Kumfa na Hankali da Rikicin Kuɗin Waje: Bincike na Markov-Switching akan Farashin Musayar Ba bisa Ka'ida ba na Iran

1. Gabatarwa & Bayyani

Wannan bincike yana bincika kasancewa da kuma yanayin kumfa na hasashe na hankali a cikin kasuwar musayar kuɗin waje ba bisa ka'ida ba ta Iran (USD/IRR) daga 2010 zuwa 2018. Babbar matsalar da aka magance ita ce karkatar da farashin musayar ya yi daga ƙimar sa na asali, wanda hare-haren hasashe da halayyar garke ke haifarwa, wanda zai iya haifar da cikakken rikicin kuɗi idan masu tsara manufofi ba su kula ba. Babban manufar binciken ita ce samar da ingantaccen tsarin gargadi na farko wanda zai iya gano yanayin kumfa a ainihin lokacin, don haka ya ba da damar shisshigin babban bankin ƙasa mai inganci.

Marubutan suna jayayya cewa tsarin farashin musayar na gargajiya (misali, Meese & Rogoff, 1983) sun kasa bayyana sauyin lokaci na gajere, yana buƙatar tsarin da ya haɗa da ilimin halayyar kasuwa da sauye-sauyen tsarin mulki. Sun yi amfani da ingantaccen tsarin Markov-switching mai sarrafa kansa tare da jihohi daban-daban guda uku (Fashewa, Natsuwa, Rugujewa) da kuma yuwuwar canji mai sauyi (TVTP) wanda ya dogara da alamomin asali kamar ajiyar kuɗin waje da tsananin takunkumi. Wannan hanya tana ba da damar tsarin ba kawai ya gano kumfa ba, har ma ya iya hasashen yuwuwar shiga cikin yanayin rikici.

2. Tsarin Ka'ida & Bita na Adabi

2.1 Kumfa na Hankali a cikin Farashin Kadari

Ma'anar kumfa na hankali ta nuna cewa farashin kadari na iya karkata daga ƙimar su na asali idan 'yan kasuwa suna tsammanin sayar da kadarin da ya wuce kima ga "wawa mafi girma" a nan gaba. A cikin mahallin musayar kuɗin waje, wannan yana bayyana a matsayin annabci mai cika kansa inda tsammanin raguwar ƙima ke ƙarfafa buƙatun hasashe, yana ƙara haɓaka farashin. Kumfa yana ci gaba da kasancewa muddin yawan girman kumfa da ake tsammani ya yi daidai da ƙimar rangwame.

2.2 Rikicin Raba & Kuɗin Halayya

Shahararriyar "rikicin raba farashin musayar" tana nufin raunannen alaƙar gajeren lokaci tsakanin farashin musayar da tushen tattalin arziki. Wannan binciken ya yi daidai da adabin kuɗin halayya, yana nuna cewa motsin rai kamar tsoro da haɗama, wanda halayyar garke ke ƙarfafawa, na iya mamaye motsin kasuwa a cikin ɗan gajeren lokaci, yana haifar da karkatacciyar hanyar da tsarin tushe ba zai iya bayyana ba.

2.3 Tsarin Markov-Switching a cikin Tattalin Arziki

Hamilton (1989) ya fara gabatar da shi, tsarin Markov-switching yana ba da damar sigogin tsarin jerin lokaci su canza bisa ga ma'aunin yanayin da ba a gani ba wanda ke bin sarkar Markov. Wannan ya dace musamman ga kasuwannin kuɗi waɗanda ke fuskantar sauye-sauye tsakanin lokutan natsuwa da tashin hankali. Ƙaddamarwa zuwa Yuwuwar Canji Mai Sauyi (TVTP), kamar yadda aka yi amfani da shi a nan, yana ba da damar yuwuwar canza jihohi ya dogara da yanayin tattalin arziki da aka lura, yana ƙara ƙarfin hasashe.

3. Hanyoyin Bincike & Ƙayyadaddun Tsari

3.1 Bayanai & Masu Canji

Binciken yana amfani da bayanan wata-wata na farashin musayar USD/IRR ba bisa ka'ida ba (kasuwar baƙar fata). Tsarin TVTP ya haɗa da mahimman alamomin gargadi guda biyu: 1) Ma'aunin Tsananin Takunkumi: Wakilin girgiza na waje yana haifar da buƙatar kuɗin waje. 2) Canje-canje a cikin Ajiyar Kuɗin Waje: Alamar ikon babban bankin ƙasa na kare kuɗin.

