The Anatomy of DSGE Models with Banking Industry for Iran's Economy | ||
| Iranian Journal of Economic Studies | ||
| مقاله 2، دوره 4، شماره 2، دی 2015، صفحه 17-49 اصل مقاله (1.02 M) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22099/ijes.2015.4121 | ||
| نویسندگان | ||
| Hassan Daliri* 1؛ Nader Mehrgan2 | ||
| 1Economics, Department of Humanities, Golestan University, Gorgan, Iran | ||
| 2Economics, Department of Social Sciences and Economics, Bu Ali Sina University, Hamedan, Iran | ||
| چکیده | ||
| The recent financial crisis has raised several questions with respect to the financial institutions and banking industry. Hence, over the last decade the Iranian banking industry has undergone many substantial changes, such as liberalization, government regulation and technological advances. What impacts do these changes have on the policy instruments? We have answered this question in this study. To do this, we used the DSGE models. We also used two kinds of basic DSGE structures: External Finance Premium (EFP) Model and Collateral Constraint (CC) Model. Both models are simulated for Iran. Finally, we have examined the effects of monetary shocks for each model variables. We employed a Bayesian method to estimate the parameters of DSGE models. We have concluded that the prediction power of the EFP models is better than that of CC model. In addition, the results showed that the increase in liquidity raises output, inflation, investment and consumption. Moreover, it was found that the responses of variables to monetary policy in the CC model was greater than of the EFP model. | ||
| کلیدواژهها | ||
| DSGE Models؛ Monetary Policy؛ Banking Industry؛ Bayesian Methods | ||
| مراجع | ||
|
Ahmadian, A., & Shahchera, M. (2015). A Model of Asset and Liability Management and Monetary Shocks (DSGE Model). Journal of Money & Economy, 1, 57-92.
Andres, J. and O. Arce (2009), Banking Competition, Housing Prices and Macroe conomic Stability, mimeo, Bank of Spain.
Andre´s J., & Arce, O. (2012). Banking Competition, Housing Prices and Macroeconomic Stability. the Economic Journal, 122, 1346–1372.
Bernanke, B., & Gertler, M. (1989) Agency Costs, Net Worth, and Business Fluctuations. American Economic Review, 79(1), 14-31.
Bernanke, B., Gertler, M., & Gilchrist, S., (1999). The financial accelerator in a quantitative business cycle framework. Handbook of Macroeconomics, 1, 1341–1393.
Brázdik F., Hlaváček M., & Maršál A., (2012). Survey of Research on Financial Sector Modeling within DSGE Models: What Central Banks Can Learn from It. Finance a úvěr - Czech Journal of Economics and Finance, 62(3), 252–277.
Brooks, S. P. and Gelman, A. (1998). General Methods for Monitoring Convergence of Iterative Simulations, Journal of Computational and Graphical Statistics,Volume 7, 434-455
Calvo, G. (1983). Staggered prices in a utility-maximizing framework, Journal of Monetary Economics, vol. 12(3),
Christiano, L., Motto, R. & Rostagno, M. (2007). Financial Factors in Business Cycle. working paper European Central Bank and Northwestern University.
Clarida, R., Gali, J., & Gertler, M. (2000). Monetary policy rules and macroeconomic stability: Evidence and some theory. Quarterly Journal of Economic Literature, 115, 147-180.
De Bondt, G., (2005). Interest rate pass-through: Empirical results for the Euro area. German Economic Review, 6 (1), 37–78.
Del Negro, M. & Schorfheide, F. (2004). Priors from general equilibrium models for VARs. International Economic Review, 45, 643.673.
Fukunaga, I. (2002). Financial Accelerator Effects in Japan’s Business Cycles. Bank of Japan Working Paper No. 2002-2.
Gerali, Andrea, Stefano Neri, Luca Sessa, and Federico Signoretti (2009) Credit and Banking in a DSGE Model of the Euro Area (493 KB). Paper presented at the Financial Markets and Monetary Policy Conference, sponsored by the Federal Reserve Board and the Journal of Money, Credit, and Banking, June 4-5.
