تأثیر سیاست‌های پولی و مالی بر بی‌ثباتی مالی در ایران از طریق رفتار اهرمی بانک‌ها و کارآفرینان: یک الگوی تعادل عمومی پویای تصادفی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری بخش اقتصاد دانشکده اقتصاد، مدیریت و علوم اجتماعی دانشگاه شیراز، شیراز

2 استاد بخش اقتصاد دانشکده اقتصاد، مدیریت و علوم اجتماعی دانشگاه شیراز، شیراز، ایران

3 دانشیار بخش اقتصاد، دانشکده اقتصاد، مدیریت و علوم اجتماعی، دانشگاه شیراز، شیراز، ایران

4 استادیار بخش اقتصاد، دانشکده اقتصاد، مدیریت و علوم اجتماعی دانشگاه شیراز، شیراز، ایران،

10.48308/jem.2024.236064.1923

چکیده

پژوهش حاضر به بررسی اثرات تکانه‌های پولی و مالی بر پویایی‌های اقتصاد کلان و رفتار اهرمی بانک‌ها و کارآفرینان به عنوان عوامل مهم ایجاد بی‌ثباتی مالی در ایران طی دوره 1401-1368 با استفاده از الگوی تعادل عمومی پویای تصادفی کینزی جدید می‌پردازد. تاکنون رفتار اهرمی بانک‌ها و کارآفرینان در رابطه با بی‌ثباتی مالی در اقتصاد ایران در یک چارچوب تعادل عمومی بررسی نشده است. نتایج نشان می‌دهد که تکانه‌‌های پولی و مالی انبساطی اگرچه باعث رونق اقتصادی می‌شوند، اما با اهرمی کردن بانک‌ها و کارآفرینان، افزایش حاشیه نرخ تسهیلات و نرخ سود سپرده، و کاهش حاشیه بازدهی سرمایه کارآفرین و نرخ تسهیلات، خطر بی‌ثباتی مالی را افزایش می‌دهند. در این حالت، اهرم‌های بانکی و کارآفرینی رفتار موافق چرخه دارند. در نتیجه این تکانه‌ها یک تعارض بین رونق اقتصادی و بی‌ثباتی مالی ایجاد می‌کنند. توابع ضربه-واکنش نشان می‌دهند که تأثیر تکانه پولی نسبت به تکانه مالی بر متغیرهای کلان و همچنین اهرم‌ها و حاشیه‌ها (بی‌ثباتی مالی) بیشتر است. با توجه به اثر افزایشی اهرم‌های بانکی و کارآفرینی بر ظهور بی‌ثباتی مالی در ایران، توصیه می‌شود که با ‌بکارگیری روش‌های مکملی جدید مانند استفاده از سیاست‌های احتیاطی کلان همزمان در جهت افزایش ثبات اقدام شود.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

The Effects of Monetary and Fiscal Policy on Financial Instability in Iran through Banks' and Entrepreneurs' Leverage Behavior: A DSGE Model

نویسندگان [English]

  • Ali Reza Raanaei 1
  • Karim Eslamloueyan 2
  • Rouhollah Shahnazi 3
  • Sakine Owjimehr 4
1 PhD Candidate in Economics, Faculty of Economics, Management and Social Sciences, Shiraz University, Shiraz, Iran
2 Professor of Economics, Faculty of Economics, Management and Social Sciences, Shiraz University, Shiraz, Iran
3 Associate Professor of Economics, Faculty of Economics, Management and Social Sciences, Shiraz University, Shiraz, Iran
4 Assistant Professor of Economics Department, Faculty of Economics, Management and Social Sciences, Shiraz University, Shiraz, Iran.
چکیده [English]

Using a new Keynesian dynamic stochastic general equilibrium (DSGE) framework, the present study takes a novel approach by investigating the effects of monetary and fiscal shocks on macroeconomic dynamics and banks' and entrepreneurs' leverage behavior as key factors contributing to financial instability in Iran from 1990-2022. Our impulse response analysis shows that expansionary monetary and fiscal shocks stimulate economic growth and enhance the risk of financial instability by increasing the leverages of banks and entrepreneurs, widening the spread between loan and deposit rates, and narrowing the spread between entrepreneurial capital returns and loan rates. In other words, we find that banks' and entrepreneurs' leverage behavior is procyclical, creating a trade-off between economic growth and financial instability. Furthermore, the results indicate that the effect of monetary shock on macroeconomic variables, leverages, and spreads is larger than that of fiscal shocks. Given that increasing bank and entrepreneur leverages might contribute to financial instability. As a policy recommendation, we suggest simultaneously enhancing stability by employing new complementary measures, such as macroprudential policies.

کلیدواژه‌ها [English]

  • Financial Instability
  • Monetary and Fiscal Policy
  • Bank's and Entrepreneur’s Leverages
  • DSGE
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