻ ﻱﺎﻫﺭﻮـﺸﻛ ﺭﺩ ﻡﺎﻬـﺳ ﺭﺍﺯﺎـﺑ ﺖـﻴﻟﺎﻌﻓ ﻭ ﺖـﻔﻧ ﺖﻤﻴﻗ ﻙﻮﺷ ﺕﺍﺮﺛﺍ ﻲﺳﺭﺮﺑ ﻪﺑ ﺭﺍﻭ ﻩﺪﻨﻨﻛﺩ ﻱ ﺘﺧﺍﺩﺮﭘ ﺖﻔﻧ ﻪ ﺍ

ﻱﻮﮕﻟﺍ ﺯﺍ ﻪﻌﻟﺎﻄﻣ ﻦﻳﺍ ﺭﺩ .ﺪﻧ ﺳﺮﮔﺭ ﺩﻮﺧ

ﻱﺭﺎﺘﺧﺎـﺳ ﻱﺭﺍﺩﺮـﺑ ﻥﻮﻴ

ﺪﺷ ﻩﺩﺎﻔﺘﺳﺍ ﺖﺳﺍ ﻩ

ﻥﺎﺸﻧ ﺞﻳﺎﺘﻧ . ﻲﻣ

ﻫﺩ ﻩﺪـﻨﻨﻛﺩﺭﺍﻭ ﻪـﺑ ،ﻲﺘﻔﻧ ﻙﻮﺷ ﻱﺩﺎﺼﺘﻗﺍ ﺕﺍﺮﺛﺍ ﻪﻛ ﺪ ﻭ

ﻩﺪﻨﻨﻛﺭﺩﺎﺻ ﺎﻳ ﻱ

ﻢﻫ .ﺩﺭﺍﺩ ﻲﮕﺘﺴﺑ ﻥﺩﻮﺑ ﺖﻔﻧ ﺺﻟﺎﺧ ﺭﺩ ﻲـﺘﻔﻧ ﺖـﻤﻴﻗ ﻙﻮـﺷ ﺕﺍﺮﺛﺍ ،ﻦﻴﻨﭼ

ﻲـﻣ ﺖـﺒﺜﻣ ﻭ ﻩﺪـﻨﻨﻛﺩﺭﺍﻭ ﻱﺎﻫﺭﻮﺸﻛ ﺯﺍ ﺮﺗﺭﺍﺪﻳﺎﭘ ﺖﻔﻧ ﻩﺪﻨﻨﻛﺭﺩﺎﺻ ﻱﺎﻫﺭﻮﺸﻛ ﻭ ﻚـﻟ .ﺪﻨـﺷﺎﺑ

) ﺱﺍﺪﻴﻠﻴﻛﺍﺮﺗﺎﻛ 2013

ﻪﻌﻟﺎﻄﻣ ﺭﺩ ﻕﺍﺭﻭﺍ ﺱﺭﻮـﺑ ﻭ ﺖـﻔﻧ ﺖـﻤﻴﻗ ﻦﻴﺑ ﻁﺎﺒﺗﺭﺍ ﻲﺳﺭﺮﺑ ﻪﺑ ﻱﺍ

ﺘﺧﺍﺩﺮﭘ ﻥﺎﻧﻮﻳ ﺭﺍﺩﺎﻬﺑ ﻪ ﺍ

ﻳﺍ ﺭﺩ .ﺪﻧ ﺮـﺠﻧﺮﮔ ﺖـﻴﻠﻋ ﻭ ﻱﺭﺍﺩﺮـﺑ ﺢﻴـﺿﻮﺗﺩﻮﺧ ﻱﻮـﮕﻟﺍ ﺯﺍ ﻪﻌﻟﺎﻄﻣ ﻦ

1

ﺪﺷ ﻩﺩﺎﻔﺘﺳﺍ ﺖﺳﺍ ﻩ

ﻥﺎﺸﻧ ﻪﻌﻟﺎﻄﻣ ﺞﻳﺎﺘﻧ . ﻲﻣ

ﻫﺩ ﻲـﻨﻌﻣ ﺖـﻴﻠﻋ ﻪﻛ ﺪ ﻭ ﺖـﻤﻴﻗ ﻑﺮـﻃ ﺯﺍ ﻱﺭﺍﺩ

.ﺩﺭﺍﺩ ﺩﻮﺟﻭ ﻥﺎﻧﻮﻳ ﺭﺍﺩﺎﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮﺑ ﺖﻤﺳ ﻪﺑ ﺖﻔﻧ ﺖﻤﻴﻗ ﺕﺎﻧﺎﺳﻮﻧ ) ﻥﺎﻏﻭﺪﻳﺁ ﻭ ﻙﺮﺑ 2012

ﻪﻌﻟﺎﻄﻣ ﺭﺩ ﺱﺭﻮﺑ ﺮﺑ ﺖﻔﻧ ﺖﻤﻴﻗ ﻙﻮﺷ ﺕﺍﺮﺛﺍ ﻲﺳﺭﺮﺑ ﻪﺑ ﻱﺍ

ﺍﺭﻭﺍ ﺘﺧﺍﺩﺮﭘ ﻪﻴﻛﺮﺗ ﺭﺍﺩﺎﻬﺑ ﻕ ﻪ ﺍ

ﻱﺭﺍﺩﺮﺑ ﻱﺎﻄﺧ ﺢﻴﺤﺼﺗ ﻱﻮﮕﻟﺍ ﺯﺍ ﻩﺩﺎﻔﺘﺳﺍ ﺎﺑ ﻪﻌﻟﺎﻄﻣ ﻦﻳﺍ ﺭﺩ .ﺪﻧ

ﻩﺩﺍﺩ ﺯﺍ ﻩﺩﺎﻔﺘﺳﺍ ﺎﺑ ﻭ ﻪﻧﺍﺯﻭﺭ ﻱﺎﻫ

، ﺪـﺷ ﻪـﺘﺧﺍﺩﺮﭘ ﺖﻔﻧ ﺖﻤﻴﻗ ﻙﻮﺷ ﺕﺍﺮﺛﺍ ﻲﺳﺭﺮﺑ ﻪﺑ ﺖـﺳﺍ ﻩ

.

ﻪﻳﺰﺠﺗ ﺞﻳﺎﺘﻧ ﻱ

ﺩﺍﺩ ﻥﺎﺸﻧ ﻱﺭﺍﺩﺮﺑ ﻱﺎﻄﺧ ﺢﻴﺤﺼﺗ ﻱﻮﮕﻟﺍ ﺲﻧﺎﻳﺭﺍﻭ ﺖﺳﺍ ﻩ

ﺖـﻤﻴﻗ ﻙﻮـﺷ ﻪﻛ

ﻮﺑ ﺺﺧﺎﺷ ﺮﺑ ﻲﻛﺪﻧﺍ ﺕﺍﺮﺛﺍ ﺖﻔﻧ ) ﻥﺍﺭﺎـﻜﻤﻫ ﻭ ﺮﻴـﺸﺑ .ﺩﺭﺍﺩ ﻪـﻴﻛﺮﺗ ﺭﺍﺩﺎﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭ

2011 (،

ﻪﻌﻟﺎﻄﻣ ﺭﺩ ﻱﺎﻫﺩﺎـﺼﺘﻗﺍ ﻡﺎﻬـﺳ ﺭﺍﺯﺎـﺑ ﺎﺑ ﻡﺎﺧ ﺖﻔﻧ ﺖﻤﻴﻗ ﻭ ﺯﺭﺍ ﺥﺮﻧ ﻦﻴﺑ ﻁﺎﺒﺗﺭﺍ ﻲﺳﺭﺮﺑ ﻪﺑ ﻱﺍ

ﺘﺧﺍﺩﺮﭘ ﺭﻮﻬﻇﻮﻧ ﻪ ﺍ

ﻱﻮـﮕﻟﺍ ﺯﺍ ﺎـﻳﻮﭘ ﺕﺎـﻃﺎﺒﺗﺭﺍ ﻥﺩﺭﻭﺁ ﺖـﺳﺩ ﻪـﺑ ﻱﺍﺮـﺑ ﻪـﻌﻟﺎﻄﻣ ﻦـﻳﺍ ﺭﺩ .ﺪـﻧ

ﺪـﺷ ﻩﺩﺎﻔﺘﺳﺍ ﻱﺭﺎﺘﺧﺎﺳ ﻱﺭﺍﺩﺮﺑ ﺢﻴﺿﻮﺗﺩﻮﺧ ﺖـﺳﺍ ﻩ

. ﺎﻄﻣ ﺞﻳﺎـﺘﻧ ﻥﺎـﺸﻧ ﻪـﻌﻟ

ﻲـﻣ ـﻫﺩ ﻪـﻛ ﺪ

ﻙﻮﺷ ﺖﻔﻧ ﺖﻤﻴﻗ ﺖﺒﺜﻣ ﻱﺎﻫ ﺐﺒﺳ

ﺯﺭﺍ ﺥﺮـﻧ ﺵﺯﺭﺍ ﻭ ﺭﺍﺩﺎـﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮـﺑ ﺺﺧﺎﺷ ﺶﻫﺎﻛ

