بررسی بی ثباتی مالی تحت یک مدل تعادل پویای تصادفی مطالعه موردی اقتصاد ایران

نوع مقاله : علمی

نویسندگان

1 دانشجوی دکتری، گروه اقتصاد، دانشگاه آزاد اسلامی، واحد قزوین، قزوین، ایران

2 استادیار گروه اقتصاد،دانشگاه آزاد اسلامی ، واحد قزوین، قزوین ، ایران

چکیده

در این مقاله با استفاده از مدل تعادل عمومی پویای تصادفی کینزی جدید به بررسی بی­ثباتی مالی با مداخله­گری سیستم بانکی پرداخته می­شود با توجه به اهمیت بخش بانکی در انتقال آثار سیاست اقتصادی سعی شده است که مدل مالی به مدل استاندارد اصلی اضافه شود. علاوه بر این، توابع عکس­العمل آنی بهره­وری، نرخ بهره و ارزش خالص واسطه­های مالی و تأثیر آن بر رفتار عوامل اقتصادی مورد بررسی قرار می­گیرد. برای این منظور از سری زمانی فصلی برای سال­های 1378-1396 استفاده شده است. نتایج نشان می­دهد که یک تکانه مثبت تکنولوژی موجب می­شود بهره­وری عوامل تولید، حجم سرمایه و نیروی کار مورد تقاضای بنگاه­های تولیدی افزایش یابد در نتیجه درآمد خانوار ناشی از اجاره سرمایه و دستمزد نیروی کار  افزایش و همچنین میزان مصرف کالاها و خدمات و پس­انداز در قالب سپرده­ بانکی افزایش ­یابد. از طرفی به دلیل افزایش عرضه کل اقتصاد، میزان تورم در اقتصاد کاهش می­یابد. کاهش تورم و افزایش جذب منابع بانکی، ثبات مالی بانک­ها را افزایش می­دهد. تکانه مثبت نرخ بهره به عنوان یک عامل ایجاد سرکوب مالی، با افزایش هزینه اعتبارات بانکی، میزان دسترسی به اعتبارات و ارزش خالص واسطه­های مالی را کاهش داده و با محدود کردن جذب منابع بانکی  ثبات مالی بانک­ها را کاهش می­دهد.

کلیدواژه‌ها

عنوان مقاله [English]

Financial Instability under a DSGE Modeling Approach: A Case Study of Iran

نویسندگان [English]

  • Afsaneh Ghasemi 1
  • Beitollah Akbari Moghaddam 2
1 PhD student, of Economics, ,Islamic Azad University, Qazvin Branch,,Qazvin, ,Iran
2 Assistant professor, Department of Economics, Qazvin Branch, Islamic Azad University, Qazvin, Iran.
چکیده [English]

We developed a quantitative monetary DSGE model with financial intermediaries that face endogenously determined balance sheet constraints. Considering the importance of the banking sector in transferring the effects of economic policy, it has been attempted to add the financial model to the standard model. To do so, a seasonal data set from 1998 to 2016 is used. The results shows, a positive technology shock, the productivity, capital stock and labor demanded by manufacturing firms will increase as a result of household income resulting from the rental of capital and wages, as well as the consumption of goods and services and savings deposits will increase. On the other hand, due to the increase in aggregate supply, the inflation rate is decreasing. Reducing inflation and increasing the attraction of banking resources will increase financial stability banks. The positive interest rate shock as in creating financial repression diminishes the banks' financial stability by decreasing the attraction of bank resources with increasing the cost of bank credits, reducing credit and net worth of financial intermediaries. Also, government expenditures shock by creating instability demand leads to unsustainable production and short-term economic growth.

کلیدواژه‌ها [English]

  • Financial intermediaries
  • DSGE Model
  • Intrest Rate Shock
  • Productivity Shock
  • Fiscal Shock

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پژوهشنامه اقتصاد کلان Macroeconomics Research Letter
دوره 14، شماره 28
اسفند 1398
صفحه 319-354

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سابقه مقاله

  • تاریخ دریافت: 24 اردیبهشت 1398
  • تاریخ بازنگری: 30 دی 1398
  • تاریخ پذیرش: 02 تیر 1399

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