فهرست مطالب حسین باستانزاد

Although currency crises evidently Valy based on size and durability in Iran and developing economies, the crises are similarly influenced by the national and international variables through the channel of foreign exchange market misalignements and BOP unsustainability. In this context, we aim to predict currency crises in Iranian economy. Meanwhile, Lasso Regression Method is applied to evaluate the impact of real sector, monetary and external sectors variables on the currency crises respectively two, one, and the same season of the crises incidence. The results underscore the role of the similar indicators to explain currency crises in Iran. The key indicators, which are empirically recognized, are comprised of the net gross domestic saving, and deficit of banks cash flows in the context of a transmission process that sequentially affects the growth of money base, excess aggregate demand, prices growth, net financial-capital transactions as well as the reduction in the disposable international reserves. The transmission process causes the foreign exchange rate deviations from the PPP and UIP rates. The estimation results also underline the likelihood of the EWS to predict the four currency crises in Iran, which respectively encompass the third quarter of 1372, third quarter of 1377, fourth quarter of 1379, and the second quarter of 1390. Moreover, all four-currency crises are evidently influenced by the external indicators (sanctions, and international oil price shocks) and domestic macroeconomic imbalances that periodically accelerated the unsustainability of foreign exchange market and BOP over the past three decades.

Sustained fiscal deficits and external shocks have affected the monetary and foreign exchange markets, leading to periodic increases in inflation, the formation of negative policy rates, the transfer of financial resources from the real sector to the financial sector, a reduction in the ratio of investment to GDP, an acceleration of speculative demand in the asset and foreign exchange markets, and rapid depreciation in the foreign exchange market. Therefore, the inflation target is inevitably replaced by the exchange rate target within a flexible corridor to improve financial stability, while the interest rate loses its role as a nominal anchor. In this study, the effects of real, fiscal, monetary and BOP shocks on the exchange rate corridor were statistically estimated using the policy vector auto-regression (PVAR) method to calculate the relationship between exchange rate growth and macroeconomic variables. In addition, the optimal response of the exchange rate corridor to the shocks of the contingent state variables is also investigated. The result of the Impulse Response Function (IRF) shows that higher inflation, international reserves, and the ratio of the net claim on the government to the monetary base (MB) cause the upper band of the exchange rate corridor to widen, and conversely, a reduction in the volatility of real interest rates, the ratio of the net claim on banks to MB, and the ratio of gross investment to GDP could narrow the EXR corridor.JEL Clasification: E52, C32.

Generalized non-performing loans ratio (GNPLs) is empirically considered as a key prudential soundness indicator which is computed by the ratio of non-performing loans (overdue loans, arrears, doubtful loans, and rescheduled loans) to the total outstanding loan that also affects banks’ lending capacity. The GNPLs is evidently influenced by the macro systematic shocks (GDP growth, foreign exchange rate, inflation, and lending interest rate) which are statistically examined for a sample bank. In this regard, the impact of four systematic shocks on the GNPLs is estimated by a Vector Autoregressive (VAR) model during 2003-2020. In this context, the Impulse Response Function (IRF) of GNPLs is also examined against four contingent shocks while instantaneously variance decomposition of the GNPLs is estimated for the short and long term. The impact of the first and second moments of the shocks on GNPLs is estimated by the Multivariate Stochastic Volatility Model as well. The IRF output indicates that the GNPLs grows due to the shocks of exchange rate depreciation, GDP reduction, and inflation growth in the short time, while lending rate insignificantly affects the GNPLs owing to low historical volatilities as well as big arbitrages among bank lending rates for different economic sectors. The GNPLs Variance Decomposition highlights that GDP growth and inflation affect the GNPLs deviations in the short run, while the foreign exchange rate constantly motivates the GNPLs in the long run. In other words, the foreign exchange rate has strongly affected the GNPLs deviations in the long run, owing to its role as a nominal anchor and financial stability indicator in the macroeconomic environment. The GNPLs high Volatility which is estimated by conditional variance is also recognized in five different periods (2003, 2007, 2010, 2016, and 2019), mainly because of the foreign exchange rate unification in 2003, monetary expansion for self-employed loans in 2007, international sanctions in 2010, and 2009, as well as assets market recession in 2016 respectively. In this regard, the GNPLs deviations have also strongly correlated with output growth and foreign exchange rate Volatility.

