فصلنامه پژوهش های پولی - بانکی
پیاپی 20 (تابستان 1393)

To verify business cycle forecasting models، they should be checked against historical data on business cycles. There is an official reference to business cycle dating in many countries. In Iran، though، there is no official or de facto reference for this، and so most of research papers propose datings for business cycles in Iran and verify their models with those datings، and the problem is that those datings are not consistent with each other. In this paper we first review the methods used for dating business cycles. Then using a wide range of data on Iran’s economy، we propose a dating for Iranian business cycles for years 1988 to 2008.

In this study the dynamic effects of the total debt on the real sector was analyzed during the period of 1981-2011. We use the non-classical econometric model BVAR and the simulation scenarios defined. We study the scenarios that reduce total debt to near zero، total liabilities decreased to half the initial value، and increased total debt to double in the Bayesian model. The results show that the total volume of debt had been affected on the real sector of the economy as an increase in total liabilities at first، through an create Account and increasing in the supply of credit and liquidity led to increase in economic growth where can have a positive effect on real output. Although، the influence of these variables has a negative impact on gross domestic investment and real sector of the economy.

Among banks’ balance sheet items، regulatory capital ratio has been considered as a new critical variable in the monetary transmission mechanism. During recent years، by means of highlighted role of capital regulation in bank lending and impressive changes in the capital accords، this mechanism has achieved more importance in the international scope. While during the recent years the capital adequacy ratio has been reported in the balance sheet of most private banks، but its effect on bank lending channel and monetary transmission mechanism has not yet been dedicatedly assessed. Hence، in this article، based on seasonal data of banking system، the effect of capital regulation on bank lending channel during 1386:1-1392:2، based on a panel model of banking system in two groups of public and private banks، has been surveyed. The results confirm the effectiveness any of the bank capital - via bank capital adequacy ratio- on both banking groups’ lending decisions. Nevertheless، the results do not confirm in none of banking groups the role of bank capital in the bank lending channel by attenuating monetary policy effect.

Today، banks play an important role by linking the real and monetary sectors of an economy. Banks، like other businesses، face different risks in which the most important one is credit risk. The purpose of this paper is examining the determinants of credit risk of domestic banks، during 2007-2013، using system Generalized Method of Moments (GMM). The results show that macroeconomic variables influence the credit risk of banks. In particular، real interest rate، inflation، public debt and unemployment rate have a positive correlation، and GDP growth rate has negative correlation with the credit risk. In addition، the bank characteristics such as size and profitability have negative effects، and credit risk of the prior period has positive effect on credit risk.

Iran’s foreign exchange market has been subject to foreign exchange volatilities. Banks، as well as the imports and exporters، have been affected by these volatilities. Designing foreign exchange Swap contracts، consistent with the interest-free financial system، should help alleviate foreign exchange risks and manage liquidity. For the first time، this paper proposes a way forward in reconciling traditional Swap contracts، used by many central banks around the world، with that of an interest-free financial system. The results، which are based on an analytical-descriptive approach، show that it is possible to revise the contracts of the conventional Central Bank Swap to make it Shariah-compliant. The paper argues that the central bank of Iran could efficiently use this instrument to mitigate foreign exchange volatilities، reduce risks، manage liquidity، and improve monetary policy operations in a cash-constrained environment.

Data Envelopment Analysis is a comprehensive approach for performance evaluation of bank branches; but the traditional DEA models in the performance evaluation are based on black box approach. Since the process of services in banks has been formed from the interactive and interdependent steps، it can be seen as a continuum that the capacity of each internal sub-processes plays an important role in its overall success. By using this approach، the assessing model of efficiency، effectiveness and productivity in the banking industry is designed. We used from personnel and assets as inputs، personnel and administrative expenses as intermediate variables and deposits and revenues as outputs. Finally; efficiency، effectiveness and productivity of bank branches in Gilan province by using the proposed model is measured. An interesting result of this study is that the most efficient or effective branch is not the best branch from the viewpoint of productivity، but it is both efficient and effective.

Regarding the relationship between the banking systems and large sections of the economy، any crisis can be created based on macroeconomic variables. We emphasize the role of banks and ensure the stability of the banking system. Increase financial leverage and portfolio led to increase in the financial stability of banks and banking stability index (z-score). In this paper، the z-score and its components are considered as the dependent variables. According to the results، the bank lending effect on the stability of bank and its impact is negative and significant. Non-performing loans have a negative impact on the bank stability. Return on asset as a variable of profitability has a positive and significant coefficient. Increasing the profitability of banks led to increased stability.