فصلنامه پژوهش های پولی - بانکی
پیاپی 13 (پاییز 1391)

Based on studies in Iranian economic literature, fiscal shocks are the most important sources of business cycles. Dynamic Stochastic General Equilibrium model is the best tool to understand the mechanism of different shocks propagation, especially fiscal shocks, and its final effects on macroeconomic variables. This study presents a DSGE model for fiscal dominance modeling and mechanism of fiscal shocks propagation analysis in Iranian economy. The important property of this model is that the relationships between government as fiscal policy maker and central bank as monetary policy maker are under fiscal dominance.The parameters of the model are estimated with Bayesian approach. To show the dynamics of important economic variables to different shocks, especially fiscal shocks, we present impulse response functions. The results show that an independent expansionary fiscal policy leads to a business cycle in real economy along with increasing inflation. However, an expansionary fiscal policy, which depends on oil shock, leads to an increasing inflation at first stage and decreasing after on along with increasing output. This model and its results can provide a good understanding of the mechanism of fiscal shocks propagation in Iranian economy and its final effects on macroeconomic variables. These results are useful for managing business cycles and stabilization policy in Iranian economy.

After the recent financial crisis, liquidity risk management in banks has received more importance, as the result of many shortcomings in LRM, in a way that considerable portion of international organization's guidelines like Basel Committee has focused on it, and for implementing these guidelines, many countries have developed new guidelines on LRM. Therefore, it is necessary to evaluate the expected LRM structure in Iranian banks that should be implemented according to LRM guideline of Central Bank of Islamic Republic of Iran. This evaluation should be accomplished considering the aforementioned gaps and the coverage of new dimension in LRM. Hence, in this paper we evaluate LRM guideline in Iranian banking system and remark its shortcomings. Besides evaluating and criticizing this guideline that has been developed simultaneous with financial crisis and based on Basel Committee’s sound practices for managing liquidity in banking organizations (2000); identifying other regulatory shortcomings and introducing the necessity of developing regulation in LRM area can be considered as effective steps in setting a comprehensive regulatory framework for LRM and leading banks to apply them and finally enforce sound LRM in banking system.

In this study, the relationship between uncertainty and non-oil GDP is analyzed. A Threshold Autoregressive (TAR) model with exogenous variables is estimated by using Iranian Economy's data of 1988:2-2008:3. The uncertainty index is calculated by using ARCH modeling and Factor Analysis. The results show that there is a non-linear relationship between non-oil output and uncertainty in Iran. As the uncertainty passes the estimated threshold level, it reduces non-oil GDP, especially the output in services sector.

Heretofore, a vast spectrum of pattern recognition methods has been considered by researchers to design credit scoring models. But what has not been considered enough in these studies is the lack of consideration of the needs of this subject which differentiate it from a simple classification. It is necessary to observe the costs of a wrong classification, because practically the cost of improper classification of bad clients is more than the cost of improper classification of good ones.Therefore, by applying various assessment methods in this study, it has been tried to examine the efficiency of various credit scoring methods and finally solving the prevailing problems by providing a proper assessment method.

Development of electronic banking, as one of applications of information and communication technology in money and banking markets in developed countries, has made our banking industry to apply this innovation in recent years. This should affect bank performance in which the most important duty of every bank is resource allocation in form of supplying various loans.In this research, we have tried to specify an econometric model to evaluate the effectiveness of actions issued by private and state banks in the allocation of resources for the development of electronic banking. The resource allocation which is proxied by the loan supply is defined as a dependent variable and bank size and three Macro economic variables (inflation, GDP and interest rate) and three indexes (SWIFT, the number of terminal branches, and the number of ATM) are defined as the independent variables. The model has been estimated using panel data of six public banks (Melli, Saderat, Mellat, Refah and and Sepah, Sanat–va-Madan) and 4 non-public banks (Eghtesad-e- Novin, Karafarin, Parsian and Saman) over the period 2001-2009. The estimate method has been based on Generalized Least Squares (GLS) method. The empirical results show that the electronic banking in form of increasing the number of terminal branches and SWIFT in non-public banking have affected positively and significantly their resource allocation, while increasing the number of terminal branches and the number of ATM, as the proxies for e-banking, have been significantly in explaining positively the public banks’ resource allocation.

In topic of shari’ah supervision performance bank should be supervised and controlled from two directions, First the shari’ah correctness and veracity of bank contracts so that will supervise the observance of shari’ah regulations and conditions until it is concluded correctly, Second is the confidence in customers in the field of fulfillment of obligations and implementation of the contract. There is a principle called “correctness”, against both types of supervision. In Islamic law on the basis of this principle, banks should rule on correctness and veracity in condition of doubt at authenticity or defect in conclusion of contract and realization of improper acts, such as lying and abjuration.But this principle is limited to the framework; awareness of this framework determines that supervision in which condition is legitimate and in which condition is inconsistent with the principle of correctness.