آمار
| تعداد نشریات | 29 |
| تعداد شماره‌ها | 431 |
| تعداد مقالات | 4,216 |
| تعداد مشاهده مقاله | 6,796,942 |
| تعداد دریافت فایل اصل مقاله | 5,043,961 |
طراحی الگوی تعادل عمومی پویای تصادفی به منظور بررسی تاثیر سیاست پولی بر متغیرهای کلان اقتصادی از کانال وام‌دهی بانک | ||
| پژوهشنامه اقتصاد کلان Macroeconomics Research Letter | ||
| مقاله 3، دوره 18، شماره 38، دی 1402، صفحه 57-80 اصل مقاله (857.05 K) | ||
| نوع مقاله: علمی | ||
| شناسه دیجیتال (DOI): 10.22080/iejm.2024.26159.2002 | ||
| نویسندگان | ||
| یزدان گودرزی فراهانی* 1؛ محسن مهرآرا2؛ منصور حق طلب3 | ||
| 1استادیار گروه اقتصاد اسلامی، دانشکده علوم اقتصادی و اداری، دانشگاه قم | ||
| 2استاد دانشکده اقتصاد دانشگاه تهران | ||
| 3دکتری اقتصاد دانشگاه تهران | ||
| تاریخ دریافت: 19 مهر 1402، تاریخ بازنگری: 19 دی 1402، تاریخ پذیرش: 19 دی 1402 | ||
| چکیده | ||
| سیاستگذاران پولی برای تصمیم گیری در خصوص سیاست‌های پولی، باید ارزیابی دقیقی از مدت زمان و میزان اثر سیاست‌ها بر اقتصاد داشته باشند. این ارزیابی دقیق سیاست‌ها، نیازمند درک سازوکارهایی است که منطبق بر آن، سیاست پولی بر بخش‌های واقعی اقتصاد تاثیر می‌گذارد. بر اساس مطالعات صورت گرفته، این توافق وجود دارد که پول در بلند‌مدت خنثی است و تاثیری بر بخش حقیقی اقتصاد ندارد، اما در مورد اثر سیاست پولی بر متغیرهای واقعی در کوتاه‌‌‌مدت، اتفاق نظر وجود ندارد. هدف این مطالعه بررسی تاثیر سیاست پولی از کانال وام‌دهی بانک بر متغیرهای کلان در اقتصاد ایران است. در راستای تجزیه و تحلیل نتایج از روش تعادل عمومی پویای تصادفی با لحاظ ساختار سیستم بانکی در بازه زمانی 1368-1401 بر اساس فراوانی داده‌های فصلی استفاده گردید. در بخش تحلیل آماری اثر تکانه وارد شده از ناحیه شاخص سیاست پولی بر متغیرهای بانکی و اقتصاد کلان مورد مقایسه و ارزیابی قرار گرفت. بر اساس نتایج بدست آمده می‌توان بیان کرد که اکثر متغیرهای کلان اقتصادی بیشترین واکنش مثبت به شوک وارد شده از ناحیه وام بانکی به عنوان کانال اثر گذاری سیاست پولی از خود نشان داده‌اند. | ||
| کلیدواژه‌ها | ||
| ترازنامه بانک؛ وام؛ سیاست پولی؛ سیستم بانکی؛ مدل تعادل عمومی پویای تصادفی (DSGE) | ||
| عنوان مقاله [English] | ||
| Designing a Dynamic Stochastic General Equilibrium Model to Investigate the Effect of Monetary Policy on Macroeconomic Variables from the Bank Lending Channel | ||
| نویسندگان [English] | ||
| Yazdan Gudarzi Farahani1؛ Mohsen Mehrara2؛ Mansour Haghtalab3 | ||
| 1Assistant Professor, Department of Islamic Economics, Faculty of Economic and Administrative Sciences, Qom University | ||
| 2استاد دانشکده اقتصاد دانشگاه تهران | ||
| 3دکتری اقتصاد دانشگاه تهران | ||
| چکیده [English] | ||
| To make decisions about monetary policies, monetary policymakers must accurately assess the duration and extent of the policy's effect on the economy. This accurate evaluation of policies requires understanding the mechanisms according to which monetary policy affects the real sectors of the economy. Based on the studies, there is an agreement that money is neutral in the long term and has no effect on the real sector of the economy, but there is no consensus on the effect of monetary policy on real variables in the short term. Therefore, the short-term relationship between nominal and real variables is crucial for implementing monetary policy and needs further investigation. This study aims to investigate the impact of monetary policy through bank facilities on macro variables in Iran's economy. To analyze the results, the random dynamic general equilibrium