Price stability and sustainable economic growth are conventionally considered as key goals of monetary policy. Financial stability is also recognized as the third pillar in the monetary policy objective function after the financial crisis of 2007. Although financial stability “as the third target in the monetary policy objective functions” is evidently inconsistent with the twin conventional monetary policy goals, it mitigates the side effects of financial turmoil impact on the price and growth instability in the macrocosmic environment in the medium term. Financial crises, which have historically created large deviations in the monetary policy goals, necessitate empowering the conventional policy instruments (policy interest rate, monetary aggregate and rate of requirement ratio) with unconventional policy instruments. In this context, unconventional supplementary monetary policy instruments streamline monetary transmission mechanism to achieve asymmetrically triple monetary policy goals through expanding open market operations to non-governmental bonds, facilitating banks’ overnight financing in the payment system, and initiating zero bound interest rate policy. In this research, a Dynamic Stochastic General Equilibrium Model (DSGE-Gertler and Karadi, 2011) is technically utilized to estimate the impact of conventional (interest rate) and unconventional (credit lines) monetary policy instruments on the macroeconomic variables (inflation, output growth, exchange rate and stock market price index), while simulating the macroeconomic variables response to financial instability. The simulation evaluates monetary policy impulse response function based on optimization approach in the context of crisis scenario. Monetary policy rules basically assessed in this paper are introduced in the context of optimization and non-optimization, which include Taylor interest rate rule without financial stability, simple optimization interest rate rule with financial stability, and unconventional monetary policy rule. In this context, Central banks’ line of credits as unconventional tool, which is influenced by the policy maker decisions, injects directly to banking network flow of funds. Central banks, which had sold the public bonds to the families in the form of risk-free investment in the first step, accumulate financial resources in the balance sheet. Accumulated financial resources lend simultaneously to the firms in the second step in the context of unconventional expansionary monetary policy in order to increase banking network leverage ratio, which streamlines credit operations and develops private sector investment. Presumably, central bank intervention is empirically considered inefficient compared to the private sector in the financial intermediaries due to CBs cost inefficiency to find and allocate to the key economic sectors. The DSGE parameters are statistically estimated by the Bayesian approach through using time series for some macroeconomic variables including consumption, private investment, inflation, government expenditure, change in outstanding loan, commercial banks leverage ratio, and stock market return. Given the fact that the Bayesian estimation is technically required to introduce the distribution of parameters as priors, priors are determined through numerical analysis as well as through previous research. The estimation log data density mounted at about 399 and the robustness of estimated parameters has been verified based on test of Brooks and Gelman (1988). In this study, rapid reduction in the quality of capital is considered financial crises shock indicator which influence key macroeconomic variables. Simulation results indicate that unconventional monetary policy affects efficiently real sector sustainability while mitigating financial instability (assets market) in the macroeconomic environment. In this regard, financial stability is evidently accompanied by the lower nominal interest rate and inflation in line with Gertler and Karadi (2011). In other words, although unconventional rather than conventional monetary policy instruments were limitedly utilized amid financial turmoil in Iranian economy, they create sustainable growth along with lower interest rate and inflation in the medium term accompanied by higher household welfare. Utilization of unconventional monetary policy instruments diversifies policy tools and reduces the deviation of conventional policy instruments and target variables (price, output growth and financial stability) in the Iran macroeconomic environment.

Financial stability is firmly considred as a supplementary goal in the monetary policy environment post 2007 financial crisis. New monetary policy that contains monetary thriple goals -price stability, sustainable growth and financial stability- in the context of optimum policy rule is highly recommended post crisis although some policymakers are still interested in utilizing the convetional approach based on discretionary measures given the restrictions in macroeconomic structural spcification. In this regard, a Vector Auto Regression under Policy (PVAR) approach is technically applied as an alternative approach to resolve the specification challenge. The PVAR approach is also utilized to estimate monetary policy optimum reaction function given the financial stability. The model output indicate that the policy reaction function significantly affcets the triple goals so policymaker reaction function reduces price and financial instability along with more sustabible growth.

Development of e-banking has empirically modified the structure and characters of banks’ performance, efficiency, risk and challenges which have also been articulately recognized based on the international best practices. E-banking brazenly accelerates and restructures financial transactions via enhancing technology and expanding the banking services in comparison with conventional banking. Accordingly, online access to the banks’ products, financial statements, payment services and even credit scoring has considerably improved banks-customers relationships in the context of lending and borrowing practice, deposit composition, investment opportunities, trade finance options as well as account management diversification. The impact of recent e-banking developments is statistically evaluated for Iran’s banking network via Dynamic Panel Data approach. The findings highlight that the ratio of ATMs and Electronic Cards transactions to banks' assets negatively-significantly influence the profitability due to higher substitution ratio with the other payment instruments and maintenance cost. The ratio of online branch transactions to the banks' assets negatively-insignificantly affects the profitability owing to the rapid increase in the NPLs and loan/loss expenses which has consequently shrunk Shared Revenues over the past 10 years. SWIFT-branches have positively-significantly enhanced the banks internal-secured cash flow while contemporaneously improves fund efficiency, banks’ services fees, and ultimately profit margin.

The international spillover remarkably affects the asset markets risks mainly through macroeconomic variables in Iran`s economy. To assess it, we evaluate VaR of assets market during 1990-2015.The results underscore the VaR which are statistically computed by the nonparametric approaches are considered more efficient than parametric approaches due to lower standard deviation and coefficient of variation as well as a better reflection of cyclical shocks.The Causality test indicates the foreign exchange VaR causes the stock price VaR while the stock price VaR simultaneously causes the mortgage price VaR.The impact of macroeconomic variables on the assets market VaRs is also estimated by the causality test as the output growth adversely inspires the VaRs of mortgage price and foreign exchange rate. Meanwhile, money base is constantly stimulated by the assets market VaRs in the short and medium term owing to money base. As a consequent, reduction in foreign exchange market risk lead to a reduction in other assets market risk and eventually overall economy. Therefore, it is desirable to design complementary mechanisms to fulfill the task.

