Balance Sheet Effects of Monetary Policy on Banking System and Macroeconomic Variables of the Iranian Economy: A DSGE Approach
In the area of monetary policy, interest rate is regarded as a direct monetary instrument and required reserve ratio is as an indirect monetary instrument which in Iran, they are enforced by the monetary authorities to the banking system and will affect its behavior. In this paper, we study the bala...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2014-03-01
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| Series: | فصلنامه پژوهش‌های اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_979_96d7d51f79993da786a065f54319d5c8.pdf |
| _version_ | 1797369382947520512 |
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| author | Soheila Parvin Abbas Shakeri Azam Ahmadian |
| author_facet | Soheila Parvin Abbas Shakeri Azam Ahmadian |
| author_sort | Soheila Parvin |
| collection | DOAJ |
| description | In the area of monetary policy, interest rate is regarded as a direct monetary instrument and required reserve ratio is as an indirect monetary instrument which in Iran, they are enforced by the monetary authorities to the banking system and will affect its behavior. In this paper, we study the balance sheet effects of the two policies using financial statements data of banking system, System of National Accounts and New Keynesian Stochastic Dynamic General Equilibrium model taking advantage of the statistics for the period 1981-2012. Calibration methodology is used to compute the parameters of DSGE model . We analysis Impulse Response functions and the first and second moments. Results show that an interest rate positive shock by one standard deviation causes the deposits and loans to be, respectively, about 8 and 25 percent higher than the steady state. On the other hand, a positive shock of required reserve ratio by one standard deviation has an impact opposite to the effect of an increase in banking interest rate on the balance sheet. Hence, the consequence of a positive interest rate shock is an increase in output and reduction in inflation and the consequence of shock relative to the required reserve ratio is a decrease in output and an increase in inflation. |
| first_indexed | 2024-03-08T17:45:53Z |
| format | Article |
| id | doaj.art-62bb552247a14e6187b0f4656bddbaa6 |
| institution | Directory Open Access Journal |
| issn | 1726-0728 2476-6445 |
| language | fas |
| last_indexed | 2024-03-08T17:45:53Z |
| publishDate | 2014-03-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | فصلنامه پژوهش‌های اقتصادی ایران |
| spelling | doaj.art-62bb552247a14e6187b0f4656bddbaa62024-01-02T10:29:09ZfasAllameh Tabataba'i University Pressفصلنامه پژوهش‌های اقتصادی ایران1726-07282476-64452014-03-01195877115979Balance Sheet Effects of Monetary Policy on Banking System and Macroeconomic Variables of the Iranian Economy: A DSGE ApproachSoheila Parvin0Abbas Shakeri1Azam Ahmadian2دانشیار دانشکده اقتصاد دانشگاه علامه طباطباییاستاد دانشکده اقتصاد دانشگاه علامه طباطباییدانشجوی دکتری دانشکده اقتصاد دانشگاه علامه طباطباییIn the area of monetary policy, interest rate is regarded as a direct monetary instrument and required reserve ratio is as an indirect monetary instrument which in Iran, they are enforced by the monetary authorities to the banking system and will affect its behavior. In this paper, we study the balance sheet effects of the two policies using financial statements data of banking system, System of National Accounts and New Keynesian Stochastic Dynamic General Equilibrium model taking advantage of the statistics for the period 1981-2012. Calibration methodology is used to compute the parameters of DSGE model . We analysis Impulse Response functions and the first and second moments. Results show that an interest rate positive shock by one standard deviation causes the deposits and loans to be, respectively, about 8 and 25 percent higher than the steady state. On the other hand, a positive shock of required reserve ratio by one standard deviation has an impact opposite to the effect of an increase in banking interest rate on the balance sheet. Hence, the consequence of a positive interest rate shock is an increase in output and reduction in inflation and the consequence of shock relative to the required reserve ratio is a decrease in output and an increase in inflation.https://ijer.atu.ac.ir/article_979_96d7d51f79993da786a065f54319d5c8.pdfmonetary policybank’s balance sheetrequired reserve ratiointerest rate |
| spellingShingle | Soheila Parvin Abbas Shakeri Azam Ahmadian Balance Sheet Effects of Monetary Policy on Banking System and Macroeconomic Variables of the Iranian Economy: A DSGE Approach فصلنامه پژوهش‌های اقتصادی ایران monetary policy bank’s balance sheet required reserve ratio interest rate |
| title | Balance Sheet Effects of Monetary Policy on Banking System and Macroeconomic Variables of the Iranian Economy: A DSGE Approach |
| title_full | Balance Sheet Effects of Monetary Policy on Banking System and Macroeconomic Variables of the Iranian Economy: A DSGE Approach |
| title_fullStr | Balance Sheet Effects of Monetary Policy on Banking System and Macroeconomic Variables of the Iranian Economy: A DSGE Approach |
| title_full_unstemmed | Balance Sheet Effects of Monetary Policy on Banking System and Macroeconomic Variables of the Iranian Economy: A DSGE Approach |
| title_short | Balance Sheet Effects of Monetary Policy on Banking System and Macroeconomic Variables of the Iranian Economy: A DSGE Approach |
| title_sort | balance sheet effects of monetary policy on banking system and macroeconomic variables of the iranian economy a dsge approach |
| topic | monetary policy bank’s balance sheet required reserve ratio interest rate |
| url | https://ijer.atu.ac.ir/article_979_96d7d51f79993da786a065f54319d5c8.pdf |
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