Matsin Kasuwar Musanya, Farashin Hannun Jari, da Farashin Kayayyaki a Gabashin Turai ta Tsakiya

Teburin Abubuwan Ciki

1. Gabatarwa

Wannan takarda tana binciken haɗin kai tsakanin kasuwannin musanya, hannun jari, da kayayyaki a cikin wasu tattalin arzikin Gabashin Turai ta Tsakiya (CEE)—wato Jamhuriyar Czech, Hungary, Poland, Ukraine, Bulgaria, da Romania. Duk da tsammanin shiga cikin yankin Yuro a ƙarshe ga yawancin mambobin EU na CEE bayan faɗaɗa 2004/2007, yawancinsu, ciki har da manyan tattalin arziki kamar Poland da Hungary, suna riƙe da farashin musanya mai iyo da tsarin sa ido kan hauhawar farashin kayayyaki. Wannan ya haifar da yanayi mai rikitarwa inda kudaden da ke da 'yancin kai a zahiri suka kasance masu saukin kamuwa da tasirin rikicin kuɗi na yanki, yankin Yuro, da na duniya, musamman waɗanda ake watsawa ta hanyar kasuwannin hannun jari da kayayyaki. Babban manufar binciken shine don tantance ko canje-canje a cikin farashin hannun jari na cikin gida/na waje ko farashin kayayyaki na duniya suna haifar da matsin lamba ga waɗannan kudaden don raguwa da kuma gano hanyoyin da asalin waɗannan watsawa.

2. Hanyar Bincike da Bayanai

2.1 Gina Ma'aunin Matsin Kasuwar Musanya (EMP)

Jigon binciken na zahiri shine gina ma'aunin Matsin Kasuwar Musanya (EMP) na wata-wata ga kowace ƙasa daga 1998 zuwa 2017. Ma'aunin EMP ma'auni ne da ya ƙunshi matsin lamba na hasashe akan kuɗi, wanda ya haɗa manyan sassa uku:

1. Canjin kashi a cikin farashin musanya na zahiri (kuɗin gida a kowace kuɗin waje, misali, EUR ko USD).
2. Canjin kashi a cikin tanadin kuɗin waje (tare da alamar mara kyau, kamar yadda asarar tanadi ke nuna matsin lamba na siyarwa).
3. Canji a cikin bambancin ƙimar riba (na cikin gida da na waje, misali, ƙimar Jamus).

An daidaita ma'aunin don tabbatar da kwatankwacinsa a tsakanin ƙasashe da lokaci. Lokutan da ke da manyan ƙimar EMP masu kyau ana gano su azaman abubuwan da za su iya haifar da rikicin kuɗi.

2.2 Tushen Bayanai da Masu Canji

Binciken yana amfani da bayanan lokaci-lokaci na wata-wata. Manyan masu canji sun haɗa da:

• Ma'aunin EMP: An gina shi kamar yadda aka bayyana a sama.
• Komawar Hannun Jari: Ma'auni na kasuwar hannun jari ta cikin gida (misali, WIG na Poland, PX na Jamhuriyar Czech) da ma'auni na waje (misali, Euro Stoxx 50, S&P 500).
• Farashin Kayayyaki: Canje-canje a cikin ma'auni na duniya don mai (misali, Brent Crude) da babban kwandon kayayyaki.
• Masu sarrafa masu canji na iya haɗawa da ma'auni na ƙin haɗarin duniya (misali, VIX).

2.3 Tsarin Tattalin Arziki: Vector Autoregression (VAR)

Don bincika haɗin kai mai ƙarfi, takarda tana amfani da ƙirar Vector Autoregressive (VAR). Ƙirar VAR tana ɗaukar duk masu canji a matsayin masu ƙarewa kuma tana ɗaukar haɗin kai tsakanin su akan lokaci. Kayan aiki na musamman da aka yi amfani da su sune:

• Gwajin Dalilin Granger: Don tantance ko ƙimar da ta gabata na mai canji ɗaya (misali, komawar hannun jari) ta ƙunshi bayanai masu mahimmanci na ƙididdiga don hasashen wani (misali, EMP). Wannan yana nuna alaƙar hasashe ta hanya.
• Ayyukan Amsa na Gaggawa (IRFs): Don gano tasirin girgiza daidaitaccen karkace ɗaya ga mai canji ɗaya (misali, faɗuwar farashin mai) akan ƙimar yanzu da na gaba na wani mai canji (misali, EMP), yana kwatanta girman, hanya, da dorewar watsawa.

