پژوهشنامه اقتصادی
پیاپی 60 (بهار 1395)

Empirical evidence about recent financial crisis revealed the prominent roleof financial sector in transmission of different shocks to the real sector ofeconomy. Due to the importance of banking sector behavior during businesscycles and for the purpose of explaining the credit channel of monetary transmission mechanism in the economic literature, analyzing the role of banking sector during business cycles in Iran can help us to better understand how the shocks can have impacts on the economy. In this paper, we evaluated macroeconomic fluctuations and monetary transmission channels in Iranian economy using a standard New Keynesian dynamic stochastic general equilibrium model that includes banking sector. The results of the study show that inclusion of banking sector in a DSGE model can improve evaluation of macroeconomic fluctuations. Also, the results of simulation show that variables related to banking sector have pro-cyclicalmovements in Iranian economy and these results provided enough room toexplain the role of banks as financial accelerator and monetary transmission channels in Iranian economy.

Sustaining long-term price stability, even when the central bank does not adopt an explicit inflation targeting policy, is known as the primary objective of monetary policy. Moreover, due to the lags of monetary policy, choosing appropriate measure of inflation is very important. Thus, in many countries, core inflation is widely calculated as an indicator that clarifies long-term trend of inflation and it is used to predict inflation and also to have an inflation target. The concept of core inflation and its efficiency in identifying long-term inflation trend can help policy-makers to have a better understanding of inflation components. Inflation in Iran has been influenced by many internal and external shocks. In this study, core inflation in Iran is estimated by using the Kalman filter in the context of structural time series during the period of 1974-2011. Based on the result, core inflation is affected by long-run effects of variables such as monetary base and liquidity and it has fluctuations like the measured inflation and the value of core inflation on average in the period under study is 15 percent.

This paper examines the nonlinear relationship between inflation and government spending using quarterly data over the period of 1990-2013, by using Smooth Transition Regression model. Our results suggest a two regime model by using inflation, government expenditure growth, GDP growth and liquidity growth as variables of the model, and first lag of liquidity was recognized as transition variable. This study showed that in the regime of tight money or low growth of liquidity, government expenditure is not inflationary. In regime of low liquidity growth, this variable has low inflationary impact and probably stimulates economic growth. Inflationary expectations in this regime are more effective in causing short run inflation. In expansionary regime (high liquidity growth), the increase in money supply has more effects on inflation rather than production. So monetary and fiscal policies could be used to control inflation and stimulate aggregate demand in low regime. Also in easy money regime, monetary and fiscal discipline can be useful for inflation decrease.

Empirical studies done in the area of price stickiness imply that the frequency of price change is high in Iran. In other words, prices change quickly after a monetary shock hits the economy. On the other hand, based on empirical studies, monetary shocks have a lagged effect on inflation in Iran. This paradox can be explained by the existence of information stickiness in Iranian economy. Over the past two decades, many studies on the importance of the information stickiness and its role on the formation of expectations have emerged. Recent work on rational expectations models with informational frictions such as Mankiw and Reis (2002) have emphasized how informational rigidities can lead to policy prescriptions that differ from those under models with full-information. So, examining the existence of sticky information and understanding the degree of this kind of rigidity is very important. No empirical study has been done yet to estimate the degree of information rigidity in Iranian economy. In order to fill this gap in the literature, following the approach proposed by Khan and Zhu (2006) and Coibion (2010), We estimate the key structural parameter of sticky information Philips curve (SIPC) – i.e. the degree of information stickiness- for Iran. Based on the results, the null hypothesis of “no information stickiness” is rejected and this can be inferred as confirmation of sticky information in pricesetting behavior of firms in Iran. Our estimates show that price-setting firms in the economy update their price-relevant information on average every 2 quarters.

This study investigates the process of budget allocation to provinces of Iran based on two set of factors of 1- major macro provincial indicators and 2-oil price volatility based on stochastic differential equations and stochastic optimal control framework during the period of 2003 to 2014. In this regard, with calculation of optimal share of provinces in total country budget based on macro indicators data for year 2011, the effect of stochastic oil price on dynamic budget allocation is studied. The dynamic analysis of oil price during 2003 to 2014 indicates a volatile trend with jumps in oil price time series in some sub-periods. Accordingly, different models of stochastic differential equations and stochastic optimal control for modeling oil price and petroleum budgets allocation in different years are proposed. The results show that the share of the provincial budget depends on the parameters that determine the behavior of the oil price time series. So that, with an increased average growth rate of oil prices, the provincial budget share increases over time. In addition, an increase in volatility of oil prices and acceleration in the velocity of oil price mean-reversion, reduce the optimal share of provincial oil budgets over time. Also, based on the results of the simulation model for provincial data in year 2011, the optimal share of provincial oil budgets has dynamic and stochastic behavior and it is formed based on the behavior of oil price time series.

In this paper we assess the interaction between different macroeconomic variables and the quality of loan portfolio of banks in Iran by using a panel vector autoregressive (PVAR) method that controls for bank-level characteristics. For this purpose, we use a quarterly panel data of banks and some of the most important macroeconomic variables over the period 2002- 2013. Variables of this research are the ratio of non-performing loans (NPLs) to total loans as the index for quality of loan portfolio of banks, GDP growth, real lending interest rate, monetary base and growth rate of banks’ loan. We find that a positive shock to real lending interest rate and loan growth rate improve the quality of loan portfolio of banks. However, printing more money by central bank (a positive shock to monetary base) leads to a drop in portfolio quality, while a positive shock to GDP growth rate doesn’t have a significant effect on NPLs. On the other hand, the feedback effect from NPLs on macroeconomic variables is verified, as a positive shock to NPLs (worsening the quality of loan portfolio) causes to exacerbate economic recession, to increase monetary base, and to decrease loan growth rate significantly, but it doesn’t have any significant effect on real lending interest rate.

Many studies have been done about inflation in all developed and developing countries and they have tried to analyze and assess the factors affecting inflation. However, few studies have been done on the causality of inflation. In this study, we have tried to use time series methods to identify different variables that have the greatest impact on inflation in Iran. The purpose of this paper is to find causal relationships between the imports of consumption, intermediate and capital goods in one hand and inflation on the other hand during the period 1980-2010 in Iranian economy. In this study, we have tried to identify different variables that their time series have the greatest impact on inflation in Iran, Therefore, in this study we have considered the different variables of the consumer price index (inflation rate), liquidity, per capita GNP, free market exchange rate, the adjusted ratio of budget deficit to GDP (BD, GDP), as well as imports of capital, consumption and intermediate goods. In this study, VAR model, error correction model and Granger causality test are used and the resultd confirm one-way and two-way relationship between inflation and and different types of imports.