3.2 Tsarin Markov-Switching mai Yanayi Uku

An tsara jerin dawowar farashin musayar ba bisa ka'ida ba ($r_t$) kamar haka:

$r_t = \mu_{S_t} + \phi r_{t-1} + \epsilon_t, \quad \epsilon_t \sim N(0, \sigma_{S_t}^2)$

inda $S_t \in \{1,2,3\}$ ke nuna yanayin ɓoyayye a lokacin $t$, wanda yayi daidai da yanayin Natsuwa ($\mu$ ƙasa, $\sigma$ ƙasa), Fashewa ($\mu$ sama, $\sigma$ sama), da Rugujewa ($\mu$ mara kyau, $\sigma$ sama).

3.3 Yuwuwar Canji Mai Sauyi

Sabon abu shine sanya matrix ɗin yuwuwar canji $P_t$ ya dogara da lokaci. An tsara yuwuwar motsawa daga jiha $i$ zuwa jiha $j$ a matsayin aikin logistic na alamomin gargadi ($z_t$):

$p_{ij,t} = \frac{\exp(\alpha_{ij} + \beta_{ij} z_t)}{1 + \sum_{k\neq i} \exp(\alpha_{ik} + \beta_{ik} z_t)}$

Wannan yana ba da damar tushen ya yi tasiri kai tsaye kan haɗarin shiga cikin yanayin kumfa ko rikici.

4. Sakamakon Bincike & Bita

4.1 Gano Yanayi & Lokutan Kumfa

Tsarin ya yi nasarar gano lokutan kumfa masu fashewa da yawa a cikin kasuwar musayar kuɗin waje ba bisa ka'ida ba ta Iran, waɗanda suka yi daidai da sanannun lokutan damuwa na tattalin arziki da haɓakar takunkumi:

• Yanayin Fashewa: An ƙayyade su daidai zuwa lokuta kamar 2011/07, 2012/04, 2012/10-11, da musamman 2017/01-06. Lamarin na 2017 ya yi daidai da sabon tashin hankali na siyasa da tsammanin takunkumi.
• Yanayin Rugujewa: Yakan biyo bayan lokutan fashewa, yana nuna lokacin rugujewa bayan kololuwar kumfa.
• Yanayin Natsuwa: Sun zo daidai da lokutan ƙaramar ƙima mai bin yanayin kasuwa da kwanciyar hankali.

Bayanin Chati: Zanen yuwuwar da aka sassauta zai nuna yuwuwar kasancewa a cikin Yanayin Fashewa (y-axis) akan lokaci (x-axis). Kololuwar da ta kai kusan 1.0 zai yi alama a sarari da abubuwan da aka jera a sama, yana nuna ikon rarraba tsarin mulkin tsarin.

4.2 Ayyukan Alamomin Gargadi na Farko

Ma'aunin takunkumi ya tabbatar da kasancewa babban mai haifar da canje-canje zuwa yanayin fashewa ($\beta_{ij}$ tabbatacce kuma mai mahimmanci). Ragewar ajiyar kuɗin waje ya ƙara yuwuwar canzawa daga yanayin fashewa zuwa rugujewa, yana nuna asarar ikon kariya.

4.3 Binciken Shisshigin Babban Bankin ƙasa

Tsarin ya nuna cewa shisshigin babban bankin ƙasa da aka yi niyyar rage matsin lamba na kasuwa sau da yawa bai isa ya hana ko huda kumfa ba da zarar tsarin fashewa ya kama, yana nuna ƙarfin tsammanin cika kansa.

5. Cikakkun Bayanai na Fasaha & Tsarin Lissafi

Ana yin babban ƙididdiga ta hanyar Ƙididdiga Mafi Girma (MLE) ta amfani da algorithm na tsammani-ƙaruwa (EM) ko hanyoyin Bayesian MCMC, waɗanda suka zama ma'auni don tsarin masu canji na ɓoyayye. Aikin yuwuwar ya haɗa duk yuwuwar hanyoyin jiha:

$L(\Theta | r) = \sum_{S_1}...\sum_{S_T} \prod_{t=1}^{T} f(r_t | S_t, \Theta) \cdot Pr(S_t | S_{t-1}, z_t, \Theta)$

inda $\Theta$ ya ƙunshi duk sigogi ($\mu_{S_t}, \phi, \sigma_{S_t}, \alpha_{ij}, \beta_{ij}$). Zaɓin tsarin mai yiwuwa ya yi amfani da ma'auni kamar Ma'aunin Bayanai na Bayesian (BIC) don tabbatar da ƙayyadaddun TVTP na jihohi uku daidai da madadin mafi sauƙi.