3. Sakamakon Bincike da Bincike

3.1 Yadda EMP ke Tafiya da Rikicin Kudin Waje (1998-2017)

Ma'aunin EMP da aka gina ya bayyana babban haɓaka a cikin matsin lamba a duk kudaden CEE da aka yi bincike a lokacin Rikicin Kuɗi na Duniya na 2008. Wani binciken da ya shahara shi ne cewa ƙarfin shisshigin musanya na kuɗin waje na bankin tsakiya (wani ɓangare na EMP) gabaɗaya ya ragu a cikin lokacin bayan 2008, yana nuna canji a cikin manufa ko tsarin kasuwa.

3.2 Gwajin Dalilin Granger

Gwaje-gwajen dalili sun gano nau'ikan watsawa daban-daban:

• Jamhuriyar Czech: Ta bayyana a ɓoye sosai. An sami ƴan mahimman alaƙar dalili daga kasuwannin hannun jari na waje ko kayayyaki zuwa EMP na cikin gida.
• Hungary: Tana nuna saukin kamuwa da watsawa na duniya, tare da dalili daga kasuwannin hannun jari na duniya (misali, S&P 500) zuwa EMP ta.
• Poland: Bayyanar ta fi cikin yanki. EMP na Poland yana da dalilin Granger daga ci gaban kasuwar hannun jari a wasu ƙasashen CEE.
• Ukraine: Tana nuna dalili mai hanya biyu tsakanin ma'aunin hannun jari na cikin gida da EMP. Bugu da ƙari, canje-canjen farashin kayayyaki na duniya suna haifar da EMP na Ukraine.

3.3 Binciken Ayyukan Amsa na Gaggawa (IRFs)

IRFs suna ba da hoto mai ƙarfi:

• Girgiza mara kyau ga farashin mai na duniya ko kayayyaki yana haifar da haɓaka EMP mai mahimmanci kuma mai dorewa (matsi don raguwa) ga Ukraine.
• Ga Hungary, girgiza mai kyau ga kasuwannin hannun jari na yankin Yuro ko Amurka yana rage EMP (yana sauƙaƙa matsin lamba), yana daidaitawa da tashar halin "haɗari".
• Amsoshi a Poland sun fi alaƙa da girgiza da suka samo asali daga cikin yankin CEE.

3.4 Binciken Takamaiman Ƙasa

4. Tattaunawa da Abubuwan Da Ake Nufi

4.1 Abubuwan Da Ake Nufi ga Bankunan Tsakiya na Gabashin Turai ta Tsakiya

Sakamakon binciken ya nuna cewa hanyar manufa "guda ɗaya ta dace da kowa" ba ta isa ba. Dole ne masu tsara manufofi su keɓance tsarin sa ido da shiga tsakani bisa takamaiman bayyanar raunin ƙasarsu:

• Bankin Ƙasa na Hungary ya kamata ya sa ido sosai kan halin haɗari na duniya da kwararar jari.
• Hukumomin kwanciyar hankali na kuɗi na Poland suna buƙatar mai da hankali sosai kan hanyoyin yaɗuwar cuta na yanki.
• Dole ne masu tsara manufofi na Ukraine su haɗa hasashen farashin kayayyaki cikin dabarun sarrafa farashin musanya da tanadi.

4.2 Iyakokin Binciken

Binciken ya yarda da iyakoki: amfani da bayanan wata-wata na iya rasa ƙarfin da ke da sauri; ma'aunin EMP, duk da yake daidaitacce, yana da muhawara game da nauyinsa; kuma tsarin VAR ya kafa haɗin ƙididdiga amma bai bayyana takamaiman hanyoyin tattalin arziki ba (misali, ma'auni na ciniki, kwararar fayil).