ﻩﺎﺗﻮﻛ ﺭﺩ ﺭﻮﻬﻇﻮﻧ ﻱﺎﻫﺩﺎﺼﺘﻗﺍ ﻣ ﺕﺪﻣ

ﻲ ﻲﻣ ﻥﺎﺸﻧ ﺞﻳﺎﺘﻧ ،ﻥﺁﺮﺑ ﻥﻭﺰﻓﺍ .ﺩﻮﺷ ـﻫﺩ

ﺶﻳﺍﺰـﻓﺍ ﻪـﻛ ﺪ

ﻲﻣ ﺖﻔﻧ ﺖﻤﻴﻗ ﺶﻳﺍﺰﻓﺍ ﻪﺑ ﺮﺠﻨﻣ ﺭﻮﻬﻇﻮﻧ ﻱﺎﻫﺩﺎﺼﺘﻗﺍ ﺭﺍﺩﺎﻬﺑ ﻕﺍﺭﻭﺍ ﺺﺧﺎﺷ .ﺩﻮﺷ

ﺍ ﺭﻮﺸﻛ ﻪﻜﻨﻳﺍ ﻪﺑ ﻪﺟﻮﺗ ﺎﺑ ﻩﺩﻮـﺑ ﻥﺎﻬﺟ ﺭﺩ ﺖﻔﻧ ﻲﻠﺻﺍ ﻥﺎﮔﺪﻨﻨﻛﺭﺩﺎﺻ ءﺰﺟ ﻥﺍﺮﻳ

ﺖـﺳﺍ ﻭ

ﺪﻴﻟﻮﺗ ﻭ ﺭﻮﺸﻛ ﻲﺗﺍﺭﺩﺎﺻ ﻱﺎﻫﺪﻣﺁﺭﺩ ﺯﺍ ﻲﻬﺟﻮﺗ ﻞﺑﺎﻗ ﺶﺨﺑ ﺺﻟﺎﺧﺎﻧ

ﺯﺍ ﻲﻠﺧﺍﺩ ﺮﻃ

ﺵﻭﺮـﻓ ﻖﻳ

ﻲﻣ ﻦﻴﻣﺄﺗ ﺖﻔﻧ ﻥﻼـﻛ ﻱﺎـﻫﺮﻴﻐﺘﻣ ﺮﺑ ﻲﻬﺟﻮﺗ ﻞﺑﺎﻗ ﺕﺍﺮﺛﺍ ﻝﻮﺼﺤﻣ ﻦﻳﺍ ﺖﻤﻴﻗ ﻦﻳﺍﺮﺑﺎﻨﺑ ،ﺩﻮﺷ

ﺶﺨﺑ ﺯﺍ ﻲﻜﻳ .ﺩﺭﺍﺩ ﺭﻮﺸﻛ ﻱﺩﺎﺼﺘﻗﺍ ـﺛﺍ ﻪﻛ ﺭﻮﺸﻛ ﻱﺩﺎﺼﺘﻗﺍ ﻥﻼﻛ ﻱﺎﻫ

ﺯﺍ ﻲﻬﺟﻮـﺗ ﻞـﺑﺎﻗ ﺕﺍﺮ

1.Granger-causality tests

(8)

ﻲﻣ ﺖﻔﻧ ﺖﻤﻴﻗ ﺩﺮﻳﺬﭘ

، ﻭ ﻪﻳﺎﻣﺮـﺳ ﺭﺍﺯﺎﺑ ﻪـﺑ

ﻩﮋـﻳﻭ ﻲـﻣ ﺭﻮـﺸﻛ ﺭﺍﺩﺎـﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮـﺑ ﺭﺩ .ﺪـﺷﺎﺑ

ﻲﻔﻠﺘﺨﻣ ﻱﺎﻳﺍﻭﺯ ﺯﺍ ﻭ ﻩﺪﺷ ﻪﻠﺌﺴﻣ ﻦﻳﺍ ﻪﺑ ﻱﺩﺎﻳﺯ ﻪﺟﻮﺗ ﻪﺘﺷﺬﮔ ﺕﺎﻌﻟﺎﻄﻣ ﻲﺳﺭﺮﺑ

.ﺖـﺳﺍ ﻩﺪﺷ

ﻪﻌﻟﺎﻄﻣ ﻦﻳﺍ ﺭﺩ ﺎﻣﺍ

، ﻑﺪﻫ

، ﻲـﻣ ﻲﻧﺎﻬﺟ ﺩﺎﺼﺘﻗﺍ ﺖﻴﻌﺿﻭ ﻚﻴﻜﻔﺗ ﻪﺑ ﻁﺎﺒﺗﺭﺍ ﻦﻳﺍ ﻲﺳﺭﺮﺑ .ﺪـﺷﺎﺑ

ﻦﻳﺍ ﺭﺩ ﻲﻣ ﻦﻳﻭﺪﺗ ﻮﻳﺭﺎﻨﺳ ﻭﺩ ﺎﺘﺳﺍﺭ ﻮﻳﺭﺎﻨـﺳ ﺭﺩ .ﺩﻮﺷ

ﻱ ﺱﺭﻮـﺑ ﺺﺧﺎـﺷ ﻦﻴـﺑ ﻁﺎـﺒﺗﺭﺍ ،ﻝﻭﺍ

ﻭ ﺖﻔﻧ ﺖﻤﻴﻗ ﻦﻳﺮﺘﺸﻴﺑ ﺎﺗ ﻩﺭﻭﺩ ﻱﺍﺪﺘﺑﺍ ﺯﺍ ﺖﻔﻧ ﺖﻤﻴﻗ ﻭ ﺯﺭﺍ ﺥﺮﻧ ﺎﺑ ﺭﺍﺩﺎﻬﺑ ﻕﺍﺭﻭﺍ ﺭﺎﻨﺳ ﺭﺩ

ﻮﻳ ﻱ

ﺖـﻔﻧ ﺖﻤﻴﻗ ﻲﻟﻭﺰﻧ ﺪﻧﻭﺭ ﺯﺍ ﺯﺭﺍ ﺥﺮﻧ ﻭ ﺖﻔﻧ ﺖﻤﻴﻗ ﺎﺑ ﺭﺍﺩﺎﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮﺑ ﺺﺧﺎﺷ ﻁﺎﺒﺗﺭﺍ ﻡﻭﺩ ﻲﻣ ﻲﺳﺭﺮﺑ ﻩﺭﻭﺩ ﻱﺎﻬﺘﻧﺍ ﺎﺗ ﺩﻮﺷ

ﻑﺪﻫ . ﻦﻳﺍ ﺭﺍﺩﺎـﻬﺑ ﻕﺍﺭﻭﺍ ﺺﺧﺎـﺷ ﺶﻨـﻛﺍﻭ ﻲـﺳﺭﺮﺑ ﻪﻌﻟﺎﻄﻣ

ﻩﺭﻭﺩ ﻭﺩ ﺭﺩ ﺖﻔﻧ ﺖﻤﻴﻗ ﺶﻫﺎﻛ ﻭ ﺶﻳﺍﺰﻓﺍ ﻪﺑ ﺖﺒﺴﻧ ﻱﺩﻮﻌـﺻ ﺪـﻧﻭﺭ ﺖﻔﻧ ﺖﻤﻴﻗ ﻪﻛ ﺖﺳﺍ ﻱﺍ

ﻪﺴﻳﺎﻘﻣ ﻭ ﻪﺘﺷﺍﺩ ﻱ

ﻩﺭﻭﺩ ﺎﺑ ﻥﺁ ﻲﻣ ،ﻪﺘﺷﺍﺩ ﻲﻟﻭﺰﻧ ﺪﻧﻭﺭ ﺖﻔﻧ ﺖﻤﻴﻗ ﻪﻛ ﻱﺍ

ﻢـﻫ .ﺪـﺷﺎﺑ ﻦﻴـﻨﭼ

ﻱﻮﮕﻟﺍ ﻪﻌﻟﺎﻄﻣ ﻦﻳﺍ ﺭﺩ ﻩﺪﺷ ﻩﺩﺎﻔﺘﺳﺍ ﺵﻭﺭ ﺭﺍﻭ

ﻲﻃﺮﺷ ﺲﻧﺎﻳ ﻤﻌﺗ

ﻢﻴ ﻓﺎﻳ ﻪﺘ ﻱ ﻪﻧﺎﮔﺪﻨﭼ )1

MV-

GARCH

ﺖﺳﺍ ( .

