بررسي رابطه‌ علّيت گرنجر بين شاخص توسعه مالي و رشد اقتصادي در ايران: با استفاده از مدل‌ غيرخطي ماركوف‌- سوييچينگ خودتوضيح برداري MS-VAR

Examine the causality between financial development and economic growth indicators in Iran: a Markov model approach for nonlinear Markov switching MS-VAR

هدف اصلي اين مطالعه بررسي رابطه علّيت غيرخطي بين توسعه مالي و رشد اقتصادي طي سال‌هاي 1352 ـ 1391 ‌است. بدين منظور، از تكنيك ماركوف- سوييچينگ استفاده شد. در اين مطالعه از توليد ناخالص داخلي سرانه به عنوان متغير جايگزين رشد اقتصادي و از شاخص مالي تركيبي‌ـ شامل شاخص عمق مالي، نسبت اعتبارات اعطايي به بخش خصوصي، نسبت اعتبارات تامين‌شده توسط بخش بانكي و پس‌انداز ناخالص داخلي به توليد ناخالص داخلي‌ـ به عنوان شاخص توسعه مالي استفاده شد. يافته‌هاي تجربي تحقيق نشان مي‌دهد در‌ طول دوره‌اي كه رشد اقتصادي بالاست (رژيم 1) رابطه علّي يك‌طرفه از رشد اقتصادي به سمت توسعه مالي وجود دارد، ولي در دوره‌اي كه رشد اقتصادي پايين است (رژيم 2) هيچ رابطه علّي ميان توسعه مالي و رشد اقتصادي وجود ندارد. بنابراين، در هر دو رژيم توسعه مالي هيچ تاثيري در رشد اقتصادي ندارد.

The relationship between financial development and economic growth in order to give priority to policies that will lead to financial development or addressing other economic priorities to achieve economic growth has attracted the attention of many economics. Nonlinear models of causality and causal relationships between variables in the modification of variables in different regimes exist, why can have better results than linear causality models. For this purpose, in this study using a Markov switching model to investigate the nonlinear causality between financial development and economic growth during the years 1973-2010 have been paid. GDP per capita and Composite index of four indicators towards depth and credits granted to the private sector, the ratio of credit provided by the banking sector and gross domestic savings to GDP used for economic growth and finance development. The results of this study indicate that in the years of high economic growth (regime 1) theory, be honest and follow the path of economic growth, the demand is financial development and for the years of low economic growth (regime 2) does not make the link between financial development and economic growth in both regimes, financial development has no effect on economic growth.