5. Cikakkun Bayanai na Fasaha da Tsarin Lissafi

Babban ma'aunin EMP na ƙasa i a lokacin t an gina shi kamar haka:

$EMP_{i,t} = \frac{\Delta e_{i,t}}{\sigma_{\Delta e_i}} - \frac{\Delta r_{i,t}}{\sigma_{\Delta r_i}} + \frac{\Delta (i_{i,t} - i_{f,t})}{\sigma_{\Delta (i_i-i_f)}}$

Inda:
$\Delta e_{i,t}$ = canjin kashi a cikin farashin musanya (LCU/FCU).
$\Delta r_{i,t}$ = canjin kashi a cikin tanadin kuɗin waje (alamar mara kyau).
$\Delta (i_{i,t} - i_{f,t})$ = canji a cikin bambancin ƙimar riba.
$\sigma$ = daidaitaccen karkace na jerin abubuwan da suka dace a cikin samfurin, ana amfani da shi don daidaitawa.

An ƙayyade ƙirar VAR(p) mai rage siffa kamar haka:
$Y_t = c + A_1 Y_{t-1} + A_2 Y_{t-2} + ... + A_p Y_{t-p} + u_t$
inda $Y_t$ vector ne na masu canji masu ƙarewa (misali, [EMP, Komawar Hannun Jari na Cikin Gida, Canje-canjen Farashin Mai]), $c$ vector ne na madaidaicin, $A_j$ matrices ne na ƙididdiga, kuma $u_t$ vector ne na kurakuran sauti fari.

6. Sakamako da Bayanin Jadawali

Hoto na 1 (Hasashe): Jerin Lokaci na Ma'aunin EMP (1998-2017). Jadawali mai ɗakuna da yawa yana nuna daidaitaccen ma'aunin EMP ga kowace ƙasa shida na CEE. Duk jerin sun nuna kololuwa a lokacin 2008-2009. Layin Ukraine yana nuna mafi girman sauyi da manyan haɓaka da yawa a waje da 2008, wanda ya dace da rikice-rikicen siyasa da tattalin arziki. Layin Czech ya bayyana mafi santsi kuma mafi ƙarancin sauyi.

Hoto na 2 (Hasashe): Ayyukan Amsa na Gaggawa ga Ukraine. Rukunin jadawali. Babban jadawali yana nuna amsar EMP na Ukraine ga girgiza mara kyau a Farashin Mai na Duniya. Amsar nan da nan tana da kyau (EMP yana ƙaruwa), yana da mahimmanci na ƙididdiga na kimanin watanni 6-8, sannan a hankali yana lalacewa zuwa sifili. Wani jadawali yana nuna amsar Komawar Hannun Jari na Ukraine ga girgiza a cikin EMP na Ukraine, yana tabbatar da madauki na amsa mai hanya biyu.

7. Tsarin Bincike: Misalin Nazarin Lamari

Yanayi: Faɗuwar kashi 20% a farashin mai na duniya a cikin kwata.
Aiwatar da Tsarin:

1. Hanya Kai Tsaye (Ukraine): Ta amfani da kiyasin IRF daga ƙirar takardar, zamu iya ƙididdige ƙimar haɓakar ma'aunin EMP na Ukraine. Wannan yana fassara zuwa babban yuwuwar raguwar hryvnia, asarar tanadi, ko buƙatar haɓaka ƙimar riba.
2. Hanya Kai Tsaye ta Kai Tsaye/Yanki (Poland): Duk da yake Poland ba ta dogara da kayayyaki sosai, girgizar mai na iya haifar da halin "ƙin haɗari" na yanki. Sakamakon dalilin Granger ya nuna EMP na Poland zai iya shafar ta hanyar watsawa daga wasu kasuwannin hannun jari na CEE waɗanda ke amsa ga tsoron ci gaban duniya da faɗuwar farashin mai ya haifar.
3. Hanyar Sake Daidaita Fayil (Hungary): Girgizar mai na iya rage kasuwannin hannun jari na duniya (S&P 500). Ƙaddamar da dalili daga hannun jari na duniya zuwa EMP na Hungary yana nuna wannan zai iya watsa matsin lamba ga forint yayin da masu saka hannun jari na duniya suka ja da baya daga kasuwannin masu tasowa.