ﺶﻫﻭﮋﭘ ﺵﻭﺭ ﺮﻈﻧ ﺯﺍ ﺖـﻴﻌﻗﺍﻭ ﻦـﻳﺍ ﻪﺑ ﺭﺍﺯﺎﺑ ﺪﻨﭼ ﻦﻴﺑ ﺖﻤﻴﻗ ﻥﺎﺳﻮﻧ ﻝﺎﻘﺘﻧﺍ ﺕﺍﺮﺛﺍ ﻦﻴﮕﻧﺎﻴﻣ ،ﻱﺩﺎﺼﺘﻗﺍ

ﻩﺭﺎﺷﺍ ﻩﺭﻭﺩ ﻥﺎﺳﻮﻧ ﺮﻴﺛﺄﺗ ﺖﺤﺗ ﺎﻬﻨﺗ ﻪﻧ ﺭﺍﺯﺎﺑ ﻚﻳ ﺭﺩ ﺖﻤﻴﻗ ﻪﻛ ﺩﺭﺍﺩ ﻪﺘﺷﺬﮔ ﻱﺎﻫ

ﻱ ﺭﺍﺮﻗ ﺩﻮﺧ

ﻲﻣ ﻂﺒﺗﺮﻣ ﻱﺎﻫﺭﺍﺯﺎﺑ ﺮﻳﺎﺳ ﺭﺩ ﺖﻤﻴﻗ ﻥﺎﺳﻮﻧ ﺮﻴﺛﺄﺗ ﺖﺤﺗ ﻪﻜﻠﺑ ،ﺩﺮﻴﮔ ﻲﻣ

،ﺕﺪـﻣﺯﺍﺭﺩ ﺭﺩ .ﺪـﺷﺎﺑ

ﻥﺎـﺳﻮﻧ ﺎـﻳﺁ ﻪـﻜﻨﻳﺍ ﻲﺑﺎـﻳﺯﺭﺍ ﺭﺩ ﺍﺭ ﻲﻤﻬﻣ ﺶﻘﻧ ﺖﻤﻴﻗ ﻥﺎﺳﻮﻧ ﺰﻳﺭﺮﺳ ﺕﺍﺮﺛﺍ ﻦﻴﮕﻧﺎﻴﻣ ﻥﻮﻣﺯﺁ ﻲـﻣ ﺖﻤﻴﻗ ﻥﺎﺳﻮﻧ ﺎﻳﺁ ﻪﻜﻨﻳﺍ ﻭ ﺖﺳﺍ ﻢﻬﻣ ﻒﻠﺘﺨﻣ ﻱﺎﻫﺭﺍﺯﺎﺑ ﺭﺩ ﺖﻤﻴﻗ ﺶﻴـﭘ ﻪـﺑ ﺪـﻧﺍﻮﺗ

ﻲـﻨﻴﺑ

ﻲـﻣ ﺎـﻔﻳﺍ ،ﺩﻮـﺷ ﺮـﺠﻨﻣ ﻩﺪﻨﻳﺁ ﺕﻼﻳﺎﻤﺗ ﺪـﻨﻛ

) ،ﻲﻗﺎﻴﺘـﺷﺍ 1391

ﻩﺩﺎـﺳ .(

ﻱﺍﺮـﺑ ﻝﺪـﻣ ﻦﻳﺮـﺗ

ﻪﺒﺳﺎﺤﻣ ﻱ ﺪﻧﺍ ﻩﺯﺍ ﻱ ﺕﺎﻧﺎﺳﻮﻧ

، ﻪـﺑ ﻪﺘـﺷﺬﮔ ﺕﺎﻧﺎـﺳﻮﻧ .ﺖـﺳﺍ ﻪﺘـﺷﺬﮔ ﺕﺎـﻋﻼﻃﺍ ﺯﺍ ﻩﺩﺎﻔﺘـﺳﺍ

ﻪﺒﺳﺎﺤﻣ ﻖﻳﺮﻃ ﺯﺍ ﻲﮔﺩﺎﺳ ﻱ

ﺲﻧﺎﻳﺭﺍﻭ )

ﻩﺭﻭﺩ ﺯﺍ ﻲـﺧﺮﺑ (ﺩﺭﺍﺪﻧﺎﺘﺳﺍ ﻱﺎﻄﺧ ﻪـﺑ ﻪﺘـﺷﺬﮔ ﻱﺎـﻫ

ﻲﻣ ﺖﺳﺩ ﻪﻛ ﺖﺳﺍ ﺐﺳﺎﻨﻣ ﺵﻭﺭ ﻚﻳ ﻦﻳﺍ ﻭ ﺪﻳﺁ

ﻥﺁ ﺯﺍ ﻩﺩﺎﻔﺘﺳﺍ ﺎﺑ ﻲﻣ

ﻱﺍﺮـﺑ ﺍﺭ ﻥﺎـﺳﻮﻧ ﻥﺍﻮـﺗ

ﻪﻤﻫ ﻩﺭﻭﺩ ﻱ ﺶﻴﭘ ﻩﺪﻨﻳﺁ ﻱﺎﻫ ﻡﻮـﺳﺮﻣ ﺵﻭﺭ .ﺩﺮﻛ ﻲﻨﻴﺑ

ﺖـﻤﻴﻗ ﺕﺎﻧﺎـﺳﻮﻧ ﻱﺍﺮـﺑ ﻪﺘـﺷﺬﮔ ﺭﺩ

ﻝﺪﻣ ﺐﺴﺣﺮﺑ ﻩﺩﺎﻬﻧ ﻪﺘﺷﺬﮔ ﺲﻧﺎﻳﺭﺍﻭ ﻦﻴﮕﻧﺎﻴﻣ ﺯﺍ ﻩﺩﺎﻔﺘﺳﺍ ﺎﺑ ﻪﻠﻣﺎﻌﻣ ﺭﺎﻴﺘﺧﺍ ﻱﺎﻫﺩﺍﺩﺭﺍﺮﻗ ﻱﺎﻫ

) ﻥﺎﺸﻧ ﺩﻮﺟﻮﻣ ﺪﻫﺍﻮﺷ .ﺖﺳﺍ ﻩﺩﻮﺑ (ﺩﺭﺍﺪﻧﺎﺘﺳﺍ ﻱﺎﻄﺧ ﻩﺪﻨﻫﺩ

ﻱ ﺶﻴﭘ ﺭﺩ ﺪﺷﺭ ﺕﺎﻧﺎـﺳﻮﻧ ﻲﻨﻴﺑ

ﻲﻣ ﺶﻴـﭘ ﻱﺍﺮـﺑ ﺪﺷﺭ ﻦﻳﺍ ﻪﻛ ﺪﺷﺎﺑ ﺕﺎﻧﺎـﺳﻮﻧ ﻲـﻨﻴﺑ

، ﻝﺪـﻣ ﺯﺍ ﻩﺩﺎﻔﺘـﺳﺍ ﻲﻧﺎـﻣﺯ ﻱﺮـﺳ ﻱﺎـﻫ

1.Multivariate GARCH

(9)