method was used in terms of the banking system’s structure in the period of 1989-2022 based on the frequency of seasonal data. The advantage of the present study is in the modeling of the balance sheet of the banking system and its relationship with the balance sheet of the central bank and the modeling of the effect of monetary policy from the path of bank facilities on the variables of the real and nominal sectors of the economy. The statistical analysis section compared and evaluated the impact of the monetary policy index on banking and macroeconomic variables. Based on the results obtained, it can be stated that macroeconomic variables, including production, inflation, consumption, and investment, have shown a positive reaction to the impulse from banking facilities as a way to influence monetary policy. | ||
| کلیدواژه‌ها [English] | ||
| bank balance sheet, loan, monetary policy, banking system, dynamic stochastic general equilibrium (DSGE) model | ||
| مراجع | ||
|
Ahmadyan, A. (2016). Modeling a Dynamic Stochastic General Equilibrium Model for the Iranian Bank Withdrawal. The Journal of Economic Policy, 7(14), 77-103 (In Persian). Borghei M S, Mohammadi T. Conditional Exchange Rate Pass-Through to Consumer Prices in Iran: A DSGE Approach. QJER 2018; 18 (2) :21-48 Amirali, M., bakhshi dastjerdi, R., & vaez barzani, M. (2023). The Real Effects of the Bank’s Function as a Creator of Liquidity through Lending and Factitious Rollover of Non-Performing Loans Channels (DSGE Approach). Journal of Economic Research (Tahghighat- E- Eghtesadi), 57(4), 583-628 (In Persian). Asefi, N., Karimi, Z., Haghighat, J., & Barghi oskouei, M. M. (2022). The effect of monetary policy on financial development through the asset price channel. Economic Growth and Development Research, 12(46), 46-35 (In Persian). Bastin, H., Thabit, H., Salehi Razouh, M., & Hosseinpour, K. (2019). Comparative analysis of monetary policy transmission channels in Iran's economic sanctions: quantile regression approach. Applied Economics, 10(34 and 35), 31-46 (In Persian). Beckner, S.K (1996). Back from the Brink: The Greenspan Years. Wiley, New York. Berg, B., Charry, L., Portillo, R., & Vlcek, J. (2013). The monetary transmission mechanism in the tropics: A narrative approach. Working Paper WP/13/197. International Monetary Fund. Bernanke, B. & Gertler, M. (1995). Inside the black box: the credit channel of monetary Transmission. Journal of Economic Perspectives, 9(2), 27–48. Bernanke, B. (1993). How important is the credit channel in the monetary policy, Acomment; Carnegie-Rochester Conference series on public policy 39, North Holland, 47-52. Boivin, J (2001). The Fed’s conduct of monetary policy: has it changed and does it matter?. Columbia University. Boukhatem, J., & Djelassi, M. (2022). The bank-lending channel of monetary policy transmission in a dual banking system: empirical evidence from panel VAR modeling. Cogent Economics & Finance, 10(1), 12-35. Centeral Bank of Iran (2023). Statistical reports of the central bank in different years. Dixit, A. K. & Stiglitz, J. E. (1977). Monopolistic competition and optimum product diversity. The American economic review, 67(3), 297-308. Gerali, A., Neri, S., Sessa, L., & Signoretti, F. M. (2010). Credit and banking in a DSGE model of the euro area. Journal of Money, Credit and