فصلنامه پژوهش های پولی - بانکی
پیاپی 19 (بهار 1393)

The main purpose of this paper is analyzing the major developments in monetary theory and policy، particularly during 1960-2010. This paper divides these developments in five different periods to be reviewed. The first period (the period prior to 1929) in the evolution of monetary economics، when money was seen as an important determinant of economic activities and stable growth of the money supply was a pre-requisite for stable and continuous economic growth. The second period (from 1929 through the early 1960s)، is included the emergence of Keynesian school and when money and monetary policy were regarded as relatively unimportant in terms of understanding the economy and how government could achieve economic stability. The third period (from early 1960s to the 1970s)، encompasses the emergences of Monetarist school and Keynesians versus monetarists. The fourth period (from early 1970s to the end of 1980s) reflects increasing criticism of the Keynesian views by monetarists، rational expectation and supply-siders. The fifth period (from early 1990s to 2010s)، reflects theoretically a new monetary developments (new Keynesians، new consensus and new monetarists)، real world experience in monetary policy (inflation targeting)، empirical investigation and modeling of a variety of new money in the economy and the evolutions of the so-called DSGE (dynamic stochastic general equilibrium) models. Having reviewed the half of a century developments in monetary economics one can undoubtedly conclude that monetary economics experienced fundamental changes which encouraged new empirical studies in this area.

The main goal of this paper is to study the impact of concentration and the interaction term of monetary policy with concentration index on bank lending in Iranian banking system. This paper determined the effect of the reserve requirement rate as monetary policy indicator and the effect of the interaction term of monetary policy with concentration index. This research estimates the model by Dynamic Panel Data method and Generalized Moment Method (GMM). In order to، both macroeconomic and bank-level balance sheet data for eighteen banks of Iranian banking industry from 2001 to 2012 are used. The estimation results show that the coefficients of concentration variable which is estimated for three different indexes including Herfindahl - Hirshman Index، concentration ratio (CR4) and the Entropy index، are statistically significant and negative، suggesting that increased concentration reduces lending of the banks and weakens the lending channel as a monetary transmission mechanism. The interaction term of monetary policy with concentration index which is estimated by three different concentration indexes، has significant and negative impact on bank lending channel، suggesting that any increase in this variable reduces lending of the banks.

This study investigates the role of oil price shocks on monetary policy of the Iranian central bank، using a Dynamic Stochastic General Equilibrium (DSGE) model. The model considers the oil price shocks channel in government spending and includes the consolidated constraint of government and central bank. The Bayesian econometrics approach has been applied for model estimation using quarterly time series data from 1370 to 1389. The results show that، oil price shocks have positive and significant impact on monetary base and also money and government spending. Moreover، oil price shocks increase output and inflation significantly. The results represent a significant role of oil price shocks in monetary policy formation and illustrate government fiscal domination on central bank. In fact، our results documents that، the monetary policy of central bank has been dominated by government funding.

Oil shocks affect the Iranian economy through different channels. One important channel is the appreciation of the real exchange rate as a consequence of the occurrence of a positive oil (price) shock، generally known as the “Dutch disease”. This study presents a DSGE model for analysis of this particular effect as a distinct propagation mechanism in Iranian economy. The model consists of households، final and intermediate goods producers، government and the central bank. To study the propagation effects of real exchange rate appreciation، the economy has been decomposed into tradable and non-tradable sectors، each producing final and intermediate goods. We use Bayesian method to estimate model parameters. Comparison of simulated results and the actual macroeconomic variables in Iran during 1367 to 1389، indicate a relatively good fit of the model. This model and its results provide a good description of how the Dutch disease effect is propagated through the Iranian economy. The impulse-response functions indicate that، as a consequence of a positive oil (price) shock، the price of non-tradable goods increase relative to the price of tradable goods over short/intermediate run. This، in turn، induces expansion of non-tradable sector and contraction of the tradable sector. The cyclical increase in output is limited because of the compensatory effect of non-tradable goods contraction on aggregate output.

The goal of the paper is to evaluate the accuracy of DCC method in forecasting inflation. In the research، 12 sub aggregates of CPI data are applied over the period 1369:1 to 1390:4. Our results show that DCC more accurate than benchmark models (AR(1) and random walk) in all forecast horizons although this more accuracy is not statistically significant. Also، in forecasting inflation of 12 sub aggregates of CPI، the forecast accuracy of communication group is more than others.

This study examines the effect of inflation rate on the performance of Iranian stock market (Activity and Liquidity index) in long run and short run. In this study، time series data (from April 2000 to March 2011) has been used on monthly basis during 10 years. For the long run and short run relationships between variables، the Auto Regressive Distributed Lag (ARDL) and for the short run relationship fluctuations between variables to long run equilibrium values، the Error Correction Model (ECM) are used. The results show that the effect of inflation rate on the performance of stock market، in the short run، has been positive. Therefore، the “Fisher Hypothesis” in the short run is confirmed in the Iranian stock market. The effect of inflation rate on the value of trade، the volume of trade and the total value traded to market capitalization ratio in the long run has been positive. Also there is no significant relationship، in the long run، between inflation rate and the number of new issues and the volume of shares traded to the volume of share listed ratio.

In this study، we explain the importance of managing operational risks in financial institutions and banks. COBIT and specially the national legal framework will be described more precisely. In this regard، methods and principles of information system auditing is presented and explained. Lockhart method is used، which is scaled from «completely unsatisfactory» to «completely satisfactory». The results for 2012 show that the audit method has a positive، significant effect on the efficient management of operational risks