نقش شاخص‌های پیشا و پسا-رویداد در ارزیابی تأثیر تکانه‌های پولی و مالی بر بی‌ثباتی مالی در اقتصاد ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دکتری اقتصاد، گروه اقتصاد دانشکده اقتصاد، مدیریت و علوم اجتماعی، دانشگاه شیراز، شیراز، ایران

2 استاد، گروه اقتصاد، دانشکده اقتصاد، مدیریت و علوم اجتماعی، دانشگاه شیراز، شیراز، ایران

3 دانشیار، گروه اقتصاد دانشکده اقتصاد، مدیریت و علوم اجتماعی، دانشگاه شیراز، شیراز، ایران

چکیده

هدف این پژوهش بررسی نقش نوع شاخص بی‌ثباتی مالی  بر ارزیابی  سیاست‌های پولی و مالی در ایران است؛ به‌طوری‌که این ارزیابی از طریق مقایسه شاخص‌های پیشا و پسا-رویداد انجام می‌شود. برای این منظور یک الگوی تعادل عمومی پویای تصادفی کینزی جدید با رویکرد بیزی به همراه شاخص‌های پیشا و پسا-رویداد برای دوره 1368-1401 به کار گرفته شد. پنج نوع اسپرد (شکاف) شامل نرخ بهره، نرخ وام، بازدهی سرمایه کارآفرین، و بازدهی پورتفوی بانک به عنوان شاخص پیشا-رویداد، و یک شاخص پسا-رویداد به عنوان سنجه‌های ثبات مالی استفاده شد. نتایج نشان می‌دهند که افزایش اسپردهای «بازدهی پورتفوی بانک و نرخ بهره»، و «نرخ وام و نرخ بهره»، و منفی‌شدن اسپردهای «بازدهی سرمایه  کارآفرین و نرخ وام» و «بازدهی سرمایه کارآفرین و نرخ بهره» باعث افزایش بی‌ثباتی مالی می‌شود. ماتریس همبستگی همگرایی بین شاخص‌های پیشا و پسا-رویداد را تأیید می‌کند. نتایج نشان می‌دهد که در حالت تکانه پولی اسپرد «نرخ وام و نرخ بهره» و درحالت تکانه مالی «بازدهی سرمایه کارآفرین و بازدهی پورتفوی بانک» شاخص مناسب‌تری  برای سنجش ثبات مالی است. همچنین اسپرد «بازدهی سرمایه کارآفرین و نرخ وام» واکنش شدیدتری نسبت به تکانه‌ها داشته است. نتایج نشان می‌دهد واکنش شاخص‌های ثبات مالی به تکانه‌های سیاست پولی در مقایسه با تکانه‌های سیاست مالی قوی‌تر است. نتایج بر اهمیت حفظ تعادل میان سودآوری بخش بانکی و بخش واقعی اقتصاد برای کاهش بی‌ثباتی مالی تأکید دارد. بنابراین، سیاست‌های پولی و مالی باید به گونه‌ای طراحی شوند که از رشد متوازن این دو بخش حمایت کنند.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Role of Pre-Event and Post-Event Indicators in Assessing the Impact of Monetary and Fiscal Shocks on Financial Instability in Iran

نویسندگان [English]

  • Alireza Raanaei 1
  • Karim Eslamloueyan 2
  • Rouhollah Shahnazi 2
  • Sakine Owjimehr 3
1 Ph.D. in Economics, Shiraz University, Shiraz, Iran. alirezaraanaei@shirazu.ac.ir
2 Professor of Economics, Department of Economics, Shiraz University, Shiraz, Iran
3 Associate Professor of Economics, Department of Economics, Shiraz University, Shiraz, Iran.
چکیده [English]

The objective of this study is to examine the role of the type of financial instability indicator in the assessment of monetary and fiscal policies in Iran, with this assessment being conducted through a comparison of pre-event and post-event indicators. To this end, a Bayesian New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model, together with pre-event and post-event indicators, is employed for the period from 1989 to 2022. Five types of spreads involving the interest rate, lending rate, return on entrepreneurs’ capital, and bank portfolio returns are used as pre-event indicators, while a post-event indicator is employed as a measure of financial stability. The results show that increases in the spreads between “bank portfolio returns and the interest rate” and “the lending rate and the interest rate,” as well as negative values of the spreads between “the return on entrepreneurs’ capital and the lending rate” and “the return on entrepreneurs’ capital and the interest rate,” lead to an increase in financial instability. The correlation matrix confirms convergence between the pre-event and post-event indicators. The results indicate that, in the case of a monetary shock, the spread between “the lending rate and the interest rate,” and in the case of a fiscal shock, the spread between “the return on entrepreneurs’ capital and bank portfolio returns,” is a more appropriate indicator for assessing financial stability. Furthermore, the spread between “the return on entrepreneurs’ capital and the lending rate” exhibits a stronger response to the shocks. The results show that the response of financial stability indicators to monetary policy shocks is stronger than their response to fiscal policy shocks. The findings emphasize the importance of maintaining a balance between the profitability of the banking sector and that of the real sector of the economy in reducing financial instability. Therefore, monetary and fiscal policies should be designed in a manner that supports the balanced development of these two sectors.

کلیدواژه‌ها [English]

  • Financial instability
  • monetary policy
  • fiscal policy
  • ex-ante and ex-post indexes
  • Iran’s Economy
  • NK-DSGE

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نظریه های کاربردی اقتصاد
دوره 13، شماره 3 - شماره پیاپی 50
شماره پاییز 1405
شهریور 1405
صفحه 1-26

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