The Impacts of Monetary Policy on Macroeconomic Variables Assuming the Collateral Constraint | ||
| Iranian Journal of Economic Studies | ||
| مقاله 5، دوره 8، شماره 1 - شماره پیاپی 15، خرداد 2019، صفحه 69-90 اصل مقاله (1.18 M) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22099/ijes.2019.31442.1508 | ||
| نویسندگان | ||
| Hadi Keshavarz* 1؛ Hojat Parsa2 | ||
| 1Department of economics, Persian gulf university, bushehr , Iran | ||
| 2Department of Economics, Persian Gulf University, Bushehr, Iran | ||
| چکیده | ||
| This study aimed to examine the effects of monetary policy on macroeconomic variables with regard to the collateral constraint. For this purpose, a dynamic stochastic general equilibrium (DSGE) was developed for Iran’s economic status. Two scenarios were considered as to account for the behavior of the central bank. In the first scenario, the monetary rule is modeled according to the GDP gap and inflation. In the second scenario that is modeled by macro-prudential rule, in addition to the GDP gap and inflation, it is also the central bank responses to the housing price gap that contributes to a steady state. An examination of the impulse response functions in the two scenarios indicated that the monetary shock increased production and inflation. A monetary shock has a positive impact on the consumption of patient households (lenders) and a negative effect on impatient households’ (borrowers) consumption. The collateral constraint was assumed to cause the effects of shocks to be continued on both groups. A comparison between the two scenarios indicated that if the central bank responds to the housing price deviation, in addition to the GDP gap and inflation, the effectiveness of the monetary policy will be strengthened. | ||
| کلیدواژهها | ||
| Monetary Policy؛ Collateral Constraint؛ Macro-Prudential Rule؛ Dynamic Stochastic General Equilibrium Model؛ Iran | ||
| مراجع | ||
|
References
Abolhassani A., Ebrahimi I., Hossein Pour M.,& Bahrami Nia E. (2016). The Effect of Oil Shocks and Monetary Shocks on Production and Inflation in the Housing Sector of the Iranian Economy: New Keynesian Dynamic Stochastic General Equilibrium Approach. Quarterly Journal of Economic Growth and Development Research, 7(25), 97-112 (in Persian). Badarau, C., & Popescu, A., (2014). Monetary policy and credit cycles: a DSGE analysis. Economic Modelling, 42, 301–312. Bayat M., Afshari Z., & Tavakolian H. (2016). Monetary Policy and Stock Price Index (on the basis of the wealth effect of the stock market boom) in a DSGE Framework. Applied economics studies in Iran (AESI), 5(20), 33-61(in Persian). Bernanke, B. S., & Gertler, M. (1989). Agency costs, net worth, and business fluctuations, American Economic Review, 79(1), 14-31. Borio, C., & Zhu, H. (2012). Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism?. Journal of Financial Stability, 8 (4), 236–251. Carlstrom, C. T., & Fuerst T. S. (1997). Agency costs, net worth, and business fluctuations: A computable general equilibrium analysis. American Economic Review, 87(5), 893-910. De Grauwe, P., & Gros, D. (2009). A new two-pillar strategy for the ECB. CESifo Working Paper, no 2818. Ehsani M. A., Keshavarz h., & Keshavarz M. (2017). The Impact of Monetary and Fiscal Policies on Employment Fluctuations with an Emphasis on Private Sector Employment. Quarterly Journal of Economic Growth and Development Research, 7(26), 124-113 Erfani A., & Shamsiyan S. (2016). Application of Taylor's Rule in Iran Economy and Policies influence from Real Estate Market. Journal of investment knowledge, 5(18), 197-210. Faia, E., & Monacelli, T. (2007). Optimal interest rate rules, asset prices, and credit frictions. Journal of Economic Dynamics and Control, 31, 3228–3254. Fakhrehosseini S. F., Shahmoradi A., & Ehsani M. A. (2012). Sticky Prices, Wages and Monetary Policy in the Iranian Economy. The Economic Research, 12(1), 1-30 (In Persian). Faraji M., Afshari Z., & Ebrahimi I. (2015).Oil Price Shocks and Monetary Policy in Iran: The New Keynesian Approach. Journal of Monetary & Banking Research, 7(22), 533-568(in Persian). Fotros, M. H., Tavakolian, H., & Maaboudi, R. (2015). Impact of Fiscal and Monetary Shocks on Macroeconomic Variables in Iran, Dynamic Stochastic General Equilibrium Approach 1961-2012. Quarterly Journal of Economic Growth and Development Research, 5(19), 73-94 (in Persian). Heidari, H., & Molabahrami, A. (2017). The impact of credit shocks on dynamics of financial and macroeconomic variables using a DSGE model for the Iran economy. Journal of Economic Research and Policies, 24(80), 85-118 (in Persian). Iacoviello, M. (2005). House prices, borrowing constraints, and monetary policy in the business cycle. American Economic Review, (95)3, 739-764. Iacoviello, M., & S. Neri. )2010(. Housing Market Spillovers: Evidence from an Estimated DSGE Model. American Economic Journal: Macroeconomics, 2 (2): 125–64. Jafari Samimi, A., Tehranghian A. M., Ebrahimi I., & Balonezhad Noori R. (2014). The Effect of Monetary and Non-Monetary Shocks on Inflation and Output in Dynamic Stochastic General Equilibrium Model in Open Economy Condition: Case Study of Iran Economy. Applied economics studies in iran(AESI), 3(10), 1-32 (in Persian). Kannan, P., Rabanal, P., & Scott, A. (2012). Monetary and macroprudential policy rules with house price booms. The B.E. Journal of Macroeconomics, 12(1), 1- 44. Kiyotaki, N., & Moore J. (1997). Credit cycles. Journal of Political Economy, 105(2), 211-248. Komijani, A., & Tavakolian, H. (2012). Monetary policy under fiscal dominance and implicit inflation target in Iran: A DSGE approach. Journal of Economic Modeling Research, 2(8), 87-117. (in Persian) Manzoor, D. & Taghipour A. (2016). A dynamic stochastic general equilibrium model for an oil exporting and small open economy: the case of Iran. Journal of Economic Research and Policies, 23(75), 7-44. (in Persian) Monacelli, T. )2009(. New Keynesian Models, Durable Goods, and Collateral Constraints. Journal of Monetary Economics, 56 (2):242–54. Sahabi, B., Asgharpur H., & Qorbani S) .2017(. The Monetary Shocks' Asymmetry within Dynamic Stochastic General Equilibrium Model. The Economic Research, 17(2), 73-100 (in Persian). Semmler, W., & Zhang, W. (2007). Asset price volatility and monetary policy rules: a dynamic model and empirical evidence. Economic Modelling, 24, 411–430. Shahmoradi, A., & Ebrahimi E. (2010).The Impacts of Monetary Policies in Iran: A DSGE Approach. Journal of Monetary and Banking Researches, 2(3).31-56 (in Persian). Townsend, R. M. (1979). Optimal Contracts and Competitive Markets with Costly State Verification. Journal of Economic Theory, 21(2), 265-293. | ||
|
آمار تعداد مشاهده مقاله: 1,319 تعداد دریافت فایل اصل مقاله: 1,146 |
||