6. Tsarin Bita: Nazarin Lamari na Aiki

Yanayi: Manazari a Babban Bankin Iran a farkon 2017.

Shigarwa: Ƙididdigar tsarin Markov-switching na TVTP daga bayanan tarihi (2010-2016). Bayanan ainihin lokaci: Karuwar wata-wata mai tsanani a cikin ma'aunin takunkumi saboda sabbin barazanar doka, tare da zubar da ajiyar kuɗin waje a hankali.

Aikace-aikacen Tsarin:

1. Tace Jiha: Ta amfani da ma'auni na tace tsarin, lissafta yuwuwar cewa kasuwa a halin yanzu tana cikin yanayin Natsuwa ($Pr(S_t = 1 | r_{1:t}, z_{1:t})$). Yi zaton wannan yuwuwar ta faɗi daga 0.8 zuwa 0.4.
2. Lissafin Haɗarin Canji: Saka ma'aunin takunkumi mai girma na yanzu ($z_t$) cikin aikin logistic na TVTP. Tsarin yana fitar da babban yuwuwar $p_{13,t}$ (misali, 0.3) na motsawa kai tsaye daga Natsuwa zuwa Fashewa, idan aka kwatanta da tushe na 0.05.
3. Kwaikwayon Manufofi: Manazarcin zai iya yin kwaikwayon yanzu: "Idan muka shigar da ajiyar dala biliyan X, ta yaya zai shafi $p_{13,t}$ da $p_{23,t}$ (Fashewa zuwa Rugujewa)?" Tsarin yana ba da amsoshi masu ƙima, masu yuwuwa.
4. Fitowa: Gargadin dashboard: "BABU HADARI na shiga tsarin kumfa na hasashe a cikin watanni 1-2. Aikin da aka ba da shawarar: Nuna ƙuduri mai ƙarfi na kare kuɗi da shirya hanyar shigar da ruwa."

7. Aikace-aikace na Gaba & Hanyoyin Bincike

• Kasuwar Cryptocurrency: Yin amfani da tsarin Markov-switching na TVTP don gano kumfa a cikin Bitcoin ko wasu kadarin crypto, ta amfani da ma'auni na kan sarkar (misali, ƙimar hash na hanyar sadarwa, adiresoshin aiki) azaman masu tuƙi na canji.
• Haɗawa tare da AI/ML: Yin amfani da lokutan kumfa da aka gano ta tsarin a matsayin bayanan da aka yiwa lakabi don horar da tsarin koyon injin da aka kula (misali, Dazuzzukan Bazuwar, LSTMs) akan ƙarin saiti na alamomin mita mai girma (ra'ayin labarai, kwararar oda) don ganowa har ma da farko.
• Ƙirƙirar Dokokin Manufofi: Saka tsarin a cikin tsarin sarrafa mafi kyau na stochastic don samar da ingantattun dokokin shisshigin babban bankin ƙasa waɗanda ke rage aikin asara da aka ayyana akan hauhawar farashin kayayyaki, ajiya, da sauyin farashin musayar.
• Binciken Ƙasashe Daban-daban: Yin amfani da hanya ɗaya ga kwamitin kasuwannin masu tasowa tare da farashin musayar da aka sarrafa (misali, Turkiyya, Argentina) don gano abubuwan gama gari kafin damuwa na forex da gwada gama gari na alamomi kamar tsananin takunkumi.

8. Fahimtar Manazarcin Tsakiya: Rarrabuwa ta Matakai Hudu

Fahimtar Tsakiya: Wannan takarda tana ba da gaskiya mai mahimmanci, wanda sau da yawa ake yin watsi da shi: a cikin tsarin sarrafa forex a ƙarƙashin kewaye na waje (kamar na Iran), farashin musayar ba game da daidaiton ikon siye ba ne fiye da game da ilimin halin rayuwa na tsarin mulki. Marubutan sun sake tsara "kumfa" cikin wayo ba a matsayin kuskuren farashi ba, amma a matsayin ma'aunin yanayin firgita na gama gari na kasuwa, wanda tushen siyasa (takunkumi) ya haifar kuma tsammanin raguwar ƙima na hankali ya ci gaba da riƙe shi. Babbar gudummawar su ita ce aiwatar da wannan fahimta cikin tsarin Markov-switching na TVTP wanda ke ƙididdige yuwuwar firgita.

