فصلنامه پژوهش های پولی - بانکی
پیاپی 34 (زمستان 1396)

Due to the significant share of consumption expenditures in GDP and its determining role in social welfare, the identifying the effective factors of consumption has been an important study area in macroeconomics. In this paper, based on the Becky and Smith (1993) and Chery, Kau and McGraithan (2002) hypothesis, the asymmetric effects of real exchange rate shocks on private sector consumption expenditures have been investigated for the Iranian economy. For this purpose, we use a GARCH model and Markov-Switching method and also the data are collected for the period 1980:3-2011:3. The results show that disposable income and wealth have positive and significant impacts on private consumption expenditures. Furthermore, the effect of real exchange rate shocks on the consumption expenditures of the private sector is asymmetric and the effects of negative shocks are much stronger than positive shocks. The research also indicates the impact of the positive and negative exchange rate shocks vary across the consumption expenditures cycles. Moreover, the hypothesis that consumption expenditure is sticky downward is not rejected.

After the 2008 Financial Crisis, the application of macroprudential policies has expanded to ensure financial stability. Given that the financial stability in Iran’s economy is vulnerable to the banking system, the aim of this study is to investigate the role of macroprudential policies in the financial stability of Iran’s economy. Therefore, based on DSGE approach, a model incorporating the banking system, considering NPLs and Frozen Assets, has been constructed. The results of simulations based on quarterly data of Iran economy during 1990-2014 show that the adoption of macroprudential instruments, such as Loan-to-Value ratio and countercyclical capital buffer, is able to contain the procyclicality of the financial sector which leads to declining vulnerabilities and instability of the financial sector. Moreover, due to the interaction between the real and the financial sector, reducing financial instability improves macroeconomic performance and increases social welfare. Therefore, we suggest that in order to decline the instability of the financial sector and prevent its adverse effect on the real sector, a financial supervisor should be institutionalized to implement macroprudential policies.

Banks are considered as the most important institutions of the money and capital market in each country's economic development process, and It is impossible to sustain the rapid growth of a country without regard to the market structure of such an institution. In this regard, the assessment of the degree of market power of the banking system is of great importance. In this study, the competition in the banking system of 158 countries is estimated to be between 1998 and 2015. For this purpose, we have used two Adjustable Lerner & Boon Indicators. In order to estimate the final cost of these indices, the translog cost function has been used with regard to technological progress as a trend variable. The results of both indicators indicate that marketability declined from 2004 to 2007, but increased in 2008 and 2009. This process shows that the level of banking competition is related to the business cycle. The empirical results also highlighted the significant differences between the regional and the income groups of the countries: the banking system of the countries of Europe and Central Asia have the highest competitive capability, the banking system in sub-Saharan Africa has a relatively stable competitive power. However, competitive ability in the countries of Europe and Central Asia (according to the adjusted Lerner index) and South Asia (according to the Boone index) have been fluctuating greatly.

Iran banking system has encountered an accumulation of fictitious and frozen assets in the assets side of the banking system balance sheet. This study designs an innovative model for connecting the microeconomics of banking with macroeconomy and analyzes the key factors of creating an unbalanced balance sheet and its effect on monetary and macroeconomic variables. According to the results of this study, accumulation of fictitious assets in the assets side of the banking system balance sheet makes an unsound flow of liquidity that could jeopardize the functionality of banking system. This unsound flow of liquidity also is the key factor of interest rate rigidity despite inflation reduction and its negative effect on the macroeconomy. The estimation of a vector error correction model (VECM) with three long-run relationships indicates that the inflation rate has been reduced through the quality of liquidity reduction in recent years. Finally, due to a perilous effect of the unbalanced balance sheet on the banking system and macro economy, its remedy has presented.

The purpose of this study is to assess the credit rating methods of real customers (micro-credit recipients) of banks, by reviewing the financial records and characteristics of the applicant's characteristics. In this research, the effectiveness of some methods (logit model, neural network, and genetic algorithm) is evaluated for accurate measurement of the Defaults. For this purpose, the information and financial and qualitative data of a random sample of 399 customers who have received facilities during the years 1387 to 1391 have been investigated. After reviewing the credit records of each of the customers, 12 explanatory variables were identified which, based on the logit test variables, credit history, six-month average account, employment status, amount of credit, monthly installments and repayment period, had a significant effect on default. The results of the evaluation of credit rating methods indicate that the performance of the neural network is much better than the Genetic and Logit models because the sensitivity is 82.92% and the specificity is 76.92%, and in general, this model has been able to 80% Predict default or non-default. Therefore, in order to reduce the bank's credit risk, it is suggested that a structural adjustment based on the creation of a customer validation system based on the neural network is proposed.

This study is aimed to investigate effective factors on the absorption of banking deposits with emphasis on credit risk and market risk. In this paper, we use using the AutoRegressive Distributed Lag (ARDL) model to examine our hypothesis. In Addition, data are collected from the Iranian economy for the period of 1999-2015. The credit risk is measured by Non-performing Loan ratio. Also, the market risk indicators include four variables: inflation rate, market exchange rate, stock prices, and bank deposit rate. Moreover, GDP is used in the model as an explanatory variable. According to the results, the credit risk index has a negative effect on the bank deposit in all four models. Furthermore, GDP has a positive impact on the bank deposits. The market risk indicators have significant effects on the bank deposits but with different signs. The exchange rate, deposits rate, and stock price have positive effects and the inflation rate has a negative effect.