تحلیل اثرات نامتقارن سیاست‌های پولی بر خلق نقدینگی نظام بانکی ایران با تأثیرپذیری از تأمین مالی بانکی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار گروه اقتصاد دانشکده علوم انسانی دانشگاه زنجان، زنجان، ایران

2 دانشجوی دکتری گروه اقتصاد دانشکده اقتصاد و مدیریت دانشگاه تبریز، آذربایجان شرقی

3 دانشجوی کارشناسی‌ارشد گروه اقتصاد دانشکده علوم انسانی دانشگاه زنجان، زنجان، ایران

چکیده

مقاله حاضر تلاش دارد اثرات نامتقارن سیاست‌های پولی بر خلق نقدینگی بانکی متأثر از تأمین مالی متنوع بانکی را با استفاده از داده‌های ترکیبی مربوط به ۱7 بانک فعال دولتی و غیردولتی طی بازه زمانی 1402- ۱۳۸۷ و با استفاده از روش خود رگرسیونی وقفه‌های توزیعی غیرخطی مورد آزمون و تحلیل قرار دهد. نتایج آزمون هم‌انباشتگی و والد، رابطه بلندمدت و نامتقارن میان متغیرهای الگو را تایید می‌کند. تکانه‌های مثبت و منفی نرخ ذخیره قانونی، رفتار نامتقارن و غیرخطی بر متغیر خلق نقدینگی دارند؛ به طوری که تکانه‌های مثبت رفتار منفی و معناداری و تکانه‌های منفی رفتار مثبت و معناداری با خلق نقدینگی بانکی در بلندمدت از خود نشان می‌دهند. اما این رفتار در کوتاه‌مدت به لحاظ آماری معنادار نیست. همچنین شاخص نسبت بدهی بانک‌ها به بانک مرکزی رفتار یکسانی برای هر دو تکانه مثبت و منفی در بلندمدت از خود نشان می‌دهد. همچنین، شاخص هرفیندال- هیرشمن به عنوان شاخص معرف تأمین مالی بانک اثر مثبت و معناداری با خلق نقدینگی در بلندمدت در هر دو الگو دارد؛ اما این رفتار در کوتاه‌مدت به لحاظ آماری معنادار نیست. این امر بیان کننده این واقعیت است که، بانک‌ها با تأمین مالی متنوع در هنگام خلق نقدینگی حساسیت کمتری نسبت به تغییرات سیاست‌های پولی بانک مرکزی از خود نشان می‌دهند.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Analyzing the Asymmetric Effects of Monetary Policies on Bank Liquidity Creation in Iran’s Banking Sector Considering Bank Financing Structure

نویسندگان [English]

  • Amir Jabari 1
  • Hamid Nasiri 2
  • Neda Heidari 3
1 Assistant Professor of Economics, Faculty of Humanities, University of Zanjan, Zanjan, Iran
2 PhD Candidate in Economics, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran
3 MA in Economics, Faculty of Humanities, University of Zanjan, Zanjan, Iran
چکیده [English]

This study investigates the asymmetric effects of monetary policies on bank liquidity creation, accounting for the role of bank financing diversification. Employing panel data for 17 state-owned and private banks operating between 2008 and 2023, the analysis utilizes the nonlinear autoregressive distributed lag model to explore these dynamics. The results confirm the presence of a long-run and asymmetric relationship among the model’s variables. Positive and negative shocks to the statutory reserve ratio exhibit distinct nonlinear effects on liquidity creation. Specifically, positive shocks significantly reduce liquidity creation in the long run, while negative shocks considerably enhance it. However, these effects are statistically insignificant in the short run. In contrast, the bank’s debt-to-central bank ratio demonstrates symmetric effects, with both positive and negative shocks significantly increasing long-run liquidity creation, but with no significant short-run impact. Additionally, the Herfindahl-Hirschman Index (HHI), employed as a proxy for bank financing diversification, shows a significant positive effect on liquidity creation in the long run across both models, yet remains statistically insignificant in the short run. These findings imply that banks with more diversified financing sources are less vulnerable to monetary policy changes regarding liquidity creation.

کلیدواژه‌ها [English]

  • Monetary Policies
  • Liquidity Creation
  • Hirfindahl-Hirschmann Index
  • Nonlinear Autoregressive Distributed Lag Method

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