ﻩﺪﻴﭽﻴﭘ ﻲﻣ ﺩﺎﻬﻨﺸﻴﭘ ﺍﺭ ﺮﺗ ﻪﺘﺷﺬﮔ ﺕﺎﻧﺎﺳﻮﻧ .ﺪﻨﻛ

، ﻤﻫ ﻩﺭﺍﻮ ﻪﺴﻳﺎﻘﻣ ﻱﺍﺮﺑ ﻱ

ﺶﻴﭘ ﻲﻳﺎﻧﺍﻮﺗ ﻲـﻨﻴﺑ

ﻝﺪﻣ ﺮﺘﺸﻴﺑ ﻲﻣ ﻱﺪﻨﻣﺩﻮﺳ ﺭﺎﻴﻌﻣ ﻲﻧﺎﻣﺯ ﻱﺮﺳ ﻩﺪﻴﭽﻴﭘ ﻱﺎﻫ

،ﺲﻛﻭﺮﺑ) ﺪﺷﺎﺑ 2008

.(

ﻩﺩﺎﻔﺘﺳﺍ ﻱﺎﻳﺍﺰﻣ ﻱ

) ﻞـﺜﻣ ﻪﺘﺷﺬﮔ ﺕﺎﻌﻟﺎﻄﻣ ﺭﺩ ﻪﻛ ﻲﻳﺎﻫﻮﮕﻟﺍ ﻪﺑ ﺖﺒﺴﻧ ﻮﮕﻟﺍ ﻦﻳﺍ

VAR

(SVAR

ﻪـﻛ ﺖـﺳﺍ ﻦـﻳﺍ ﺭﺩ ﻩﺪـﺷ ﻩﺩﺎﻔﺘﺳﺍ ﻱﺎـﻫﻮﮕﻟﺍ

MV-GARCH

ﻪـﻜﻨﻳﺍ ﺽﺮـﻓ ﺎـﺑ

ﻲﻤﻧ ﺖﺑﺎﺛ ﻥﺎﻣﺯ ﻝﻮﻃ ﺭﺩ ﻝﻼﺧﺍ ﻱﺍﺰﺟﺍ ﺲﻧﺎﻳﺭﺍﻭ ﻦﻴﻤﺨﺗ ،ﺪﺷﺎﺑ

ﻖـﻴﻗﺩ ﻱﺎﻫ ﻪـﺑ ﺖﺒـﺴﻧ ﻱﺮـﺗ

ﻪﺒـﺳﺎﺤﻣ ﺭﺩ ﺎﻫﻮﮕﻟﺍ ﺮﮕﻳﺩ ﻱ

ﻲـﻣ ﺖـﺳﺩ ﻪـﺑ ﻙﻮـﺷ ،ﺯﺭﺪـﻧﺍ) ﺪـﻧﺭﻭﺁ

2010 .(

ﻝﺪـﻣ ﺭﺩ ﻱﺎـﻫ

ﺠﻨﺳﺩﺎﺼﺘﻗﺍ ﻞـﻛ ﺭﺩ ﻝﻼﺧﺍ ﻱﺍﺰﺟﺍ ﺲﻧﺎﻳﺭﺍﻭ ﻪﻛ ﺖﺳﺍ ﻥﺁ ﺮﺑ ﺽﺮﻓ ،ﻡﻮﺳﺮﻣ ﻲ

ﻩﺭﻭﺩ ﻱ ﻲﻧﺎـﻣﺯ

ﺛ ﻪﻧﻮﻤﻧ ﺖﺳﺍ ﺖﺑﺎ ؛

ﻱﺮﺳ ﺯﺍ ﻲﺧﺮﺑ ﺭﺩ ﺎﻣﺍ ﻩﺭﻭﺩ ﺭﺩ ﻲﻧﺎـﻣﺯ ﻱﺎـﻫ

ﻱﺪﻳﺪـﺷ ﺕﺎﻧﺎـﺳﻮﻧ ﺎـﺑ ﻲﻳﺎـﻫ

ﻩﺭﻭﺩ ﺭﺩ ﻭ ﻩﺩﻮﺑ ﻩﺍﺮﻤﻫ ﺮـﺳ ﺖﺸﭘ ﺍﺭ ﻲﻛﺪﻧﺍ ﺕﺎﻧﺎﺳﻮﻧ ﻲﻳﺎﻫ

ﻲـﻣ ﺪـﻧﺭﺍﺬﮔ ﻂﻳﺍﺮـﺷ ﻦـﻳﺍ ﺖـﺤﺗ .

ﺩﻮـﺑ ﺪـﻫﺍﻮﺨﻧ ﻝﻮـﻘﻌﻣ ﻥﺍﺪـﻨﭼ ﻲﻧﺎﺴﻤﻫ ﺲﻧﺎﻳﺭﺍﻭ ﺎﻳ ﺖﺑﺎﺛ ﺲﻧﺎﻳﺭﺍﻭ ﺩﻮﺟﻭ ﺽﺮﻓ

، ﺮـﮕﻳﺩ ﺍﺬـﻟ

ﻲﻤﻧ ﺽﺮﻓ ﻪﻛ ﻡﻮﺳﺮﻣ ﻱﺎﻫﻮﮕﻟﺍ ﺯﺍ ﻥﺍﻮﺗ ﺯ

ﻱﺎﻨﺑﺮﻳ ﻥﺁ ﻝﻼـﺧﺍ ﻱﺍﺰـﺟﺍ ﺲﻧﺎـﻳﺭﺍﻭ ﻥﺩﻮﺑ ﺖﺑﺎﺛ ﺎﻫ

.ﺩﺮﻛ ﻩﺩﺎﻔﺘﺳﺍ ﺖﺳﺍ ﻝﺪﻣ ﺭﺩ

) ﻲﻃﺮﺷ ﻲﻧﺎﺴﻤﻫﺎﻧ ﺲﻧﺎﻳﺭﺍﻭ ﻱﺎﻫ ﺎـﻳARCH

GARCH

ﻦـﻳﺍ (

ﻲﻣ ﺩﺎﺠﻳﺍ ﻥﺎﻜﻣﺍ ﻪـﻟﺎﺒﻧﺩ ،ﻪﺘـﺷﺬﮔ ﺮﻳﺩﺎـﻘﻣ ﻪـﺑ ﻪﺘﺴﺑﺍﻭ ﻱﺮﺳ ﻚﻳ ﻲﻃﺮﺷ ﺲﻧﺎﻳﺭﺍﻭ ﻪﻛ ﺩﻮﺷ

ﺭﺩ ﻝﻼﺧﺍ ءﺰﺟ ﻲﻠﻌﻓ ﺭﺍﺪﻘﻣ ﻥﺩﻮﺑ ﺩﺎﻳﺯ .ﺪﺷﺎﺑ ﺎﻄﺧ ﻩﺭﻭﺩ

ﻱ ﺲﻧﺎـﻳﺭﺍﻭ ﺶﻳﺍﺰـﻓﺍ ﺐـﺟﻮﻣ ﻝﺎـﺣ

ﻩﺭﻭﺩ ﺭﺩ ﻲﻃﺮﺷ ﻲﻃﺮـﺷ ﺲﻧﺎـﻳﺭﺍﻭ ،ﺕﺎﺒﺛ ﺎﺑ ﺪﻨﻳﺁﺮﻓ ﻚﻳ ﺭﺩ .ﺪﺷ ﺪﻫﺍﻮﺧ ﻲﺗﺁ ﻱﺎﻫ

ﻪـﺑ ﺭﺪـﺗ ﺞﻳ

ﻪﺑ ﻞﻳﺎﻤﺘﻣ (ﻲﻃﺮﺷﺮﻴﻏ) ﺕﺪﻣﺪﻨﻠﺑ ﺲﻧﺎﻳﺭﺍﻭ ﺖﻤﺳ ﻲـﻣ

ـﺷ ﻮ ﺯﺍ ﻩﺩﺎﻔﺘـﺳﺍ ﺎـﺑ ﺐـﻴﺗﺮﺗ ﻦﻳﺪـﺑ .ﺩ

ﻝﺪﻣ ﻱﺎﻫ ﻭARCH GARCH

، ﻲﻣ ﻩﺭﻭﺩ ﺩﻮﺟﻭ ﻥﺍﻮﺗ ﻱﺮـﺳ ﻚﻳ ﺭﺩ ﺍﺭ ﻥﺎﺳﻮﻧ ﻭ ﻥﻮﻜﺳ ﻱﺎﻫ

ﻩﺩﺍﺩ ﺯﺍ ﺩﺍﺩ ﺢﻴﺿﻮﺗ ﺎﻫ ،ﺯﺭﺪﻧﺍ)

2010 .(

ﻣ ﻝﺪ ـﺿﻮﺗ ﺩﻮـﺧ ﻲﻃﺮـﺷ ﻲﻧﺎـﺴﻤﻫﺎﻧ ﺲﻧﺎـﻳﺭﺍﻭ ﻲﺤﻴ

) ) ﻞﮕﻧﺍ ﻂﺳﻮﺗ ﺭﺎﺑ ﻦﻴﻟﻭﺍ ﻪﻛ (ARCH

1982 ﺪﺷ ﺡﺮﻄﻣ (

،ﺖﺳﺍ ﻩ ﻲﻣﻮﻤﻋ ﻱﺍﺮـﺑ ﺵﻭﺭ ﻦﻳﺮـﺗ

ﻝﺪﻣ ﻩﺩﺍﺩ ﻱﺮﻳﺬﭘﺮﻴﻴﻐﺗ ﻭ ﺕﺎﻧﺎﺳﻮﻧ ﻱﺯﺎﺳ ﺩﺎﻳﺯ ﻲﻧﺍﻭﺍﺮﻓ ﺎﺑ ﻲﻧﺎﻣﺯ ﻱﺮﺳ ﻱﺎﻫ

ﻲﻣ ﻮﻠـﺳﺮﻟﺎﺑ .ﺪﺷﺎﺑ

) 1986 (،

ﺘﺴﻧﺍﻮﺗ ﺖﺳﺍ ﻪ ﻪﻴﻟﻭﺍ ﻱﻮﮕﻟﺍ ﻱ

ﺪﻫﺩ ﻪﻌﺳﻮﺗ ﺍﺭ ﻞﮕﻧﺍ ﻂﺳﻮﺗ ﻩﺪﺷ ﻪﺋﺍﺭﺍ ﺍﺭ ﻲـﺷﻭﺭ ﻱﻭ .

