فصلنامه پژوهش های پولی - بانکی
پیاپی 51 (بهار 1401)

The main purpose of this study is to identify the determinants of banking crisis loss, the variables of policy framework especially, for 12 sample countries over the period 1980-2019. Accordingly, we extracted pre-crisis and post-crisis trends from countries' real GDPs and then calculated output loss for the crisis year and three years afterwards. In the following, we used the Poisson quasi-maximum likelihood (PPML) method to estimate basic model and model by considering the variables related to the policy framework. Our findings of basic model show the variables of real per capita GDP, inflation, bank credit to GDP ratio, have a significant positive effect and variables of financial openness and discretionary government spending have a significant negative effect on output loss related to banking crisis. Also, our analysis of different models with the presence variables of fiscal rules, exchange rate regimes, central bank independence and conservatism reveals that using of more flexible policies instead of extremely restrictive policy frameworks, such as having a balanced budget, a soft peg regime (intermediate exchange regime) and a central bank with less degree of independence and conservatism, are suitable for managing and reducing output loss related to banking crisis.

Changing the measurement basis from historical to fair value is one of the most important developments in IFRS. The wide dimensions of fair value measurement in the banking industry, requires carefull examination of the obstacles and effects of using this basis before implementation. in addition to the characteristics of the macroeconomic environment, the different banking business framework and structural problems of the banking system; the requirements of riba-free banking law, creates more challenges to comply with fair value measurement requirements in IFRS . the aim of this study is identifying barriers to applying the fair value basis in the Iranian banking industry.after systematic review and interviews, a questionnaire was designed to extract the views of experts and financial reporting staff of banks, about challenges ahead. In this regard, the data obtained from 106 questionnaires were analyzed using fuzzy analysis and TOPSIS ranking. The results indicate that weakness in the executive mechanisms, infrastructure and information systems, the quality of corporate governance and the incompatibility of Iranian banking business with market-oriented economic logic (paradigm governing IFRS) are the most important challenges in applying fair value in the iranian banking industry.

When the monopoly of money creation is removed and private money can be exchanged between people, the issue of Seigniorage share will arise, which is currently conceivable with the advent of cryptocurrencies. The question of the present study is that if we are in a situation where private cryptocurrencies along with money are common in the society with the state publisher, what share of the Seigniorage share will go to the government and what should be the best policy attitude of the central bank in this regard? To answer this question, we used the modeling of evolutionary game theory, the main feature of which is the evolution of a species (in the current research of money). To better approximate the model to reality, the research assumptions were verified by a questionnaire. The research findings show that the central bank's share of the money creation market will fluctuate in a range of about 60 to 80%, and the monetary policymaker's attitude towards cryptocurrencies ultimately determines the share of the private and public sectors in the money creation market. . The main policy implication of this research is that the policymaker's confrontation with the private cryptocurrency and the illegal attitude towards this issue will lead to an increase in the share of the private cryptocurrency in the money market.

Countries typically use government fiscal and central bank monetary policy tools to achieve economic growth and development goals. On the other hand, due to the growing importance of international trade and interdependence of economies and also due to the importance of housing in the country's economy, this study will pay to examin the effects of monetary and fiscal policy variables and the impact of foreign trade on housing investment in Iran's economy in open economy and closed economy. To examine these effects, the vector error correction model (VECM) and the period of 1397: 1368-1: 1 have been used. The Generalized Reaction Functions (GIRFs) show that the facilities granted in the housing and consumption sectors and liquidity have a greater impact on housing investment than government investment expenditures. Government investment expenditures in housing and construction as a fiscal policy variable have a small but positive effect on housing investment, so that the inclusion of foreign trade in the model of the effect of government investment in the housing sector has decreased. The findings of this study emphasize the importance of monetary policy on housing investment compared to fiscal policy. The generalized reaction functions and the analysis of variance of the prediction error also confirmed the obtained results.

Credit risk assessment has always been one of the most important concerns of banks. Widely used models such as financial models have been used to assess credit risk so far. But increasing non-performing loans indicates that today these models cannot assess the credit risk of customers. Inconstant and uncertain environmental, social and political factors affect customer behavior and change customer behavior over time so that low risk customers become high risk customer. Hence a dynamic model had better to design for customers’ credit risk evaluation. Recognizing patterns of changes of customer behavior is a key factor in the bank's success in assessing and managing customer credit risk. Previous research has used conventional models such as financial and empirical data models. In this study, considering the dynamics of customers over time in different segments of low risk, medium risk and high risk and using big data analysis methods, dynamic customer behavior patterns have been extracted. In this study, the loans information of individual customers of three banks in a sample of 284,000 customers between 1389 and 1396 were examined and 30 variables were used to assess credit risk. The results showed that the model with a sensitivity of 92.1% and a detection of 89.1% has a high efficiency and performs better and has a higher efficiency compared to the probit, logit and neural network models. The result of this research is the recognition of dynamic patterns of customers' credit risk and using it. The bank has a more accurate assessment of customers' credit risk. Also in this method there is no need to retrain the data and run the algorithms again, therefore, this method saves time and money. Most importantly, the results of this study are significantly different from the results of the current bank model (static method).

In this paper we use a separate production function( Cobb-Douglas) for banking industry and investigate the effect of banking sector’s performance on macroeconomic variable , like production ,interest rate spread , loan and deposit interest rate, investment, consume, employment and….. . like a lot of developing countries , who don’t have enough resources for investment, in this model we suppose that all of resources are provided by borrowing from abroad. After using  banking technology shock and tax shock on banking sector labor, the accuracy of results have proved by using Bayesian statistics including Markov chain Monte carlo  and comparison between prior and posterior distribution. In this model’s framework , a positive banking technology shock will make the borrowing from international supplier much easier and that leads to expand loan’s supply and consequently the transmission of  supply function to right side and make it possible to meet all of demands that have been have been enlarged as the result of this shock. Because this shock have raised the level of bank’s deposits too. The increasing in capital level finally leads to high level of production and employment. On the other hand the tax shock on banking sector labor will decrease the investment and consequently production and employment by falling the level of deposits and loans. The foreign interest rate Is also one of the most important  effective factors that can affect the financial and real variable of economics.