| تعداد نشریات | 24 |
| تعداد شمارهها | 917 |
| تعداد مقالات | 8,230 |
| تعداد مشاهده مقاله | 16,274,283 |
| تعداد دریافت فایل اصل مقاله | 13,749,847 |
Interbank Market Failure and the Effects of the Basel III Regulations in a DSGE Model for Iran | ||
| Iranian Journal of Economic Studies | ||
| مقاله 10، دوره 8، شماره 1 - شماره پیاپی 15، شهریور 2019، صفحه 163-183 اصل مقاله (703.51 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22099/ijes.2019.33834.1577 | ||
| نویسندگان | ||
| Marzieh Pirahmadi1؛ Zahra Afshari* 1؛ Mehdi Sarem2 | ||
| 1Faculty of Social Sciences and Economics, AL Zahra University, Tehran, Iran. | ||
| 2Economic Research and Policies, Central Bank of the Islamic Republic of Iran, Tehran, Iran. | ||
| چکیده | ||
| In order to facilitate transactions among banks, the interbank market has been established in Iran since 2008. The primary objective of this market is to eliminate banking system liquidity deficiencies at a rate chosen by the Central bank of Iran. The importance of this rate is that it affects market interest rates through its effects on banks’ balance sheets. Banks’ balance sheets are also influenced by banking regulation, such as Basel regulations; thus, this study was aimed to investigate the effects of the interbank market in Iran by imposing Basel III regulations on the banking system. For this purpose, a dynamic stochastic general equilibrium model (DSGE) was designed that included the interbank market. The structural parameters of the designed model were estimated using the Bayesian method and the quarterly data on the period 2008-2015. Afterward, the effect of a positive interbank innovation on the economy’s dynamics was examined. The results showed that an increase in the interbank rate led to instability in the economy. It was concluded that an increase in the liquidity and capital adequacy requirement, as mentioned in the Basel III regulations, would reduce the negative effects of interbank shocks on macroeconomic variables and the economy would naturally become more stable. | ||
| کلیدواژهها | ||
| Interbank market؛ Basel III regulations؛ Dynamic Stochastic General Equilibrium؛ Liquidity requirement؛ Capital adequacy requirement | ||
| مراجع | ||
|
References
Acharya, V.V., & Mora, N. (2015). A crisis of banks as liquidity providers. Journal of Finance, 70(1), 1-43. Ahn, J., Bignon, V., Breton, R., & Martin, A. (2016). Interbank market and central bank policy, Federal Reserve Bank of New York Staff Reports, 763, 1-33. Angelini, P., Clerc, L., Cúrdia, V., Gambacorta, L., Gerali, A., Locarno, A., Motto, R., Roeger, W., Van den Heuvel, S., & Vlček, J. (2011). Basel III: long-term impact on economic performance and fluctuations, Federal Reserve Bank of New York Staff Reports, 485. Borghei, M., & Mohammadi, T. (2017). Effects of price stickiness on conditional exchange rate pass-through in Iran: a DSGE approach, Journal of Applied Economics Studies in Iran, 6(23), 85-115. Bridges, J., Gregory, D., Nielsen, M., Pezzini, S., Radia, A., & Spaltro, M. (2014). The impact of capital requirements on bank lending, Bank of England Working paper, 486. 36 pages. Brunnermeier, M. K. (2009). Deciphering the liquidity and credit crunch 2007-2008, Journal of Economic Perspectives, 23(1), 77-100. Carrera, C., & Vega, H. (2012). Interbank market and macroprudential tools in a DSGE model, Working Paper series. Dargahi, H., & Hadiyan, M. (2018). The effect of macroprudential policies of financial stability of Iran economy: DSGE approach. Journal of Monetary & Banking Research, 10(34), 559-590. De Walque, G., Pierrard, O., & Rouabah, A. (2010). Financial (In) stability, supervision and liquidity injections: a dynamic general equilibrium approach. The Economic Journal,120(549), 1234-1261. Dib, A. (2010). Banks, credit market frictions, and business cycles. Working Papers Bank of Canada, 10-24. Edwards, S., & Vegh, C. A. (1997). Banks and macroeconomic disturbances under predetermined exchange rates. Journal of Monetary Economics, 40(2), 239–278. Gerali, A., Neri, S., Sessa, L. & Signoretti, F. M. (2010). Credit and banking in a DSGE model of the Euro Area. Journal of Money, Credit and Banking, 42(1), 107– 141. Gertler, M. & Karadi, P. (2011). A model of unconventional monetary policy, Journal of Monetary Economics, 58(1), 17-34. Ghosh, R. D., Kohli, B., & Khatkale, S. (2013), Basel I to basel II to basel III: a risk management journey of Indian banks, AIMA Journal of Management & Research, 7, 2/4, 0974 – 497. Giri, F. (2014). Does interbank market matter for business cycle fluctuation? An estimated DSGE model with financial frictions for the euro area, SSRN Electronic Journal, 1,1-58. Giri, F. (2018). Does interbank market matter for business cycle fluctuation? An estimated DSGE model with financial frictions for the euro area, Economic Modeling, 1-13. Goodhart, C., Sunirand, P., & Tsomocos, D. (2005). A Risk Assessment Model for Banks, Annals of Finance, 1(2), 197-224. Harmanta, R. A., Oktiyanto, F., & Idham. (2014). Interbank market with DSGE Bank, Working Paper. Iacoviello, M. (2005). House prices, borrowing constraints, and monetary policy in the business cycle, American Economic Review, 95(3), 739-764. Iacoviello, M.& Neri, S. (2010). Housing market spillovers: evidence from an estimated DSGE model, American Economic Journal: Macroeconomics, 2(2), 125-64. Kannan, P., Rabanal, P., & Scott, A. (2012). Monetary and macro-prudential policy rules in a model with house price booms, The B.E. Journal of Macroeconomics, Contributions, 12 (1), 1–44. Majcher, P. (2015). Increased bank capital requirements: neither panacea nor poison, Procedia Economics and Finance, 25 ,249 – 255. Mohebbi, S., Shahrestani, H., & Hojabr Kiani, K. (2017). Financial shocks and the role of monetary policy in Iran’s economy: interbank market in DSGE model, Journal of Economic Research and Policies, 25)81(, 123-153. Motavaseli, M., Ebrahimi, I., Shahmoradi, A., & Komeijani, A. (2011). A new Keynesian dynamic stochastic general equilibrium(DSGE) model for an oil exporting country, JER, 10(4), 87-116. Puri, M., Rocholl, J., & Steffen, S. (2011). Global retail lending in the aftermath of the US financial crisis: distinguishing between supply and demand effects. Journal of Financial Economics, 100, 556-578. Rubio, M., & Carrasco-Gallego, J. (2016), Bank capital requirements and collateralised lending market, The Manchester School, 85, S1, 79–103. Schuler, T., & Corrado, L. (2016). Interbank market failure and macro-prudential policies, Journal of Financial Stability, 1-52. Shakdwipee, P., & Mehta, M. (2017). From Basel I to Basel II to Basel III, International Journal of New Technology and Research (IJNTR), 3, 1, 66-70. Shakeri, A., & Ahmadian, A. (2014). A model of financial shocks at bank and interbank of Iran (DSGE), Journal of Money and Economy, 4, 19-58. Taghipour, A., & Esfahanian, H. (2016). The analysis of business cycle of oil shocks and government expenditures and their mechanisms of influence on macroeconomic variables: a DSGE approach, Journal of Financial Economics, 10 (35), 75-102. Tavakolian, H., & Komeijani, A. (2012). Monetary policy under fiscal dominance and implicit inflation target in Iran: a DSGE approach, Journal of Economic Modeling Research, 2(8), 87-117. | ||
|
آمار تعداد مشاهده مقاله: 1,464 تعداد دریافت فایل اصل مقاله: 1,005 |
||