ﻉﺍﺪﺑﺍ ﺖﺳﺍ ﻩﺩﺮﻛ ﻪﻛ

ﺱﺎﺳﺍ ﺮﺑ ﻲﻣ ﻲﻃﺮﺷ ﺲﻧﺎﻳﺭﺍﻭ ﻥﺁ

ﺪـﻨﻳﺁﺮﻓ ﻚـﻳ ﺪـﻧﺍﻮﺗ .ﺪـﺷﺎﺑARMA

ﻪﺑ ﻲﻠﻛ ﺭﻮﻃ ﻣ

ﻲ ﻪﻟﺩﺎﻌﻣ ﻥﺍﻮﺗ ﻪﻳﺎﭘ ﻱ

) (q,p GARCH

ﻥﺎﻴﺑ ﺮﻳﺯ ﺕﺭﻮﺻ ﻪﺑ ﺍﺭ ﺮﻛ

:ﺩ

) 2 (

, zt ̰ NID (0,1)

Yt=μt +σtzt

μt = a +σ୧ୀଵ„iXi,

ɐ = D0+D1H୲ିଵ +…+DqH୲ି୯ +E1ɐ୲ିଵ ͐+Epɐ୲ି୮

) 3 (

, εt ̰ NID (0,Ht)

= D0୧ୀଵDiH୲ି୧ ୧ୀଵEiɐ୲ି୧

(10)

ﺩ ﻪﻟﺩﺎﻌﻣ ﺭ ﻱ ،ﻕﻮﻓ

Yt

ﺐﻳﺍﺮـﺿ ﻭ ﻲﺤﻴـﺿﻮﺗ ﻱﺎـﻫﺮﻴﻐﺘﻣ ﻪـﺑ ﻪـﻛ ﻩﺩﻮﺑ ﻲﻃﺮﺷ ﻦﻴﮕﻧﺎﻴﻣ

ﻥﺁ .ﺩﺭﺍﺩ ﻲﮕﺘﺴﺑ ﺎﻫ

Xi,t

ﻲﺤﻴـﺿﻮﺗ ﻱﺎﻫﺮﻴﻐﺘﻣ ﻞﻣﺎﺷ ﺖـﺳﺍ

ﻪـﻛ ﺪـﻧﺮﻴﮔﺮﺑﺭﺩ ﻩ

ﻱ ﻱﺎـﻫﺮﻴﻐﺘﻣ

ﻥﻭﺮﺑ ﺍﺯ ﻱﺎﻫﺮﻴﻐﺘﻣ ﻭ ﻥﻭﺭﺩ

ﺍﺯ ﻲﻣ ﻪﻔﻗﻭ ﺎﺑ ﻱ .ﺪﺷﺎﺑ

zt

ﻝﻼﺧﺍ ءﺰﺟ ﺰﻴﻧ ﺖـﺳﺍ

ﻊـﻳﺯﻮﺗ ﻱﺍﺭﺍﺩ ﻪـﻛ

ﻞﻘﺘﺴﻣ ﻭ ﻥﺎﺴﻜﻳ ﻣ1

ﻲ ﻂﺳﻮﺗ ﺖﺒﺜﻣ ﺕﺎﻧﺎﺳﻮﻧ ﺪﻨﻳﺁﺮﻓ .ﺪﺷﺎﺑ

Ht

ﻲـﻣ ﺺﺨـﺸﻣ ﻪـﻛ ﺩﻮـﺷ

Ht

ﻒﻠﺘﺨﻣ ﻝﺪﻣ ﻂﺳﻮﺗ ﻭARCH

GARCH

ﻲﻣ ﺖﺳﺩ ﻪﺑ ﻦﻴﮕﻧﺎـﻴﻣ ﻪـﻟﺩﺎﻌﻣ ﻝﻼـﺧﺍ ءﺰﺟ .ﺪﻳﺁ

ﺏﺮﺿ ﺯﺍ ﻩﺪﺷ ﻞﻳﺪﻌﺗ

Ht

ﺭﺩ

zt

ﻲﻣ ﺖﺳﺩ ﻪﺑ ﻪﻟﺩﺎﻌﻣ ﺭﺩ .ﺪﻳﺁ

ﻱ 2

، ﻱﺎﻫﺮﺘﻣﺍﺭﺎﭘ ،w

Ⱦq

،...،

Ⱦ1

ߙp

،...،

ߙ1

ﻝﺪﻣ .ﺪﻧﻮﺷ ﻪﺒﺳﺎﺤﻣ ﺪﻳﺎﺑ ﻚﺗ ﻱﺎﻫ

ﻩﺮﻴﻐﺘﻣ

GARCH

ﻝﺪﻣ ﻪﺑ ﺭﺩﺎﻗ ﺎﻬﻨﺗ ﻚـﻳ ﻱﺯﺎﺳ

ﻲﻣ ﻲﻧﺎﻣﺯ ﻱﺮﺳ ﻦﺑ .ﺪﻨﺷﺎﺑ

؛ ﻲﻣﺎﮕﻨﻫ ﻦﻳﺍﺭ ﻲـﻣ ﺡﺮـﻄﻣ ﺖـﻤﻴﻗ ﻥﺎﺳﻮﻧ ﻝﺎﻘﺘﻧﺍ ﺚﺤﺑ ﻪﻛ

ﺩﻮـﺷ

ﻝﺪﻣ ﻲﺘﺴﻳﺎﺑ ﻱﺎﻫ

GARCH

ﺡﺮﻄﻣ ﻩﺮﻴﻐﺘﻣﺪﻨﭼ ﺕﺭﻮﺻ ﻪﺑ ﻮﺷ

ﺮـﻫ ﻥﺎﺳﻮﻧ ﺕﺍﺮﺛﺍ ﺪﻧﺍﻮﺘﺑ ﺎﺗ ﺪﻧ

ﻩﺯﺍﺪﻧﺍ ﺮﮕﻳﺩ ﺮﻴﻐﺘﻣ ﻲﻃﺮﺷ ﺲﻧﺎﻳﺭﺍﻭ ﻪﻟﺩﺎﻌﻣ ﺭﺩ ﺍﺭ ﺮﻴﻐﺘﻣ ﻪـﺠﻴﺘﻧ ﺭﺩ .ﺪـﻨﻛ ﻱﺮـﻴﮔ

ﻪـﺑ ﺭﻮـﻈﻨﻣ

ﻩﺯﺍﺪﻧﺍ ﻥﺎـﺳﻮﻧ ﻝﺎـﻘﺘﻧﺍ ﺕﺍﺮـﺛﺍ ﻱﺮﻴﮔ

، ﻱﺎـﻫﻮﮕﻟﺍ ﺯﺍ ﻲﺘـﺴﻳﺎﺑ

GARCH

ﻩﺮﻴﻐﺘﻣﺪـﻨﭼ )2

MV-

GARCH

ﺘﻓﺮﮔ ﻩﺮﻬﺑ ( ﺩﻮﺷ ﻪ

ﻝﺪﻣ ﻚﻳ ﺢﻳﺮﺼﺗ ﺭﺩ .