Wannan nazarin lamari yana kwatanta yadda za a iya amfani da sakamakon binciken na zahiri na takardar don gudanar da gwajin matsin lamba da nazarin yanayi don kwanciyar hankali na kuɗi.

8. Ayyukan Gaba da Hanyoyin Bincike

• Bincike Mai Sauri: Yin kwafin binciken tare da bayanan yau da kullun ko cikin rana don ɗaukar watsawa mai sauri, musamman a lokutan rikici, kama da tsarin watsawa mai sauri da ake amfani da shi a cikin bincike kamar Diebold & Yilmaz (2012).
• Binciken Hanyar Sadarwa na Watsawa: Yin amfani da hanyoyin bincike daga Diebold & Yilmaz (2014) don ƙirƙirar tsarin kuɗi na CEE a matsayin hanyar sadarwa, ƙididdige rawar da kowace ƙasa ke takawa a matsayin mai watsawa ko mai karɓar girgiza.
• Haɗawa tare da Tushen Tattalin Arziki: Ƙara VAR don haɗawa da masu canji kamar ma'auni na asusun yanzu, ci gaban bashi, ko alamomin kasafin kuɗi don matsawa daga alaƙa zuwa ƙarin fahimtar hanyoyi.
• Haɓaka Koyon Injin: Yin amfani da kayan aiki kamar LASSO-VAR ko hanyoyin sadarwa na jijiya don sarrafa babban saitin masu hasashe da kuma gano alaƙar da ba ta layi ba wanda VAR na layi na yau da kullun zai iya rasa.
• Kayan Aikin Kwaikwayon Manufa: Haɓaka dashboard don bankunan tsakiya waɗanda ke shigar da bayanan lokaci-lokaci akan masu canji na duniya kuma suna fitar da hasashen yuwuwar EMP bisa ga ƙiyasin ƙirar.

9. Nassoshi

1. Hegerty, S. W. (2018). Matsin kasuwar musanya, farashin hannun jari, da farashin kayayyaki a gabashin Yuro. Journal of Economics and Management, 31(1), 75-?.
2. Diebold, F. X., & Yilmaz, K. (2012). Gara ka ba da fiye da karɓa: Ma'aunin shugabanci na hasashe na watsawa mai sauri. International Journal of Forecasting, 28(1), 57-66.
3. Diebold, F. X., & Yilmaz, K. (2014). A kan topology na hanyar sadarwa na rarraba bambance-bambance: Auna haɗin kai na kamfanonin kuɗi. Journal of Econometrics, 182(1), 119-134.
4. Kaminsky, G. L., & Reinhart, C. M. (1999). Rikicin tagwaye: dalilan matsalolin banki da ma'auni na biyan kuɗi. American economic review, 89(3), 473-500.
5. Pesaran, H. H., & Shin, Y. (1998). Binciken amsa na gaggawa gabaɗaya a cikin ƙirar multivariate na layi. Economics letters, 58(1), 17-29.
6. Asusun Ba da Lamuni na Duniya (IMF). (2023). Rahoton Kwanciyar Hankali na Kuɗi na Duniya. An samo daga https://www.imf.org.

10. Fahimtar Mai Bincike: Rarraba Matakai Hudu

Fahimta ta Asali: Wannan takarda tana ba da gaskiya mai mahimmanci, wacce ake yawan rasa: a cikin "ƙungiyar CEE" da ake ganin ta yi kama da juna, raunin kuɗi ba guda ɗaya ba ne. Jamhuriyar Czech tana aiki tare da keɓancewa kamar na Swiss, Hungary tauraro ne na kwararar jari na duniya, Poland tana cikin yanar gizo na yanki, kuma Ukraine kasuwa ce mai tasowa mai dogaro da kayayyaki tare da madauki mai sauyi na cikin gida. Yin watsi da waɗannan layukan kuskure shine girke-girke don ƙima mara kyau na haɗari.

