فصلنامه پژوهش های پولی - بانکی
پیاپی 23 (بهار 1394)

In this study I make a Dynamic Stochastic General Equilibrium Model to study the monetary policy in Iran. Since monetary policy in Iran is not conducted using a specific rule, I first should modify the Taylor rule. The modified rule is such that the growth rate of monetary base is determined according to deviations of inflation and output from their target values. Although there are some inflation targets in Five-year Development Plans but there is no commitment to this targets. Therefore, we assume that there is implicit inflation targeting that is, there is inflation targeting for monetary authorities but the target value of inflation is not announced to public. Taking into account this assumption, monetary policy reaction function is estimated in a DSGE model. The empirical results show that there has been a kind of rule at the end of 70s and the beginning of 80s and that the implicit target has been higher than those of Development Plans. Dropping the modified rule from the model and solving it assuming discretionary and optimal monetary policies, the results suggest that in most periods the monetary policy has been conducted in a discretionary approach.

In this paper, we analyze the effects of oil revenue shocks on different sectors of Iranian economy using the quarterly data of the Iranian economy and a time varying parameter VAR model. Oil revenue is modeled to be an exogenous variable and the parameters are estimated in Bayesian context using Gibbs sampling. The results show that the value-added of industry and mining, and services increase after a positive oil revenue shock. The response of agriculture, and oil and gas sectors is not significant. The results also show that after the war, the response of industry and mining, and oil and gas sectors are higher, relatively.

According to the modern theory of financial intermediation, an important role of banks in the economy is to create liquidity by funding illiquid loans with liquid demand deposits. More generally, banks create liquidity on the balance sheet by transforming less liquid assets into more liquid liabilities.we suggest that banks may also create significant liquidity off the balance sheet through loan commitments and similar claims to liquid funds.We calculate this measures and apply them to data on Iranian banks from 2006-2012. This paper investigates the relationship between liquidity creation and bank capital structure in Iranian banking system. We test the so-called “financial fragility-crowding out” hypothesis and the “risk absorption” hypothesis on Iranian banks and find that bank capital is negatively related to liquidity creation, which supports the financial fragility-crowding out hypothesis.

The present study examined the effects of the first round (real impact on bank's balance sheets) and second-round effects (reactions of financial statement and transmission to the real sector) for monthly data from 2007 to 2014. To this end, using a dynamic panel data model with cross-dependency properties of common correlated effects (CCE) has been used. The results of Dynamic panel model to examine the effects of the first round for each bank confirms that performing loans in the past two periods have had a significant impact on the amount of next phase. The change in GDP with one and two lags has different effects on the country's banks, and for Eghtesade Novin, Persian,Keshavarzi,Karafarin,Saderat, Pasargad and Sepah is significant. Results of Granger causality test for Aggregate balance sheet data show that (second round effects) we know performing loan as Granger causality of GDP change. The results of estimated model shows that in those period desired changes in the performing loan has negative impact on real economy.

Immunity of central bank, as a body of state or Government's banker, while doing banking activities in other countries, has been discussed in the frame of state sovereignty and immunity. Regarding central bank as an independent organization from state which has special immunity is a new approach in this context which developed by investee countries. In this paper I am attempting to analyze different aspects of this subject by a comparative survey on the case law of U.K, U.S.A and international commercial arbitration.

Nowadays strongly increase in Non performing Loans in our country is one of main distrubances for responsibles because of its bad affects on macroeconomic index in our country. Studing causes of NPLs is one of the research priorities to help decrease NPLs and to help our monetary positions. Theoretical survey of social and economical causes of this problem is a main step for our analyse. Here we survey and analyse social and economical causes of NPLs, using information economic theories such as asymmetric information theory, Moral hazard theory, adverse selection theory and transaction cost economic theories such as incomplete contracts theory, opportunism theory and finaly Principal agency theory. After this step we can commendate some solution to decrease NPLs. Although here in this article, we focus on act of borrowers side not on self-banking variables such as interest rate, and not on macroeconomical variables such as inflation rate, unemployment and etc.