MV-GARCH

، ﺖـﺴﺨﻧ ﻪﻛ ﺖﺳﺍ ﻡﺯﻻ

ﻝﺪﻣ ﻥﺁ ﺭﺪﻗ ﻧﺍ ﻑﺎﻄﻌ .ﺪﻫﺩ ﻥﺎﺸﻧ ﺍﺭ ﻲﻃﺮﺷ ﺲﻧﺎﻳﺭﺍﻭﻮﻛ ﺲﻳﺮﺗﺎﻣ ﻲﻳﺎﻳﻮﭘ ﺪﻧﺍﻮﺘﺑ ﻪﻛ ﺪﺷﺎﺑ ﺮﻳﺬﭘ

ﻝﺪﻣ ﻚﻳ ﻱﺎﻫﺮﺘﻣﺍﺭﺎﭘ ﺩﺍﺪﻌﺗ ﻪﻛ ﻲﻳﺎﺠﻧﺁ ﺯﺍ ﻪﻜﻨﻳﺍ ﻡﻭﺩ

MV-GARCH

ﻝﺪـﻣ ﺪـﻌﺑ ﺶﻳﺍﺰﻓﺍ ﺎﺑ

ﻲﻣ ﺶﻳﺍﺰﻓﺍ ﻊﻳﺮﺳ ﻲﻠﻴﺧ ﻪـﺑ ﻁﺮـﺷ ﺪﻳﺎﺑ ﻝﺪﻣ ﺢﻳﺮﺼﺗ ﻦﻳﺍﺮﺑﺎﻨﺑ ،ﺪﺑﺎﻳ

ﺩﺭﻭﺁﺮـﺑ ﺍﺭ ﻥﺩﻮـﺑ ﻪﻓﺮـﺻ

ﻨﻛ ﺷ ﻱﺭﺍﺮﻗﺮﺑ ﻪﻛ ﺖﺷﺍﺩ ﻪﺟﻮﺗ ﺪﻳﺎﺑ ﻪﺘﺒﻟﺍ .ﺪ ﻪﺑ ﻁﺮ

ﻥﺩﻮﺑ ﻪﻓﺮﺻ ﺭﺩ

ﺑ ﺶﻴ ﺮـﺗ ﻂـﻠﻏ ﺢﻳﺮـﺼﺗ ﺎـﺑ

ﻢﻫ .ﺩﻮﺑ ﺪﻫﺍﻮﺧ ﻩﺍﺮﻤﻫ ﻝﺪﻣ ﻝﺪـﻣ ﻚـﻳ ﺢﻳﺮﺼﺗ ﺮﮕﻳﺩ ﻂﻳﺍﺮﺷ ﺯﺍ ﻪﻛ ﺖﺷﺍﺩ ﻪﺟﻮﺗ ﺪﻳﺎﺑ ﻦﻴﻨﭼ

MV-GARCH

ﻪـﭼﺮﮔﺍ .ﺪـﺷﺎﺑ ﺖﺒﺜﻣ ﻦﻴﻌﻣ ﺪﻳﺎﺑ ﻲﻃﺮﺷ ﺲﻧﺎﻳﺭﺍﻭﻮﻛ ﺲﻳﺮﺗﺎﻣ ﻪﻛ ﺖﺳﺍ ﻥﺁ

ﻲﮔﮋﻳﻭ ﻦﻳﺍ ﻖﻴﻔﻠﺗ ﻝﺪﻣ ﻚﻳ ﺐﻟﺎﻗ ﺭﺩ ﺎﻫ

MV-GARCH

ﺖﺳﺍ ﻲﻠﻜﺸﻣ ﺭﺎﻛ

، ﻖـﻳﺮﻃ ﺯﺍ ﻲـﻟﻭ

ﻝﺎﻤﻋﺍ ﻲﻣ ﻁﺮﺷ ﺪﻨﭼ ﻥﺁ ﻥﺍﻮﺗ

ﻩﺩﺭﻭﺁﺮﺑ ﺍﺭ ﺎﻫ ﺩﺮﻛ

،ﻲﻗﺎﻴﺘﺷﺍ) 1391

.(

ﻝﺎﺳ ﺭﺩ 1991 ، ﺪﺷ ﻲﻓﺮﻌﻣ ﺖﻓﺍﺮﻛ ﻭ ﺮﻧﻭﺮﻛ ،ﻞﮕﻧﺍ ،ﺎﺑﺎﺑ ﻂﺳﻮﺗ BEKK

ﻩ ﻝﺪـﻣ ﻪـﺑ ﻪﻛ

Diagonal-BEKK

ﺖﺳﺍ ﺭﻮﻬﺸﻣ ﻝﺪﻣ .

،BEKK

ﺪـﻨﭼ ﻝﺎـﻤﻋﺍ ﺎـﺑ ﻪـﻛ ﺩﺭﺍﺩ ﺍﺭ ﻲﮔﮋﻳﻭ ﻦﻳﺍ

ﻲـﻣ ﺺﺨـﺸﻣ ﻭ ﺖﺒﺜﻣ ،ﻥﺁ ﻲﻃﺮﺷ ﺲﻧﺎﻳﺭﺍﻭﻮﻛ ﺲﻳﺮﺗﺎﻣ ،ﺖﻳﺩﻭﺪﺤﻣ ﻭ ﻞـﮕﻧﺍ) ﺩﻮـﺷ

،ﺮـﻧﻭﺮﻛ

1995 ﻝﺪﻣ .(

،BEKK

ﻝﺪـﻣ ﻦﻳﺮﺗﺩﺮﺑﺭﺎﻛﺮﭘ

GARCH

ﻲـﻣ ﻩﺮﻴﻐﺘﻣﺪـﻨﭼ ﻭ ﺲﻧﻭﺎـﺑ .ﺪـﺷﺎﺑ

) ﻥﺍﺭﺎﻜﻤﻫ 2006

ﻩﺭﺎﺷﺍ ﻲﻣ ﻨﻛ ) ﻦﻴﻳﺎـﭘ ﺪـﻌﺑ ﺭﺩ ﻝﺪـﻣ ﻦـﻳﺍ ﻪـﻛ ﺪﻨ ﻢـﻛ

ﺮـﺗ ﺯﺍ 10 (ﺮـﻴﻐﺘﻣ

ﻝﺪﻣ ﺮﻳﺎﺳ ﺕﻼﻜﺸﻣ ﺭﺩ ﺎﻫ

ﻢﻫ ﺍﺮﮔ ﻲﻤﻧ ﺍﺭﺍﺩ ﺍﺭ ﺩﺭﻭﺁﺮﺑ ﻲﻳ ﺮﻣﺍ ﻦﻳﺍ ﻭ ﺪﺷﺎﺑ

ﻲـﻣ ﺐﺒﺳ ﻮـﺷ

ﻪـﻛ ﺩ

1. Independently and Identically Distributed (IID) 2.Multivariate GARCH

(11)