Kwararar Ma'ana: Hanyar marubucin tana da inganci ta hanyar bincike amma ta al'ada. Gina ma'aunin EMP → gano lokutan rikici → amfani da kayan aikin VAR na kasuwa (Granger, IRFs). Ƙarfin ba ya cikin sabon tattalin arziki amma a cikin aikace-aikacen a hankali zuwa yankin da ba a yi bincike sosai ba. Tsalle-tsalle na ma'ana daga sakamakon ƙididdiga zuwa fassarar tattalin arziki (misali, "watsawa na duniya" da "yaɗuwar cuta ta yanki") an yi hujja da kyau amma, kamar yadda suka yarda, sun tsaya gaba ɗaya don gano takamaiman hanyoyin watsawa (carry trade unwinds? hanyoyin bashi na ciniki?).

Ƙarfi & Kurakurai:
Ƙarfi: Rarraba ƙasa-ƙasa, ƙasa-ƙasa shine kambin binciken. Matsawa bayan matsakaicin yanki yana bayyana mahimman abubuwan ban mamaki. Mayar da hankali kan hanyoyin hannun jari DA kuma kayayyaki yana da cikakke. Samfurin 1998-2017 yana ɗauke da rikice-rikice da yawa.
Kurakurai: Yawan bayanan wata-wata makafi ne mai mahimmanci a duniyar cinikin algorithm; watsawa sau da yawa yana faruwa a cikin sa'o'i, ba watanni ba. Ma'aunin EMP, duk da yake daidaitacce, akwatin baki ne—sassansa (farashin musanya, tanadi, ƙima) na iya motsawa ta hanyoyin da suka dace saboda manufa, suna ɓoye matsin lamba na gaskiya. Binciken yana jin kamar babban taswira na ƙasa na da; amfaninsa don hasashen na gaba rikici yana da iyaka ba tare da haɗa alamomin gaba ko bayanan halin kasuwa ba.

Fahimta Mai Aiki:

1. Ga Masu Zuba Jari: Jefar da tunanin "ETF na CEE". Ƙirƙiri kadarorin Czech a matsayin ƙananan-beta ga kuɗin duniya, kare abubuwan da Poland ke da su daga maƙwabta na yanki, da kuma ɗaukar Ukraine a matsayin amintacciyar fare akan kayayyaki tare da babban haɗarin siyasa.
2. Ga Masu Gudanar da Haɗari: Gina ƙirar faɗakarwa na farko daban-daban ga kowane nau'in ƙasa da aka gano. Ga Hungary, sa ido kan VIX da manufar Fed. Ga Poland, ƙirƙiri ma'auni na yanayin kuɗi na yanki. Ga Ukraine, kafa yanayi zuwa rukunin farashin mai.
3. Ga Masu Tsara Manufofi (CEE): Nasarar da Bankin Ƙasa na Czech ya samu a cikin rabuwa wani binciken lamari ne da za a sake ginawa. Hungary da Poland dole ne su tambaya ko tsarin manufofin su na kuɗi sun isa ga hanyoyin watsawa da suka fi rinjaye. Sakamakon Ukraine shine babbar gargadi don bambanta tattalin arzikinta da gina manyan akwatunan yaƙi.
4. Ga Masu Bincike: Wannan takarda ita ce tushe mai kyau. Mataki na gaba nan da nan shine sake gudanar da wannan binciken tare da bayanan yau da kullun da haɗa kayan aikin binciken hanyar sadarwa (à la Diebold & Yilmaz) don matsawa daga dalili mai hanya biyu zuwa taswirar haɗarin tsarin gaba ɗaya na hanyar sadarwar kuɗi na CEE.

A zahiri, aikin Hegerty ƙaramin kayan aikin hasashe ne kuma tsarin bincike ne—mataki na farko mai mahimmanci a cikin ba da maganin da ya dace ga marasa lafiya huɗu daban-daban.