معمای نااطمینانی سیاستی و نوسان بازار سهام: شواهدی از اقتصاد ایران

نوع مقاله : علمی - پژوهشی

نویسندگان

1 استادیار، دانشکده مدیریت و اقتصاد، دانشگاه گیلان، رشت، ایران

2 استادیار گروه حسابداری، دانشکده مدیریت و اقتصاد، دانشگاه گیلان، رشت، ایران.

چکیده

Purpose:

The relationship between economic policy uncertainty (EPU) and stock market volatility is a challenging topic in financial literature. On one hand, empirical evidence has reported a phenomenon known as the "puzzle of severe economic policy uncertainty and low stock market volatility," which challenges theoretical foundations. On the other hand, some studies emphasize the existence of dynamic, bidirectional causality between these two variables. These ambiguities are particularly significant in the context of Iran's economy, which faces unique circumstances. The primary objective of this research is to provide new and comprehensive evidence to clarify these complex dynamics in Iran. Specifically, by disaggregating the relationship across time and frequency domains, this study aims to answer whether the direction and intensity of the causal link differ across short, medium, and long-term horizons and whether the aforementioned puzzle holds true for the Iranian economy.

Methodology:

This study analyzes data for the Iranian economy from 2008 to 2023, employing two innovative econometric approaches. To assess the time-varying causal dynamics, Rolling Window Granger Causality tests were conducted. This method is capable of identifying structural changes and instability in the causal relationship over time. Subsequently, the Continuous Wavelet Transform (CWT) technique was used for a simultaneous time-frequency domain analysis to disentangle the relationship across different time horizons. Through coherence analysis, this tool provides precise information about the intensity of co-movement and the direction of causality (i.e., which variable leads or lags) at short-term, medium-term, and long-term scales.

Findings:

The results from the Rolling Window Granger Causality tests confirmed a persistent unidirectional causal relationship from EPU to stock market volatility across the entire sample period. However, this relationship lost its statistical significance during the second half of the 2010s, providing strong evidence for the existence of the "uncertainty puzzle" in Iran. The wavelet transform analysis revealed that this relationship is highly dependent on the time horizon. In the short-run (less than 6 months), the relationship is unstable, and the causal flow is often out-of-phase (inverse), which confirms the existence of the puzzle in this horizon. In contrast, in the medium and long-run (more than 6 months), a stable, positive, and in-phase causal relationship from EPU to stock market volatility prevails. In other words, at these horizons, an increase in uncertainty significantly leads to higher stock market volatility, a finding that is perfectly consistent with classical theoretical underpinnings.

Conclusion:

This study concludes that the "puzzle of high policy uncertainty and low stock market volatility" is primarily a short-run phenomenon in the Iranian economy. While short-term market reactions can be counterintuitive, influenced by factors such as heightened risk aversion and reduced liquidity, the conventional positive and destabilizing impact of uncertainty on the stock market remains robust in the medium and long run. This differentiation across time horizons helps resolve existing contradictions in the literature. The findings imply that investors should adjust their strategies based on the time horizon of the market's reaction to policy shocks. For policymakers, it highlights the necessity of creating a transparent, stable, and predictable policy environment to ensure long-term financial market stability, as the adverse effects of uncertainty are unavoidable over time.

کلیدواژه‌ها

عنوان مقاله [English]

The Puzzle of Policy Uncertainty and Stock Market Volatility: Evidence from the Iran's economy

نویسندگان [English]

  • Saleh Taheri Bazkhaneh 1
  • Mehrdad Sadrara 2
1 Assistant Professor, Faculty of Management and Economics, University of Guilan, Rasht, Iran
2 Assistant Professor, Faculty of Management and Economics, University of Guilan, Rasht, Iran.
چکیده [English]

هدف: رابطه میان نااطمینانی سیاست اقتصادی و نوسانات بازار سهام، یکی از موضوعات چالش‌برانگیز در ادبیات مالی است. از یک سو، شواهد تجربی پدیده‌ای موسوم به «معمای نااطمینانی شدید سیاست اقتصادی و نوسان اندک بازار سهام» را گزارش کرده‌اند که مبانی نظری را به چالش می‌کشد. از سوی دیگر، برخی مطالعات بر وجود علیت دو سویه و پویا میان این دو متغیر تأکید دارند. این ابهامات در اقتصاد ایران، که با شرایط ویژه‌ای مواجه است، اهمیت بیشتری می‌یابد. هدف اصلی این پژوهش، ارائه شواهدی نوین و جامع برای روشن ساختن این پویایی‌های پیچیده در اقتصاد ایران است. این تحقیق به طور مشخص می‌کوشد با تفکیک رابطه در گستره زمان و فرکانس، به این پرسش پاسخ دهد که آیا جهت و شدت رابطه علی میان این دو متغیر در افق‌های زمانی کوتاه‌مدت، میان‌مدت و بلندمدت متفاوت است و آیا معمای مذکور در اقتصاد ایران مصداق دارد یا خیر.