An incentive model is quantitatively constructed to evaluate bank’s branches efficiency via compensating periodic bonus. A panel data approach is applied for a bank over 9 months in 1393. The null hypothesis is experimentally defined based on the average bonus equality in different branches. Results indicate that the bonus average, deviation and the other moments have equally-disincentivly caused a contraction in the efficiency and future profitability. Meanwhile, the bank was obviously failed to translate the efficiency and risk management requirements into the bonus compensation. The incomplete-efficiency scenario is also observed in the four different bonus compensation mechanisms so incentive indicators have not been influenced by the financial and performance variables.

Real exchange rate deviations should be consistent with behavior of fundamental indicators including terms of trade, openness, government size, the ratio of domestic to trading partners’ productivity, and net foreign direct investment. The aim of this paper is to study the response of exchange rate to structural variables and its consistency with economics theory. Our estimation of a vector auto regression (VAR) model which relied on seasonal data during 1990-2015 underscores that real exchange rate (RER) is significantly depreciated with regard to the long run trend, while simultaneously and in contrast with theoretical basis, nonoil trade deficit widened, government size increased, and terms of trade improved due to higher international oil price. The accelerating gap between actual and long run trend of RER augments the unsustainability of balance of payments and foreign exchange market vulnerability against probable shocks. Foreign exchange forward market is constructed in practice to monitor demand composition in general and the share of speculative transaction in particular to increase information capacity of policy-makers to achieve the goal of financial stability and external sustainability in one hand as well as evaluating the Central Bank intervention capability on the other hand.

Monetary environment as the core of financial system has been functionally designed in light of the new set of extensive goals including financial stability, sustainable noninflationary growth, external sustainability, and price stability. A comprehensive monetary policy framework is proposed for Iran which systematically include the new goals, stance variables, instruments, transmission mechanism as well as timely monitoring system. Accordingly, macroeconomic data provides a reliable momentum to evaluate how far the macroeconomic condition is away from the monetary goals in case the data is timely-consistently compiled by policy makers. A wide variety of policy instruments are occasionally applied in the context of the new monetary policy framework by the conventional transmission channels which are technically tracked via monetary condition index, early warning system, leading indicators, and stress tests that give a timely feedback to policy makers to draw contemporaneously a picture of macro prudential stance. Given the prominent share of asset market (housing and capital) in the whole financial and nonfinancial markets in Iran, the monetary policy is empirically required to streamline assets market’s flow of funds instead of extra concentration on broad money growth and lending channel. Meanwhile, balance sheet channel is obviously expected to be more effective against monetary policy stance rather than lending channel in order to achieve monetary goals. In this regard, housing and capital markets are both significantly considered more efficient to finance flow of funds and fiscal deficit.

Quality Growth Index (QGI) is affected by two sets of combined-structural and social indicators. Structural indicator contributes to achieve the main target of sound-sustainable-competitive output growth. By the way, the sound output growth should enhance social-public services and living standards. Although QGIs are weightedly computed based on different scenarios, the trend of the QGIs and coefficient of variation of the QGIs indicate the robustness of results. The correlation among QGI and social sub-components highlights a positive relationship between QGI and school enrolment, per capita income and public spending on education and health. The result of co-integration model indicates that higher government size and devaluation of local currency have evidently exacerbated QGI. Meanwhile, openness and inflation underscore the positive long-run impact over QGI. Vector error correction equation outlines that about 84 percent of a short-term shock to the co-integrating vector will be absorbed in the first period. In this context, the impulse response of the QGI to the exchange rate and government size shocks are diminishingly and negatively permanent while the response of the QGI to the openness shock is significantly and positively permanent.

Price ratio of energy carriers on factor costs of production in Iran's economy shows a trend, which is not consistent with those of industrial economies and even some energy exporting economies. The mismatch, initiated from heavy subsidizing energy carriers by the government, has caused substitution of energy carriers in place of other inputs, i.e. labour and capital. Although the policy maker has announced boosting economic growth, raising employment and keeping cost of living low, as the goals of the ceiling price policy, the investigations carried out in this paper illustrate that the policy has not met its publicly announced goals. To identify the policy goals of subsidizing energy carriers we conjecture, along the line of political business cycles theory, that the policy maker has subsidized energy carriers to attract votes of voters. Comparing the trend of energy subsidies with the timing of election periods reveals that political cycles can partially explain the trend of energy subsidy in Iran's economy.

Foreign trade and financial transaction have effect on the equilibrium exchange rate in one way and, another, further more they are affected by competiveness in real sectors and returns in financial market. The recognition of structual and policy variables and the way they affect on foreign exchange market through relative prices and allocation of resources are important in economic planning. In this study using this policy and structural variabes, the developments in foreign exchange market based on monetary approach will be discussed.