Analysis of the Impact of Banking System's Balance Sheet Shocks on Output and Inflation in Iranian Economy
Message:
Abstract:

Banking industry is the most important type of financial intermediaries in Iran which, by sound organization and management of its resources and their use, can provide grounds for economic growth and prosperity. Because of the extensive network of relationships between banking sector and major sectors of the economy, shocks initiated in the banking sector can affect the behavior of economic agents and macroeconomic variables such as output and inflation. Among the set of most important shocks to bank balance sheet, we can name examples such as shocks of deposit withdrawals by depositors and bank liquidity shocks, both as liability shocks and shocks to the reserve of non-performing assets as an asset shock. As a result, the effects of banking sector balance-sheet shocks on macroeconomic variables are important. In this study, by using New Keynesian dynamic stochastic general equilibrium (DSGE) model and the annual data for the period of 1981-2012, we examine the response of macroeconomic variables such as output and inflation to banking sector’s balance-sheet shocks. To extract the parameters of the DSGE model, we use calibration method and then we use the moments of first and second order to evaluate the accuracy of the model based on autocorrelation coefficients and response functions. The results of model evaluation showed a pattern consistent with theoretical expectations and the realities of the Iranian economy. The results also showed that the negative effects of balance sheet shocks stemming from the shocks of the reserve of non-performing loans on output and inflation are higher than the shocks resulting from withdrawal of deposits and bank liquidity shocks, but the effects are diminished in shorter period of time. On the other hand, the negative impact of the liquidity shock is lower than other shocks and in a very short period of time, the effects of this type of shocks fade out and inflation and output variables rapidly converge to a stable state.

Language:
Persian
Published:
Economic Research, Volume:14 Issue: 52, 2014
Page:
149
magiran.com/p1327699  
دانلود و مطالعه متن این مقاله با یکی از روشهای زیر امکان پذیر است:
اشتراک شخصی
با عضویت و پرداخت آنلاین حق اشتراک یک‌ساله به مبلغ 990,000ريال می‌توانید 70 عنوان مطلب دانلود کنید!
اشتراک سازمانی
به کتابخانه دانشگاه یا محل کار خود پیشنهاد کنید تا اشتراک سازمانی این پایگاه را برای دسترسی نامحدود همه کاربران به متن مطالب تهیه نمایند!
توجه!
  • حق عضویت دریافتی صرف حمایت از نشریات عضو و نگهداری، تکمیل و توسعه مگیران می‌شود.
  • پرداخت حق اشتراک و دانلود مقالات اجازه بازنشر آن در سایر رسانه‌های چاپی و دیجیتال را به کاربر نمی‌دهد.
دسترسی سراسری کاربران دانشگاه پیام نور!
اعضای هیئت علمی و دانشجویان دانشگاه پیام نور در سراسر کشور، در صورت ثبت نام با ایمیل دانشگاهی، تا پایان فروردین ماه 1403 به مقالات سایت دسترسی خواهند داشت!
In order to view content subscription is required

Personal subscription
Subscribe magiran.com for 50 € euros via PayPal and download 70 articles during a year.
Organization subscription
Please contact us to subscribe your university or library for unlimited access!