ﻦﻴﻤﺨﺗ ﺖﻴﻠﺑﺎﻗ ﺯﺍ ﺎﻫﺮﺘﻣﺍﺭﺎﭘ ﻱﺎﻫ ) ﻲﻃﺮﺷ ﺲﻧﺎﻳﺭﺍﻭ .ﺪﻨﺷﺎﺑ ﺭﺍﺩﺭﻮﺧﺮﺑ ﻲﻳﻻﺎﺑ ﻱﺎﻜﺗﺍ

Ht

ﻊﺑﺎـﺗ ،(

ﻪﻔﻗﻭ ﺭﺍﺪﻘﻣ ﻪﻔﻗﻭ ﻭ ﺩﻮﺧ ﻱﺎﻫ

ﻲـﻣ ﻝﻼـﺧﺍ ﻱﺍﺰـﺟﺍ ﻱﺎـﻫ ﻪـﻛ ﺪـﺷﺎﺑ

Ht

ﺲﻧﺎـﻳﺭﺍﻭ ﺲﻳﺮﺗﺎـﻣ -

ﺲﻧﺎﻳﺭﺍﻭﻮﻛ ﻭ

ﻪﻔﻗﻭ ﺯﺍ ﻲﻌﺑﺎﺗ ﻪﻔﻗﻭ ﻭ ﺲﻧﺎﻳﺭﺍﻭﻮﻛ ﻱﺎﻫ

.ﺖﺳﺍ ﻝﻼﺧﺍ ﻱﺍﺰﺟﺍ ﻊﻃﺎﻘﺘﻣ ﺏﺮﺿ ﻱﺎﻫ

ﺪـﺷ ﻊـﻳﺯﻮﺗ ﻝﺎـﻣﺮﻧ ﺕﺭﻮـﺻ ﻪـﺑ ﻭ ﺮﻔﺻ ﻦﻴﮕﻧﺎﻴﻣ ﻱﺍﺭﺍﺩ ﺭﺍﺪﻘﻣ ﻦﻳﺍ ﺮـﻧﻭﺮﻛ ﻭ ﻞـﮕﻧﺍ .ﺖـﺳﺍ ﻩ

) 1995 (،

ﺯﺎﺳ ﺮﺘﻣﺍﺭﺎﭘ ﻱﺍﺮﺑ ﻱﺪﻳﺪﺟ ﻱ

Ht

ﻝﺪﻣ ﻲﻨﻌﻳ) ﺮﻛ ﻪﺋﺍﺭﺍ ﺮﻳﺯ ﻞﻜﺷ ﻪﺑ (BEKK

ﺩ ﻩ ﺍ :ﺪﻧ

) 4 (

൅ Ƚɂ୲ିଵɂ୲ିଵ Ƚ ൅ Ⱦ୲ି୨Ⱦ

ﻢﻬﻣ .ﺖﺳﺍ ﻦﻴﻌﻣ ﺖﺒﺜﻣ ﺲﻳﺮﺗﺎﻣ ﻦﻳﺍ ﺖـﺳﺍ ﻥﺁ ﻥﺩﻮـﺑ ﻲﻣﻮﻤﻋ ،ﺵﻭﺭ ﻦﻳﺍ ﻲﮔﮋﻳﻭ ﻦﻳﺮﺗ

ﻢﻫ ﺳ ﻦﻳﺍ ﻲﻃﺮﺷ ﺲﻧﺎﻳﺭﺍﻭﻮﻛ ﺲﻧﺎﻳﺭﺍﻭ ﻦﻴﻨﭼ ﻲﻣ ﺮﺛﺄﺘﻣ ﺍﺭ ﺮﮕﻳﺩ ﻢﻫ ،ﻲﻧﺎﻣﺯ ﻱﺮ

ﻞﻜـﺷ .ﺪﻨﻨﻛ

ﻝﻮﻣﺮﻓ ﻲﺴﻳﺮﺗﺎﻣ 3

ﻪﺑ ﺕﺭﻮﺻ ﻲﻣ ﻥﺎﻴﺑ ﺮﻳﺯ :ﺩﻮﺷ

) 5 (

Šଵଵǡ୲ ڮ Šଵ୬ǡ୲

Šଶଵǡ୲ ڭ

ڮ ڮ Šଶ୬ǡ୲

Š୬ଵǡ୲ ڮ Š୬୬ǡ୲ڭ

ൌ ቎

…ଵଵǡ଴ ڮ …ଵ୬ǡ଴

…ଶଵǡ଴

ڭ ڮ ڮ

…ଶ୬ǡ଴

…୬ଵǡ଴ ڮ …୬୬ǡ଴ڭ

቏ ൅ ቎

Ƚଵଵǡ୬ ڮ Ƚଵ୬ǡ୬ Ƚଶଵǡ୬

ڭ ڮ ڮ

Ƚଶ୬ǡ୬ Ƚ୬ଵǡ୬ ڮ Ƚ୬୬ǡ୬ڭ

ۏ ێێ

ۍ ɂଵǡ୲ିଵ ڮ ɂଵǡ୲ିଵɂ୬ǡ୲ିଵ ɂଶǡ୲ିଵɂଵǡ୲ିଵ

ڭ

ڮ ڮ

ɂଶǡ୲ିଵɂ୬ǡ୲ିଵ ڭ ɂ୬ǡ୲ିଵɂଵǡ୲ିଵ ڮ ɂ୬ǡ୲ିଵ ےۑۑ

ې

Ƚଵଵǡ୬ ڮ Ƚଵ୬ǡ୬ Ƚଶଵǡ୬

ڭ ڮ ڮ

Ƚଶ୬ǡ୬ Ƚ୬ଵǡ୬ ڮ Ƚ୬୬ǡ୬ڭ

൅ ൦

Ⱦଵଵǡ୬ ڮ Ⱦଵ୬ǡ୬ Ⱦଶଵǡ୬

ڭ ڮ

ڮ Ⱦ୬ଵǡ୬ ڭ Ⱦ୬ଵǡ୬ ڮ Ⱦ୬୬ǡ୬

Šଵଵǡ୲ିଵ ڮ Šଵ୬ǡ୲ିଵ

Šଶଵǡ୲ିଵ ڭ

ڮ

ڮ Šଶ୬ǡ୲ିଵ

Š୬ଵǡ୲ିଵ ڮ Š୬୬ǡ୲ିଵڭ ൪ ൦

Ⱦଵଵǡ୬ ڮ Ⱦଵ୬ǡ୬ Ⱦଶଵǡ୬

ڭ ڮ

ڮ Ⱦ୬ଵǡ୬ ڭ Ⱦ୬ଵǡ୬ ڮ Ⱦ୬୬ǡ୬

ﺲﻳﺮﺗﺎﻣ ﻥﺁ ﺭﺩ ﻪﻛ ،ﺖﺑﺎﺛ ﺮﻳﺩﺎﻘﻣ C

ﺐﻳﺍﺮﺿ ﺲﻳﺮﺗﺎﻣα

ARCH

ﺐﻳﺍﺮـﺿ ﺲﻳﺮﺗﺎﻣβ

GARCH

ﻲﻣ ﺪﺷﺎﺑ .

ﺲﻳﺮﺗﺎﻣ ﻚﻳ :α

 ൈ 

ﺕﺍﺮﺛﺍ ﻪﻛ ﻙﻮـﺷ ﺕﺍﺮـﺛﺍ ﺮـﮕﻳﺩ ﺕﺭﺎـﺒﻋ ﻪـﺑ ﺎـﻳARCH

ﻱﺎـﻫ

ﺖﻤﻴﻗ ﻪﺘﺷﺬﮔ ﻲﻣ ﻥﺎﺸﻧ ﺍﺭ ﺎﻫ

،ﺲﻳﺮﺗﺎـﻣ ﻦـﻳﺍ ﻲﻠـﺻﺍ ﻱﺮﻄﻗ ﺮﺻﺎﻨﻋ .ﺪﻫﺩ

αii

ﺕﺍﺮـﺛﺍ ﺮﮕﻧﺎـﻴﺑ ،

ﺭﺍﺯﺎﺑ ﺩﻮﺧARCH

ﺮﺻﺎﻨﻋ ﻭi

ﺮﻴﻏ ﻗ ﺮﻄ ﻱ

αij

ﻙﻮﺷ ﻝﺎﻘﺘﻧﺍ ﺕﺍﺮﺛﺍ ﺮﮕﻧﺎﻴﺑ ﺭﺍﺯﺎـﺑ ﻲـﺘﻤﻴﻗ ﻱﺎـﻫ

i

ﺭﺍﺯﺎﺑ ﺭﺩ ﻲﻣj

.ﺪﺷﺎﺑ ﺲﻳﺮﺗﺎﻣ ﻚﻳ :β

 ൈ 

ﺖﺳﺍ ﺕﺍﺮﺛﺍ ﻪﻛ

GARCH

ﺮـﮕﻳﺩ ﺕﺭﺎـﺒﻋ ﻪـﺑ ﺎﻳ

ﻲـﻣ ﻥﺎـﺸﻧ ﺍﺭ ﺖـﻤﻴﻗ ﻪﺘﺷﺬﮔ ﻥﺎﺳﻮﻧ ﺕﺍﺮﺛﺍ ﻲﻠـﺻﺍ ﺮـﻄﻗ ﺮـﺻﺎﻨﻋ .ﺪـﻫﺩ

bii

ﺕﺍﺮـﺛﺍ ﺮﮕﻧﺎـﻴﺑ ،

GARCH

ﺭﺍﺯﺎﺑ ﺩﻮﺧ ﺍﺯﺎـﺑ ﺩﻮـﺧ ﺖـﻤﻴﻗ ﻪﺘـﺷﺬﮔ ﻥﺎﺳﻮﻧ ﺯﺍ ﺮﮕﻳﺩ ﺕﺭﺎﺒﻋ ﻪﺑ)i

ﺭ ﺮـﺻﺎﻨﻋ ﻭ (i

(12)

ﻏ ﺮﻴ ﺮﻄﻗ

،ﻱ

bij

ﻥﺎﺸﻧ ، ﻩﺪﻨﻫﺩ ﻱ ﺭﺍﺯﺎـﺑ ﺖـﻤﻴﻗ ﻥﺎـﺳﻮﻧ ﻝﺎـﻘﺘﻧﺍ ﺕﺍﺮﺛﺍ ﺭﺍﺯﺎـﺑ ﻪـﺑi

ﻲـﻣj

.ﺪـﺷﺎﺑ

ﻥﺎﻤﻫ ﺭﻮﻃ ﻲﻣ ﻩﺪﻫﺎﺸﻣ ﻪﻛ ﻙﻮﺷ ﺮﺛﺍ ﺵﻭﺭ ﻦﻳﺍ ﺭﺩ ،ﺩﻮﺷ

ﻱﻭﺭ ﺮـﺑ ﺭﺍﺯﺎـﺑ ﻚـﻳ ﺕﻻﻼﺘـﺧﺍ ﻭ ﺎﻫ

ﺍ ﻲﻣ ﻲﺳﺭﺮﺑ ﺮﮕﻳﺩ ﺭﺍﺯﺎﺑ ﺕﻻﻼﺘﺧ ﻭ ﺩﻮﺷ

ﻲـﻣ ﺮﺛﺍ ﻦﻳﺍ ﻪـﺑ .ﺪـﺷﺎﺑ ﻥﺭﺎـﻘﺘﻣﺎﻧ ﺎـﻳ ﻥﺭﺎـﻘﺘﻣ ﺪـﻧﺍﻮﺗ

ﻲﻣ ﻲﻨﺷﻭﺭ ﻪﻛ ﺪﻳﺩ ﻥﺍﻮﺗ

Ƚଵଵ

ﻙﻮﺷ ﺮﺛﺍ ، ﻭ ﺭﺍﺯﺎﺑ ﻥﺎﻤﻫ ﻱﻭﺭ ﺮﺑ ﻝﻭﺍ ﺭﺍﺯﺎﺑ ﻱﺎﻫ

Ƚଶଵ

ﻙﻮـﺷ ﺮﺛﺍ ،

ﻙﻮﺷ ﻝﺎﻘﺘﻧﺍ ﺕﺍﺮﺛﺍ ﻩﺪﻨﻨﻛﻮﮔﺯﺎﺑ ﻪﻛ ﺖﺳﺍ ﻝﻭﺍ ﺭﺍﺯﺎﺑ ﻱﻭﺭ ﺮﺑ ﻡﻭﺩ ﺭﺍﺯﺎﺑ ﻡﻭﺩ ﺭﺍﺯﺎـﺑ ﻲـﺘﻤﻴﻗ ﻱﺎﻫ

ﻲﻣ ﻝﻭﺍ ﺭﺍﺯﺎﺑ ﻱﻭﺭ ﺮﺑ ﺲﻳﺮﺗﺎﻣ ﺹﻮﺼﺧ ﺭﺩ .ﺪﺷﺎﺑ

ﻦﻳﺍ ﺰﻴﻧβ

ﺖﺳﺍ ﻪﻧﻮﮔ

، ﻪﺑ ﺭﻮﻃ ﻱ ﻪﻛ ﺮـﺻﺎﻨﻋ

bii

ﻱﺭﺍﺪﻳﺎﭘ ﺮﮕﻧﺎﻴﺑ ﺭﺍﺯﺎﺑ ﻲﺗﺁ ﻥﺎﺳﻮﻧ ﺮﺑ ﻪﺘﺷﺬﮔ ﻥﺎﺳﻮﻧ

ﻲﻣ ﺪﺷﺎﺑ ﻭ

bij

، ﻥﺎـﺳﻮﻧ ﻝﺎـﻘﺘﻧﺍ ﺕﺍﺮـﺛﺍ

ﻲﻣ ﻥﺎﺸﻧ ﺍﺭ ﺎﻫﺭﺍﺯﺎﺑ ﺖﻤﻴﻗ ﻢﺘﺴﻴﺳ .ﺪﻫﺩ

ﻲﻣ ﺍﺭBEKK

ﺮﺜﻛﺍﺪـﺣ ﺵﻭﺭ ﺯﺍ ﻩﺩﺎﻔﺘـﺳﺍ ﺎـﺑ ﻥﺍﻮـﺗ

ﺎﻤﻧ ﺖﺳﺍﺭ ) ﻲﻳ

ﺮﻛ ﺩﺭﻭﺁﺮﺑ (ML

.ﺩ

ﻥﺍﺮـﻬﺗ ﺭﺍﺩﺎـﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮـﺑ ﺺﺧﺎـﺷ ﻞﻣﺎـﺷ ﻪـﻌﻟﺎﻄﻣ ﺭﺩ ﻩﺪـﺷ ﻩﺩﺎﻔﺘﺳﺍ ﻱﺎﻫﺮﻴﻐﺘﻣ