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.
Goodfriend, M. & McCallum, B.T. (2007). Banking and interest rates in monetary policy analysis: A quantitative exploration. Journal of Monetary Economics, 5, 1480-1507.
Güntner J. H. F. (2009). Monopolistically Competitive Financial Intermediaries in a DSGE Model. http://ideas.repec.org/a/eee/ecmode/v28y2011i4p1891-1901.html .
Güntner J. H.F. (2011). Competition among banks and the pass-through of monetary policy. Economic Modeling, 28, 1891–1901.
Hodrick, R., & Prescott, E. (1997). Postwar U.S. business cycles: An empirical investigation. Journal of Money, Credit & Banking, 29(1), 1–16.
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. (2008). Housing market spillovers: Evidence from an estimated DSGE model. Banca d'Italia Discussion papers, 659, 1-44.
Kavand, H. (2008), explaining the effects of oil revenues and monetary policies in the context of real business cycle model for Iran doctoral thesis, Faculty of Economics, Tehran University.
Kiyotaki, N., & Moore, J., (1997). Credit cycles. Journal of Political Economy, 105 (2), 211–248.
Kydland, F.E & Prescott, E. (1982). Time to Build and Aggregate Fluctuations. Econometrica, 50, (6), 1354-1370.
Mishkin, F. (1995). Symposium on the Monetary Transmission Mechanism. The Journal of Economic Perspectives, 9, (4), 3-10.
Motavaseli M. , Ebrahimi, I., Shahmoradi, A., & Komijani, A. (2011). A New Keynesian Dynamic Stochastic General Equilibrium (DSGE) Model for an Oil Exporting Country. The Economic Research, 4, 87-117.
Motavaseli, M., & Ebrahim I. (2011). Monetary Policy Role in Transmission of the Effects of Oil Shocks on Iran’s Economy. Mofid journal, 81, 27-51.
Parvin, S., Ebrahimi, I., & Ahmadian, A., (2014). Analysis of the Impact of Banking System's Balance Sheet Shocks on Output and Inflation in Iranian Economy. Economics research, 52, 149-168.
Rotemberg, J. J., (1982). Sticky Prices in the United States. Journal of Political Economy, 90(6), 1187-1211.
Salop, S., (1979). Monopolistic Competition with Outside Goods. Bell Journal of Economics, 8, 378–93.
Shahhosseini, S. & J. Bahrami. (2013). Designing a New Keynesian Dynamic Stochastic General Equilibrium Model for Iran's Economy with Banking Sector. Iranian Journal of Economic Research, 53, 55-84.
Shahmoradi, A., Nadri, K & Kavand, H. (2010). Natural interest rate estimation in Iran based on DSGE. Journal of economic research, 90, 19-41.
Shahmordi, A., & Ebrahimi, E., (2011). The Impacts of Monetary Policies in Iran: A DSGE Approach. Journal of Monetary & Banking Researches, 3, 31-57.
Sungbae A., & Schorfheide, F. (2007). Bayesian analysis of DSGE models. Econometric Reviews, 26. 113-172.
Tavakoliyan, H. (2012). A New Keynesian Phillips Curve in a DSGE Model for Iran. Tahghighate Eghtesadi , 100, 1-22.
Tavakoliyan, H. & komijani, A. (2013). Monetary Policy under Fiscal Dominance and Implicit Inflation Target in Iran: A DSGE Approach. Journal of Economic Modeling Research, 8, 87-118.
Uhlig, Harald. (1999). A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily. In R. Marimon and A. Scott (Eds). Computational Methods for the Study of Dynamic Economies. New York: Oxford University Press.
Van Leuvensteijn, M., Sørensen, C.K., Bikker, J.A., & van Rixtel, A.A.R.J.M., (2008). Impact of bank competition on the interest rate pass-through in the Euro area. ECB Working Paper, 171, Series, 885.
| ||
|
آمار تعداد مشاهده مقاله: 1,925 تعداد دریافت فایل اصل مقاله: 2,383 |
||