Kwararar Hankali: Hujja tana da kyau kuma ba ta da iska: (1) Tsarin daidaitattun sun kasa aiki ga Iran → (2) Saboda haka, haɗa kumfa da tsarin mulki → (3) Amma tsarin mulki na tsaye yana da hangen nesa na baya → (4) Magani: Bari yuwuwar canza tsarin mulki ya dogara da ainihin abubuwan da suka dace da manufofi na ainihin lokaci (takunkumi, ajiya). Wannan yana haifar da madauki na amsawa inda lalacewar tushe ba kawai ya shafi matakin farashi ba, amma yana ƙara haɗarin rushewar kasuwa mara layi. Tsarin gargadi ne mafi girma saboda yana ƙirƙira "yanayin" ɓoyayyen kasuwa, ba kawai motsin da ya gabata ba.

Ƙarfi & Kurakurai:
Ƙarfi: Ƙwararrun hanyoyin bincike suna kan saman matsayi. Yin amfani da TVTP babban haɓaka ne akan tsarin Markov-switching na asali kuma ya dace daidai don hasashen rikici. Zaɓin takunkumi a matsayin direba yana da wayo a cikin mahallin kuma an tabbatar da shi ta hanyar gwaji. Daidaitawar lokutan fashewa da aka gano tare da rikice-rikicen duniya (misali, 2017) yana ba da ingantaccen inganci na fuska.
Kurakurai: Nasarar tsarin ita ma iyakarta ce—an daidaita shi da kyau ga cuta ta musamman na tattalin arzikin Iran mai dogaro da mai, mai farashin musayar biyu. Zaɓi zuwa wasu mahallin yana da shakka ba tare da sake ginin alama mai girma ba. Bugu da ƙari, tsarin a ƙarshe ƙwararren kayan aikin bayyanawa da hasashe ne; ya tsaya kafin ya ba da shawarar ma'auni mafi kyau da lokacin shiga tsakani. Kamar yadda yake tare da duk tsarin canjin tsarin mulki, akwai haɗarin wuce gona da iri ga tsarin mulkin tarihi wanda bazai maimaita ba.

Fahimta Mai Aiki:

1. Ga Masu Tsara Manufofi (CBI): Wannan tsarin ya kamata ya kasance yana aiki kai tsaye. Fitowar dashboard (yuwuwar yanayin fashewa/rugujewa) dole ne ya zama babban shigarwa cikin shawarwarin kwamitin manufofin kuɗi. Yana jayayya don shiga tsakani na gaba, na alama lokacin da haɗarin canji ya tashi, maimakon mayar da martani bayan kumfa ya ƙone.
2. Ga Masu Zuba Jari & Masu Gudanar da Haɗari: Ku ɗauki yanayin "natsuwa" ba a matsayin tushen aminci ba, amma a matsayin yanayi mai rauni tare da yuwuwar tserewa mai sauyi. Yi kariya ko rage bayyanuwa ba lokacin da farashin ya motsa ba, amma lokacin da haɗarin canji na tsarin ya tashi, ko da kuwa farashin wuri yana natsuwa.
3. Ga Masu Bincike: Samfurin a nan—TVTP Markov-switching tare da masu tuƙin tattalin arzikin siyasa—ana iya fitar da shi. Aiwatar da shi ga ƙasashe da ke fuskantar irin wannan "tsayawa kwatsam" ko haɗarin siyasa. Mataki na gaba shine haɗa wannan tare da bayanan ƙananan tsarin kasuwa don ganin ko tsarin kwararar oda yana haifar da canjin tsarin mulki kafin tushen ya yi.

9. Nassoshi

1. Hamilton, J. D. (1989). Sabuwar hanya ga nazarin tattalin arziki na jerin lokutan da ba su tsaya ba da kuma tsarin kasuwanci. Econometrica, 57(2), 357-384.
2. Meese, R. A., & Rogoff, K. (1983). Samfurin farashin musayar kuɗi na shekarun saba'in: Shin sun dace daga cikin samfurin? Journal of International Economics, 14(1-2), 3-24.
3. Filardo, A. J. (1994). Matakan tsarin kasuwanci da motsin su na canji. Journal of Business & Economic Statistics, 12(3), 299-308. (Aikin farko akan samfurin TVTP).
4. Blanchard, O. J. (1979). Kumfa na hasashe, faɗuwa da tsammanin hankali. Economics Letters, 3(4), 387-389.
5. Asusun Ba da Lamuni na Duniya. (2019). Rahoton Shekara-shekara kan Tsare-tsaren Musayar Kuɗi da Ƙuntatawa (AREAER). Washington, DC: IMF. (Don mahallin tsarin farashin musayar Iran).
6. Gourinchas, P. O., & Obstfeld, M. (2012). Labarun ƙarni na ashirin don na ashirin da ɗaya. American Economic Journal: Macroeconomics, 4(1), 226-65. (Akan abubuwan da suka faru kafin rikici).