1

)

TEPIX

ﺍﺯﻭﺭ ﺕﺭﻮﺻ ﻪﺑ ( ﻲﻣ ﻪﻧ

ﺭﺍﺩﺎـﻬﺑ ﻕﺍﺭﻭﺍ ﺱﺭﻮـﺑ ﺕﺎـﻋﻼﻃﺍ ﺰﻛﺮﻣ ﺯﺍ ﻪﻛ ﺪﺷﺎﺑ ﻪـﺑ

ﺖـﺳﺩ

ﺖﺳﺍ ﻩﺪﻣﺁ ﻚـﭘﻭﺍ ﺕﺎـﻋﻼﻃﺍ ﺰـﻛﺮﻣ ﺯﺍ ﺰـﻴﻧ ﻥﺍﺮـﻳﺍ ﻡﺎـﺧ ﺖﻔﻧ ﺖﻤﻴﻗ .

)2

(OPEC

ﻭ ﺯﺭﺍ ﺥﺮـﻧ

ﻏ ﻲﻠﻣ ﻚﻧﺎﺑ ﺖﻳﺎﺳ ﺯﺍ ﺰﻴﻧ ﺭﻮﺸﻛ ﻲﻤﺳﺭﺮﻴ ﻊﻤﺟ3

ﺪﺷ ﻱﺭﻭﺁ ﺖﺳﺍ ﻩ

.ﺑ ﻪ ﻞﻴﻟﺩ ﺭﺎﺒﺧﺍ ﺕﺍﺮﺛﺍ ﻪﻜﻨﻳﺍ

ﺕﺭﻮـﺻ ﺩﺍﺯﺁ ﺯﺭﺍ ﺥﺮـﻧ ﺎـﺑ ﻊـﻗﺍﻭ ﻱﺎـﻴﻧﺩ ﺭﺩ ﺭﺍﺯﺎﺑ ﺪﺑ ﻭ ﺏﻮﺧ ﻲـﻣ

ﻭ ﻥﺍﺭﺍﺪـﻳﺮﺧ ﻲـﻨﻌﻳ ،ﺩﺮـﻴﮔ

ﻥﺎﮔﺪﻨﺷﻭﺮﻓ ﺯﺭﺍ ﺥﺮﻧ ﻊﺟﺮﻣ ﺖﻤﻴﻗ ﻪﺑ ﻭ ﺪﻧﺭﺍﺩ ﻪﺟﻮﺗ ﺩﺍﺯﺁ ﺭﺍﺯﺎﺑ ﺯﺭﺍ ﺥﺮﻧ ﻪﺑ ﻡﺎﻬﺳ

ﻢﻛ ﺮﺗ ﻉﻮـﺟﺭ

ﻲﻣ ﺭﺍﺯﺎﺑ ﺯﺭﺍ ﺥﺮﻧ ﺯﺍ ،ﺪﻨﻨﻛ ﻏ

ﺪـﺷ ﻩﺩﺎﻔﺘـﺳﺍ ﻪـﻌﻟﺎﻄﻣ ﺭﺩ ﻲﻤﺳﺭﺮﻴ ﻩ

ﻦﻴـﻨﭽﻤﻫ ﻱﺍﺮـﺑ

ﻱﺎـﻫﺯﻭﺭ

ﻞﻴﻄﻌﺗ

، ،ﺪﻌﺑ ﺯﻭﺭ ﺎﺑ ﻞﺒﻗ ﺯﻭﺭ ﺖﻤﻴﻗ ﻦﻴﮕﻧﺎﻴﻣ ﺮﻈﻧ ﺭﺩ

ﺕﺎـﻋﻼﻃﺍ ﻥﻮﭼ .ﺖﺳﺍ ﻩﺪﺷ ﻪﺘﻓﺮﮔ ﻪـﺑ

ﻲﻣ ﻪﻧﺍﺯﻭﺭ ﺕﺭﻮﺻ ﺪﺷﺎﺑ

، ﺭﺩ ﺩﺭﻮﻣ .ﺩﺭﺍﺪﻧ ﺩﻮﺟﻭ ﻲﻧﺍﺮﮕﻧ ﺰﻴﻧ ﺕﺍﺪﻫﺎﺸﻣ ﺩﺍﺪﻌﺗ

ﺞﻳﺎﺘﻧ ﻞﻴﻠﺤﺗ ﻞﻴﻠﺤﺗ ﻭ ﻖﻴﻘﺤﺗ ﻱﺎﻫﺮﻴﻐﺘﻣ ﺮﺘﻬﺑ ﻲﺳﺭﺮﺑ ﻱﺍﺮﺑ ﻲﻟﻮﺻﺍ

ﺗ ﺮ،

ﻩﺭﺎﻣﺁ ﻪﺋﺍﺭﺍ ﻪﺑ ﻲﻔﻴـﺻﻮﺗ ﻱﺎـﻫ

ﻲﻣ ﻪﺘﺧﺍﺩﺮﭘ .ﺩﻮﺷ

ﺑ ﻩﺩﺍﺩ ﺭﺩ ﺎﻫﺮﻴﻐﺘﻣ ﻲﻳﺎﺘﺴﻳﺍ ﺖﺳﺍ ﻡﺯﻻ ﻉﻭﺮﺷ ﻱﺍﺮ ﻞـﺒﻗ .ﺩﻮـﺷ ﻲﺳﺭﺮﺑ ﻲﻧﺎﻣﺯ ﻱﺮﺳ ﻱﺎﻫ

ﺭ ﻥﻮﻣﺯﺁ ﺯﺍ ﻲﻣ ﻪﺘﻓﺮﮔ ﻢﺘﻳﺭﺎﮕﻟ ﺎﻫﺮﻴﻐﺘﻣ ﺯﺍ ﺪﺣﺍﻭ ﻪﺸﻳ

ﻩﺩﺍﺩ ﺱﺎﻴﻘﻣ ﺎﺗ ﺩﻮﺷ ﻢـﻫ ﻪـﺑ ﺮﺘـﺸﻴﺑ ﺎﻫ

ﺪﺷ ﻚﻳﺩﺰﻧ ﻩ

ﻩﺩﺍﺩ ﻲﻧﺎﺴﻤﻫﺎﻧ ﺯﺍ ﻭ ﻪـﺸﻳﺭ ﻥﻮـﻣﺯﺁ ﻡﺎﺠﻧﺍ ﻱﺍﺮﺑ .ﺩﻮﺷ ﻪﺘﺳﺎﻛ ﺎﻫ

ﻱ ﺯﺍ ﺰـﻴﻧ ﺪـﺣﺍﻭ

ﻲﻜﻳﺩ ﻥﻮﻣﺯﺁ -

ﺲﭙﻴﻠﻴﻓ ﻭ ﻪﺘﻓﺎﻳ ﻢﻴﻤﻌﺗ ﺮﻟﻮﻓ -

ﺪﺷ ﻩﺩﺎﻔﺘﺳﺍ ﻥﻭﺮﭘ ﺖﺳﺍ ﻩ

.

1.Tehran Price Index (TEPIX) 2.OPEC/data

3.BMI

Referensi

Dokumen terkait

ﻪﻣﺎﻧﺮﺑ ﺭﺩ ﻱﺎﻫ ﻢﻬﻣ ﻱﺎﻫﺭﺍﺰﺑﺍ ﺯﺍ ﻲﻜﻳ ﺕﺎﻓﺁ ﻲﻘﻴﻔﻠﺗ ﺖﻳﺮﻳﺪﻣ ، ﺖﻣﻭﺎﻘﻣ ﻥﺎﻫﺎﻴﮔ ﻲﻣ ﺕﺎﻓﺁ ﻪﺑ ﺪﺷﺎﺑ ﻪﮐ ﺯﺍ ﻩﺩﺎﻔﺘﺳﺍ ﻭ ﺖﻓﺮﺸﻴﭘ ﺎﺑ ﻨﻜﺗ ﻚﻴ ﻥﺎﻜﻣﺍ ﻚﻴﺘﻧﮊ ﻲﺳﺪﻨﻬﻣ ﻱﺎﻫ ﻪﻧﺎﺴﻤﻫ ﺯﺎﺳ ﻱ ﺭﺍﺮﻗ ﻭ ﻥﮊ ﻥﺩﺍﺩ ﺎﻫ ﻱ