روش: این پژوهش با استفاده از داده‌های دوره زمانی 1387 تا 1402 برای اقتصاد ایران و با به‌کارگیری دو رویکرد اقتصادسنجی انجام شده است. برای سنجش پویایی‌های زمانی در رابطه علی، از آزمون علیت گرنجری پنجره غلتان استفاده شد. این روش قادر است تغییرات ساختاری و ناپایداری در رابطه علی را در طول زمان شناسایی کند. در ادامه، برای تحلیل همزمان رابطه در حوزه زمان و فرکانس و تفکیک آن در افق‌های زمانی مختلف، از تکنیک تبدیل موجک پیوسته بهره گرفته شد. این ابزار از طریق تحلیل همدوسی، اطلاعات دقیقی در مورد شدت هم‌حرکتی و جهت علیت (پیشرو یا پیرو بودن متغیرها) در مقیاس‌های کوتاه‌مدت، میان‌مدت و بلندمدت ارائه می‌دهد.

یافته‌ها: نتایج آزمون علیت گرنجری پنجره غلتان، وجود یک رابطه علی یک‌طرفه و پایدار از نااطمینانی سیاست اقتصادی به نوسان بازار سهام را در کل دوره تأیید کرد. با این حال، این رابطه در بازه زمانی نیمه دوم دهه 1390 معناداری آماری خود را از دست داد که شواهد محکمی برای وجود «معمای نااطمینانی» در اقتصاد ایران فراهم می‌کند. تحلیل موجک پیوسته نشان داد که این رابطه به شدت به افق زمانی وابسته است. در افق کوتاه‌مدت (کمتر از 6 ماه)، رابطه میان دو متغیر ناپایدار بوده و جریان علی اغلب خلاف فاز (معکوس) است، که وجود معمای مذکور را در این افق زمانی تأیید می‌کند. در مقابل، در افق‌های میان‌مدت و بلندمدت (بیش از 6 ماه)، یک رابطه علی مثبت، پایدار و هم‌فاز از سمت نااطمینانی سیاست اقتصادی به نوسانات بازار سهام برقرار است. به عبارت دیگر، در این افق‌ها، افزایش نااطمینانی به طور معناداری منجر به افزایش نوسانات بازار سهام می‌شود که با مبانی نظری کلاسیک کاملاً سازگار است.

نتیجه‌گیری: این پژوهش نتیجه می‌گیرد که معمای نااطمینانی سیاست اقتصادی و نوسان اندک بازار سهام در اقتصاد ایران، یک پدیده اساساً کوتاه‌مدت است. در حالی که واکنش‌های بازار در کوتاه‌مدت می‌تواند تحت تأثیر عواملی مانند ریسک‌گریزی شدید و کاهش نقدینگی، خلاف انتظار باشد، رابطه مثبت و بی‌ثبات‌کننده نااطمینانی بر بازار سهام در افق‌های میان‌مدت و بلندمدت به قوت خود باقی است. این تفکیک میان افق‌های زمانی، به حل تناقضات موجود در ادبیات کمک شایانی می‌کند. یافته‌ها برای سرمایه‌گذاران این پیام را دارد که استراتژی‌های خود را باید با توجه به افق زمانی واکنش بازار به شوک‌های سیاستی تنظیم کنند. برای سیاست‌گذاران نیز این نکته را برجسته می‌سازد که برای تضمین ثبات بلندمدت بازارهای مالی، ایجاد یک محیط سیاستی شفاف، پایدار و قابل پیش‌بینی امری ضروری است، زیرا اثرات مخرب نااطمینانی در بلندمدت اجتناب‌ناپذیر خواهد بود. بنابراین، اتخاذ سیاست‌های اقتصادی شفاف، پایدار و قابل پیش‌بینی برای حفظ ثبات بلندمدت بازار سرمایه امری ضروری است.

کلیدواژه‌ها [English]

  • Economic Policy Uncertainty
  • Stock Market Volatility
  • Time-Varying Causality
  • Time-Frequency Analysis

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