نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشگاه زنجان
2 دانشگاه تبریز
3 گروه اقتصاد، دانشگاه زنجان، زنجان، ایران
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
This study examines the asymmetric effects of monetary policies on bank liquidity creation, considering the influence of diversified bank financing. Using panel data from 17 state-owned and private banks operating between 2008 and 2013, we employ the nonlinear autoregressive distributed lag (NARDL) model to analyze these dynamics. The results of the cointegration and Wald tests confirm a long-run and asymmetric relationship between the model’s variables. Positive and negative shocks to the statutory reserve ratio exhibit asymmetric and nonlinear effects on liquidity creation. Specifically, positive shocks have a significant negative impact, while negative shocks have a considerable positive effect in the long run. However, these effects are not statistically significant in the short run. Similarly, the bank debt-to-central bank ratio exhibits a symmetric effect, with both positive and negative shocks significantly increasing liquidity creation in the long run. However, their short-run effects remain statistically insignificant. Furthermore, the Herfindahl-Hirschman Index (HHI), used as a measure of bank financing diversification, has a positive and significant effect on liquidity creation in the long run in both models, but no statistically significant effect in the short run. These findings suggest that banks with more diversified sources of financing are less sensitive to changes in central bank monetary policies when creating liquidity.
کلیدواژهها [English]
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