تاثیر شفافیت بانک مرکزی بر تلاطم نرخ ارز درکشورهای منتخب عضو اوپک مقاله

از زمان فروپاشی نظام برتن وودز در سال 1973 و اتخاذ سیستم نرخ ارز‌شناور، تلاطم نرخ ارز همیشه به عنوان یک موضوع اصلی و نگران‌کننده پیش‌روی گروه‌های مختلفی از فعالان‌ اقتصادی از جمله سیاست‌گذاران، بانک‌‌‌های ‌مرکزی، دانشگاهیان و سرمایه‌گذارهای فردی بوده است. از میان عوامل احتمالی که می‌تواند نرخ ارز و به طور‌کلی تلاطم نرخ ارز را در مسیرکاهشی قرار‌دهد، کانال شفافیت بانک مرکزی است که افزایش آن در چند دهه گذشته یکی از مهم‌ترین تحولات بانکداری مرکزی در سیاست‌گذاری‌های پولی بوده است. بنابراین این سوال مطرح می‌شود که شفافیت بانک مرکزی چگونه می‌تواند بر تلاطم نرخ ارز تاثیر بگذارد. مهم‌ترین استنباطی که از ادبیات گذشته پیرامون موضوع شفافیت بانک مرکزی می‌شود این است که افزایش ارائه اطلاعاتی توسط بانک‌های مرکزی در قالب اطلاع‌‌رسانی سیاست پولی، منجر به افزایش توانایی مردم در درک اهداف بانک مرکزی و بهبود پیش‌ بینی‌هایشان از سیاست‌های پولی بانک مرکزی است که این امر از تغییر در مواضع سیاست بانک مرکزی در بی‌ثبات‌کردن بازارهای مالی از جمله بازار‌ ارز جلوگیری خواهد کرد که البته این موضوع می‌تواند نیازمند وجود یک بانک مرکزی مستقل باشد. بنابراین پژوهش حاضر سعی دارد با بکارگیری دو روش حداقل مربعات معمولی کاملا اصلاح شده و حداقل مربعات معمولی پویا و به کمک داده‌های ترکیبی برای دوره 1998-2019 و مبانی نظری مرتبط، به بررسی تاثیر شفافیت بانک مرکزی بر تلاطم نرخ ارز در کشورهای منتخب عضو اوپک بپردازد. نتایج این مطالعه نشان داد که شفافیت بانک مرکزی و استقلال بانک مرکزی از متغیرهای تاثیرگذار بر تلاطم نرخ ارز هستند و با تلاطم نرخ ارز رابطه منفی و معنی‌داری دارند. همچنین نتایج این مطالعه رابطه منفی و معنی دار درآمد نفتی و رشد اتصادی با تلاطم نرخ ارز را تایید می‌کند.

1- INTRODUCTION Since the collapse of the Bretton Woods system in 1973 and the adoption of floating exchange rate system, exchange rate volatility (ERV) has become a central issue and concern for various groups of agents including policy makers, central banks, academics and individual investors among others. Central bank transparency (CBT) is one of the possible factors which can reduce exchange rate or generally exchange rate volatility that increase it's in has been one of the main developments in central banking in the past few decades. Thus, this leads to the question of the effect of central bank transparency on the volatility of exchange rates. The most important inferred from the previous literature on the issue of central bank transparency is that the increase of information provision by the central banks in the form of communication of monetary policy will lead to an increase in the ability of people to understanding the objectives of the central bank and improve their forecasts from the monetary policy of the central bank, which will prevent changes in the central bank's policy stance from destabilizing financial markets , which this could be required existing an independent central bank. Due to the fact that in oil exporting countries, especially OPEC member countries, the move towards more transparent monetary policy has been slow, thus the increase in central bank transparency and existing an independence of the central bank can have been decreasing effect on exchange rate volatility. Also, this study used the Extended Central Bank Independence (ECBI) index is the newly created index of central bank independence (CBI). Therefore, the purpose of this study is to examining the impact of central bank transparency on exchange rate volatility in Selected OPEC Member Countries to use two approaches Fully Modified Ordinary Least Squares (FMOLS) and Dynamic Ordinary Least Squares (DOLS) that in perversion research have been ignored. 2- THEORETICAL FRAMEWORK According to the existing literature, CBT is said to be based on performing several tasks: the clear formulation of monetary policy objectives, the regular publication of economic outlooks and forecasts, the disclosure of methods, the regular publication of press releases and minutes of monetary policy meetings, and the regular organization of press conferences and other meetings with media and the public. As central banks have been moving towards more transparent policies over the last two decades, some of them started publishing their own forecasts on the future state of the economy. Projections of future growth rate of GDP and inflation rate are but two examples of such forecasts. These changes in the practice of central banking resulted in considerable growth in the literature. The aspect of transparency people is interested in has to do with release of central bank projections of the future state of the economy. Of course, if, that there is no strategic attempt to manipulate the public's beliefs and in this context with the people have been truthful. One of the main goals of most central banks is to stabilise the economy and reduce economic fluctuations. This includes a reduction in inflation volatility, output variation, and exchange rate volatility. Blinder (1998) argues that a nation's central bank should explain its actions to the people, so as to remove the mystery behind the decision - making process. If the bank cannot provide a clear explanation of a decision, then the decision may not be a good one. Thus, that more open public disclosure of central bank policies may enhance the efficiency of financial markets. First, greater information about how a central bank makes policy decisions would curtail excessive speculation. Second, clearer decision rules on the part of the central bank would help to reduce the volatility of markets, and thus enhance the predictability of future movements of financial assets. Crowe & Meade (2008) argues, as central banks have become more independent, so the demand for transparency has increased, both for reasons of accountability and legitimacy, and to guide the expectations of financial market participants (whose appetite for information has expanded as financial markets have become broader and deeper). 3- METHODOLOGY The purpose of this study is to examine the impact of CBT on ERV in selected OPEC member countries (for the six OPEC countries that consisting of United Arab Emirates, Iran, Iraq, Kuwait, Nigeria and Saudi Arabia) with the help of annual panel data for 1998-2019. In this study, to analyze the tests related to panel data and model estimation employed two approaches FMOLS and DOLS have been used from Eviews and Stata softwares. 4- RESULTS & DISCUSSION In this step, we check whether the variables have a unit root using the Maddala & Wu (1999) Fisher test that adopts an augmented Dickey–Fuller test for panel data. According to the results of the tests stationarity and cointegration, FMOLS and DOLS methodologies were used to estimate the long relationships. The findings of this study in the both approaches showed that CBT and CBI are the effective variables on ERV and have a negative and significant in relation to ERV. The findings of this study confirm that oil rent and GDP growth have a negative and significant in relation to ERV, also. 5- CONCLUSIONS & SUGGESTIONS As a novelty for the first time, this study found the overall relationship between CBT and ERV emissions which came to be negative in selected OPEC member countries using annual panel data over the period 1998-2019. This showed that an increase in CBT would lead to a reduction in ERV emissions. According to the results of this study the central bank transparency is considered a positive measure and often due to its benefits and high flexibility to stabilize the economy can reduce exchange rate volatility. However, empirical evidence of such benefits has not yet been considered in oil exporting countries. The findings of this study show the importance of central bank transparency in selected OPEC member countries which in an independent environment of the central bank can play a role in reducing exchange rate volatility. The more stable, less volatile, and more secure the financial markets, including the exchange rate market can increase gdp growth.