بررسی ویژگی‌های چرخه مالی در اقتصاد ایران

نوع مقاله: مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد دانشگاه سیستان و بلوچستان

2 دانشیار اقتصاد دانشگاه سیستان و بلوچستان

3 دانشیار اقتصاد پژوهشگاه علوم انسانی و مطالعات فرهنگی

چکیده

در این مقاله، ویژگی‌های اصلی چرخه‌ مالی در اقتصاد ایران بررسی شده و با استفاده از مشاهدات فصلی طی دوره زمانی 1369 تا 1395، چرخه‌های مالی ایران استخراج شده است. بدین منظور، از مدل سری‌های زمانی ساختاری با مولفه‌های غیر قابل مشاهده و الگوریتم فیلترکالمن استفاده شده و با به کارگیری روش حداکثر راستنمایی، پارامترهای نامعلوم برآورد شده است. نتایج بررسی نشان می‌دهد که اولاً، نسبت وام به سپرده در مدت زمان مورد مطالعه دارای نوسانات زیادی بوده و شکاف میان ایندو به عنوان شکاف تامین مالی یکی از علل بحران مالی است و همچنین تاریخ رخداد بحران بانکی از طریق شاخص فشار بازار پول با استفاده از الگوی چرخشی مارکف شناسایی شده و این نشاندهنده تقدم شتاب اعتبار به بحران بانکی است. ثانیاً، چرخه مالی حاصل از مدل برآورد شده نشاندهنده تعمیق مالی در سالهای اخیر است که حاصل گسترش اعتبار و به دنبال آن افزایش نسبت اعتبار به تولید ناخالص داخلی است. ثالثاً، رگرسیون لاجیت رابطه مثبت میان احتمال بحران بانکی و نسبت اعتبار به تولید ناخالص داخلی را نشان می‌دهد.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Aspects of the Financial Cycle in Iran's Economy

نویسندگان [English]

  • Nafise Keshtgar 1
  • Mosayeb Pahlavani 2
  • Seyed Hosein Mirjalili 3
1 Ph.D. Candidate in Economics, Sistan & Balochestan University
2 Associate Professor of Economics, Sistan & Balochestan University
3 Associate Professor of Economics, Institute for Humanities and Cultural Studies
چکیده [English]

This article examined some aspects of financial cycle in Iran's economy by using seasonal observations during 1990 to 2016. Moreover, the structural time series model with unobserved components and the Kalman filter are utilized, and the parameters are estimated using the maximum likelihood method. The results indicate that, first, the ratio of loan to deposit has been volatile and the gap between loan and deposit as a funding gap is one of the causes of the financial crisis. Moreover, by using Markov's switching model, we identified the primacy of credit acceleration to the banking crisis.Second, the financial cycle emanate from credit expansion and in turn the increase in the ratio of credit to GDP. Third, Logit regression indicates a positive relationship between the probability of a banking crisis and the ratio of credit to GDP.

کلیدواژه‌ها [English]

  • Banking system
  • credit to GDP ratio
  • financial cycle
  • Logit Model
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