بررسی اثر آستانه‌ای ریسک کشوری بر فرار سرمایه در ایران: رویکرد رگرسیون انتقال ملایم (STR)

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشیار، گروه اقتصاد، دانشکده علوم انسانی، دانشگاه بجنورد، بجنورد، ایران

2 استادیار، گروه اقتصاد، دانشکده علوم انسانی، دانشگاه بجنورد، بجنورد، ایران

3 استادیار، گروه حسابداری، دانشکده علوم انسانی، دانشگاه بجنورد، بجنورد، ایران

چکیده

فرار سرمایه، به‌عنوان یکی از چالش‌های جدی در بسیاری از کشورها، می‌تواند به‌طور مستقیم بر رشد و توسعه اقتصادی تأثیرگذار باشد. به‌طورکلی نااطمینانی نسبت به سیاست‌های اقتصادی باعث می‌شود که سرمایه‌گذاران نتوانند چشم‌انداز روشن و شفافی از آینده ترسیم کنند، لذا همین امر موجب می‌شود که آن‌ها در یک محیط مطمئن‌ سیاسی و اقتصادی سرمایه‌گذاری کنند. بنابراین، ریسک‌های سیاسی، اقتصادی و مالی هر کشور از مهم‌ترین عوامل مؤثر بر پدیده فرار سرمایه هستند. هدف این مقاله بررسی بررسی اثر آستانه‌ای ریسک کشوری بر فرار سرمایه در ایران در دوره زمانی 1363-1401 است. برای این‌ منظور، پس از انجام آزمون‌های ریشه واحد و آزمون خطی بودن، مدل مربوطه با استفاده از روش رگرسیون انتقال ملایم (STR) برآورد گردید. نتایج حاصل از برآورد مدل نشان داد که ریسک مرکب در هر دو رژیم تأثیر مثبت و معنی‌داری بر فرار سرمایه دارد؛ به‌طوری-که با عبور ریسک از حد آستانه خود، شدت اثرگذاری آن بر فرار سرمایه افزایش می‌یابد. همچنین نتایج حاکی از آن است که اگرچه اثر نرخ بهره واقعی بر فرار سرمایه در هردو رژیم منفی است، اما این اثر صرفاً در رژیم دوم معنی‌دار می‌باشد. درعین‌حال، اثر شاخص سهام بر فرار سرمایه نیز فقط در رژیم اول مثبت و معنی‌دار است.

کلیدواژه‌ها

موضوعات

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  • تاریخ دریافت: 09 بهمن 1403
  • تاریخ بازنگری: 27 فروردین 1404
  • تاریخ پذیرش: 28 فروردین 1404
  • تاریخ انتشار: 01 مهر 1404

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