Banking, 42(S1), 107–141. Gohari Anaraki, S., Mehrara, M., & Barkhordari, S. (2023). Evaluating the effect of banks' liquidity shock on the excess reserves and business cycles in Iran with the DSGE model. The Journal of Economic Policy, 14(28), 247-283 (In Persian). Gudarzi Farahani, Y., & Arabi, S. H. (2021). The collateral constraint and its impacts on the banking performance and macroeconomic variables. The Journal of Economic Policy, 13(25), 375-405 (In Persian). Hafezian, F., Zamanian, G., & Shahraki, J. (2020). Financial constraint and investment and the firm balance sheet channel of monetary policy transmission. Quarterly Journal of Quantitative Economics, 17(4), 113-136 (In Persian). Haghtalab, M., Mehrara, M., & Barkhordari, S. (2022). The impact of monetary policy through the banking facility channel on macro variables in Iran's economy with the DSGE model approach. Journal of Econometric Modelling, 7(3), 69-94 (In Persian). Iwedi, M., & Adolphus, T. (2021). Impact of Credit Channel of Monetary Policy Transmission Mechanism on the Nigerian Economy. Journal of Global Economics and Business, 2(7), 1-31. Kakavandi, M. M., Rahbar, F., Mehrara, M., & Sarem, M. (2021). Presenting a model of how the central bank policies affect macroeconomic variables: A dynamic stochastic general equilibrium approach. The Journal of Economic Policy, 13(25), 109-142 (In Persian). Kashyap, A., & Jeremy, S. (1995). The Impact of Monetary Policy on Bank Balance Sheets. Carnegie- Rochester Conference Series on Public Policy, 42(2), 151-195. Kashyap, A., & Jeremy, S. (2000). What Do One Million Observations on Bank Have to Say About the Transmission of Monetary Policy. American Economic Review, 90(3), 407-428. Khodaparast shirazi, J. (2017). Metamorphosis of monetary transmission over time: DSGE and FAVAR approach. Quarterly Journal of Quantitative Economics, 14(1), 143-172 (In Persian). Li, H., Ni, J., Xu, Y., & Zhan, M. (2021). Monetary policy and its transmission channels: Evidence from China. Pacific-Basin Finance Journal, 68(2), 68-79. Loi, M. T., & Dang, V. D. (2023). The bank lending channel of monetary policy transmission in Vietnam: Impacts of the COVID-19 pandemic and the financial crisis. Cogent Business & Management, 10(1), 47-62. Parvin, S., Ebrahimi, I., & Ahmadian, A. (2014). Analysis of the Impact of Banking System's Balance Sheet Shocks on Output and Inflation in Iranian Economy. Economics Research, 14(52), 149-186 (In Persian). Peykani, P., Sargolzaei, M., Takaloo, A., & Valizadeh, S. (2023). The Effects of Monetary Policy on Macroeconomic Variables through Credit and Balance Sheet Channels: A Dynamic Stochastic General Equilibrium Approach. Sustainability, 15(5), 44-62. https://doi.org/10.3390/su15054409 Romer, C. D. & Romer, D. H. (1989). Does monetary policy matter? a new test in the spirit of Friedman and Schwartz. In Oliver Blanchard and Stanley Fischer eds. NBER Macroeconomis Annual, Cambridge, MA: MIT Press, 121-70. Rotemberg, J. (1982). Sticky Prices in the United States. Journal of political Economy, 90(4), 1187-1211. Sharifirenani, H., Komijani, A., & Shahrestani, H. (2009). The effect of Monetary Policy on the GDP by the Loan Channel of Bank System in Iran. Economic Modelling, 3(10), 27-48 (In Persian).
| ||
|
آمار تعداد مشاهده مقاله: 90 تعداد دریافت فایل اصل مقاله: 113 |
||