نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری مالی، گروه مالی و بانکی، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبایی، تهران، ایران

2 دانشجوی دکتری مالی، گروه مدیریت، دانشکده علوم اداری و اقتصاد، دانشگاه اصفهان، اصفهان، ایران

چکیده

دلایل منطقی حاکی از آن است که قیمت‌های نفت خام از الگوهای غیرخطی تبعیت می‌کند. با این حال پژوهش‌های که پیش از این صورت گرفته است به منظور بررسی وجود ریشه واحد فرض خطی را لحاظ کرده‌اند. آزمون‌های خطی ریشه واحد همچون دیکی فولر تعمیم یافته، فیلیپس پرون و کی پی اس اس برای مدل‌های خطی ارائه شده‌اند. این آزمون‌ها مناسب سری‌های زمانی غیرخطی نیست. زیرا ممکن است انحراف الگو از حالت خطی را به عنوان انحراف پایدار تصادفی تلقی کنند. هدف این مقاله آزمون ریشه واحد غیرخطی قیمت‌های نفت خام به طور خاص نفت «برنت» و «وِست تِگزاس اینترمِدیت» در بازه زمانی 2019-2020 به صورت روزانه می‌باشد. از چند دهه پیش تاکنون کلاس‌های مختلفی از مدل‌های غیرخطی ارائه شده است. این مدل‌ها نسبت به مدل‌های خطی در سری‌های زمانی طیف گسترده‌تری از پویایی‌ها را معرفی می‌کنند. نوع ویژه‌ایی از این مدل‌ها که مورد توجه اقتصاددانان است مدل‌های رگرسیون آستانه‌ای است. در این مدل‌ها نیز همچون مدل‌های خطی تحلیل معتبر آماری نیازمند تمیز میان روند قطعی و روند تصادفی بودن فرآیند است. در این پژوهش از آزمون ریشة واحد بیزی برای مدل عمومی دورژیمی غیرخطی خودهمبستگی آستانه‌ای توجه به شرایط لازم و کافی برای مانایی فرآیندهای مدل عمومی دورژیمی غیرخطی خودهمبستگی آستانه‌ای برمبنای مقاله پتروسیلی و وولفورد (1984) استفاده شده است. با استفاده از فاصله اعتبار بیزی آزمون ریشه واحد انجام گردید. نتایج پژوهش نشان می‌دهد که قیمت‌های نفت خام برنت در هر دو رژیم حاوی ریشه واحد است که با یافته‌های مشابه برای تولید یا مصرف نفت خام در تطابق است.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

The Test of Non-Linearity of Unit Root in Crude Oil Prices

نویسندگان [English]

  • Mohsen Eslami 1
  • Alireza Najjarpour 2

1 Ph. D. Candidate of Finance, Department of Finance and Banking, Faculty of Management and Accounting, Allameh Tabataba’i University, Tehran, Iran

2 Ph. D. Candidate of Finance, Department of Management, Faculty of Administrative Sciences and Economics, University of Isfahan, Isfahan, Iran

چکیده [English]

There is good reason to expect crude oil prices to follow nonlinear models. However, previous research has considered the linear assumption to investigate the existence of a unit root. Unit root linear tests such as ADF, PP, and KPSS are provided for linear models. These tests are not suitable for nonlinear time series. Because the model deviation from the linear state may be considered as a random permanent deviation. The purpose of this article is to test the nonlinear unit root of crude oil prices, specifically Brent and WTI oil in the period 2019-2020 daily. For several decades now, various classes of nonlinear models have been introduced. These models introduce a wider range of dynamics than linear models in time series. A special type of these models that economists pay attention to are TAR models. In these models, as in linear models, valid statistical analysis requires distinguishing between the deterministic trend and the stochastic trend. In this study, the Bayesian unit root test for the general SETAR (1) model has been used with respect to the necessary and sufficient conditions for the maintenance of SETAR processes based on the article by Petrocyl and Wolford (1984). A nonlinear unit root test was performed using Bayesian validity interval. The results show that Brent crude oil prices in both regimes contain a unit root that is consistent with similar findings for the production or consumption of crude oil.
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کلیدواژه‌ها [English]

  • Bayesian Nonlinear Unit Root tests
  • TAR Nonlinear Time Series
  • Simulation
  • Brent crude oil
  • Financial Econometrics
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