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Endogenous Liquidity Creation in Bank Centric Economies: A DSGE Analysis of Iran, Azerbaijan, and Armenia | ||
| Iranian Journal of Economic Studies | ||
| مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 19 اردیبهشت 1405 | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22099/ijes.2026.55887.2112 | ||
| نویسندگان | ||
| Zahra Mohammadi؛ Rasoul Bakhshi* ؛ Mohammad Vaez Barzani | ||
| Department of Economics, University of Isfahan, Isfahan, Iran | ||
| چکیده | ||
| This study employs a calibrated Dynamic Stochastic General Equilibrium (DSGE) model to compare endogenous liquidity creation and its allocation in Iran, Armenia, and Azerbaijan over 2005–2024. It significantly contributes by introducing a structural Liquidity Distribution Indicator (LDI), measuring the share of bank-created liquidity allocated to firm lending. Countries are selected based on similar Liquidity Creation Intensity (LCI), defined as the ratio of central bank borrowing to total deposits. The model features a representative household and bank with financial frictions to analyze how balance sheet liquidity allocation affects the transmission of a –1% lending rate shock, interpreted as a relaxation of credit conditions before and after COVID-19. Calibrated to country-specific financial structures and solved using a fully nonlinear routine, the model generates impulse responses from nonlinear transition dynamics. Results show that before COVID-19, banks in Iran and Armenia allocated a relatively small share of liquidity to firm lending, with Azerbaijan displaying a similar pattern driven by state-dominated intermediation. Although post-COVID liquidity support temporarily increased lending shares, structural banking features continued to constrain effective monetary transmission. Overall, interest rate policy alone appears insufficient to mitigate risks from concentrated liquidity allocation; strengthening credit allocation mechanisms and banking intermediation is essential for macro-financial stability. | ||
| کلیدواژهها | ||
| Endogenous Liquidity Creation؛ Liquidity Distribution (Bank Balance Sheet Based)؛ DSGE Model؛ Banks | ||
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آمار تعداد مشاهده مقاله: 40 |
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