آنالیز نقش سیاست پولی نامتعارف با استفاده از شاخص شرایط مالی: رهیافت خودرگرسیون برداری بیزی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد دانشکده مدیریت و اقتصاد دانشگاه سیستان و بلوچستان

2 دانشیار گروه اقتصاد دانشکده مدیریت و اقتصاد دانشگاه سیستان و بلوچستان،(نویسنده مسئول)

3 دانشیار گروه اقتصاد دانشکده مدیریت و اقتصاد دانشگاه سیستان و بلوچستان

4 دانشیار اقتصاد، پژوهشگاه علوم انسانی و مطالعات فرهنگی

10.29252/ecoj.10.1.211

چکیده

بانک­های مرکزی به طور معمول با استفاده از ابزار سیاست پولی نسبت به نوسانات تورم و شکاف تولید واکنش نشان می­دهند. با وقوع بحران مالی جهانی در سال 2007، سیاست پولی بانک های مرکزی و اثرگذاری این سیاست­ها و ابزار قیمتی مورد استفاده، در جهت برقراری تعادل پایدار از کارایی لازم برخوردار نبود. در این شرایط استفاده از ابزارهای سیاست پولی نامتعارف در دستور کار بانک­های مرکزی قرار گرفت. استفاده از شاخص شرایط مالی، وضعیت فضای مالی موثر بر بنگاه­ها و خانوارها، جهت اتخاذ تصمیمات اقتصادی را نشان می­دهد. این مقاله با هدف شناسایی و آنالیز ساز و کار انتقال سیاست پولی، تأثیر شاخص شرایط مالی بر فعالیت­های اقتصادی ایران با استفاده از داده­های فصلی سال­های 1396-1385 برآورد شده­است. سپس با استفاده از توزیع پیشن و پسین در الگوی خودرگرسیو برداری بیزی متغیرهای کنش و واکنش آنی برای شاخص شرایط مالی در بازه مورد بررسی برآورد شده ­است. یافته­های پژوهش حاکی از آن است که شاخص شرایط مالی، بر تولید ناخالص داخلی و سرمایه­گذاری بخش خصوصی تأثیر منفی داشته و رشد اعتبارات نقش مهمی در شاخص شرایط مالی داشته است.

کلیدواژه‌ها

عنوان مقاله [English]

Analysis of the role of Unconventional Monetary Policy Using the Financial Conditions Index: The B-VAR Approach

نویسندگان [English]

  • Hadiseh Mohseni 1
  • Mosayeb Pahlavani 2
  • Mohammad Nabi Shahiki Tash 3
  • Hosein Mirjalili 4
1 PhD Candidate in Economics, Faculty of Management an Economics, University of Sistan and Baluchestan, Iran
2 Associate Professor of Economics, Faculty of Management an Economics,University of Sistan and Baluchestan ,Iran (Corresponding Author)
3 Associate Professor of Economics, Faculty of Management an Economics,University of Sistan and Baluchestan, Iran
4 Associate Professor of Economics, Institute of Humanities and Cultural Studies
چکیده [English]

The central banks typically respond to inflationary fluctuations and production gaps by using monetary policy tools. The financial crisis in 2007 indicated that the monetary policy of central banks and pricing tools used to stabilize the economy have not been effective. Thus central banks utilized unconventional monetary policy to achieve financial stability the index of financial conditions indicates the financial climate affecting firms and households. This paper aims to identify and analyze the channel of monetary policy transmission and estimate the effect of the index of financial conditions on Iran's economic activity during the 2005-2017 period. Then, using the forward and backward distribution in the Bayesian VAR model, the impulse variables and immediate response to the financial condition indicator in the period under review are estimated. The findings of the paper indicate that financial conditions have negatively affected GDP and private sector investment, and credit growth has played a significant role in the financial condition index.

کلیدواژه‌ها [English]

  • Credit Easing
  • Iranian Economy
  • Bayesian-VAR Model
  • Macro Variables

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