تأثیر سیاست پولی بر شکنندگی بازار پول در اقتصاد ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری گروه اقتصاد دانشکده مدیریت و اقتصاد دانشگاه آزاد اسلامی واحد علوم و تحقیقات تهران، تهران، ایران.

2 استاد گروه اقتصاد دانشگاه اوهایو، اهایو، امریکا

3 استاد گروه اقتصاد دانشکده مدیریت و اقتصاد دانشگاه آزاد اسلامی واحد علوم و تحقیقات تهران، تهران، ایران

4 استاد گروه اقتصاد دانشکده اقتصاد دانشگاه تهران، تهران، ایران

10.29252/ecoj.10.4.25

چکیده

بعد از بحران مالی 2008، مشخص گردید که یکی از دلایل اصلی آسیب‌پذیری و بی‌ثباتی بازارهای مالی، سیاست‌های پولی بوده است.  این مقاله در همین راستا، به بررسی پویاییهای تأثیر سیاست‌پولی بر شکنندگی بازار پول در دوره 1395:4-1370:1 در ایران پرداخته است. در این مطالعه،  ابتدا شاخصی برای شکنندگی بازار پول ایران استخراج گردیده و در ادامه اثر سیاست پولی بر این شاخص مورد بررسی قرار گرفته است. برای نشان دادن عملکرد سیاست‌پولی از سه متغیر نرخ سود حقیقی موزون، نرخ رشد پایه پولی و نرخ ذخیره قانونی  به عنوان ابزار سیاست‌پولی استفاده شده است. نتایج تابع عکس‌العمل آنی نشان می‌دهد که افزایش نرخ سود حقیقی باعث کاهش شکنندگی بازار پول می‌شود و دو ابزار دیگر تأثیری بر شکنندگی بازار پول ندارد.  نتایج تجزیه واریانس نیز بیانگر این است که سهم ابزارهای پولی در توضیح‌دهندگی تغییرات شکنندگی بازار پول در کوتاه مدت و میان‌مدت ناچیز و برای هر کدام کمتر از ده درصد است هرچند نرخ سود حقیقی از بقیه بیشتر است. در نتیجه می‌توان گفت سلطه مالی و شبه مالی دولت و انجماد حجم قابل توجهی از دارایی‌های بانک‌های تجاری، سیاست پولی اثر قابل توجهی بر شکنندگی بازار پول ندارد.

کلیدواژه‌ها

عنوان مقاله [English]

The Impact of Monetary Policy on the Fragility of the Money Market in the Iranian Economy

نویسندگان [English]

  • Qholamreza Rezaei 1
  • Hamid Shahrestani 2
  • Kambiz Hojabr Kiani 3
  • Mohsen Mehrara 4
1 PhD. Candidate in Economics, Faculty of Management and Economics, The Islamic Azad University, Science and Research Branch, Tehran, Iran.
2 Professor of Economics, Ohio University, Athens, USA.
3 Professor of Economics, Faculty of Management and Economics, The Islamic Azad University, Science and Research Branch, Tehran, Iran
4 Professor of Economics, Faculty of Economics, University of Tehran, Tehran, Iran
چکیده [English]

After the 2008 financial crisis, it became clear that monetary policy has been one of the main reasons for the vulnerability and instability of financial markets. This article examines the dynamics of the effect of monetary policy on the fragility of the money market during 1991:Q1-2017-Q4 in Iran. First, an index for the fragility of the Iranian money market is extracted and then the effect of monetary policy on this index is investigated. To show the performance of the monetary policy, three variables of the weighted real interest rates, monetary base growth rate, and excess reserves rate have been used as monetary policy instruments. The results show that an increase in the real interest rate reduces the volatility of the money market, but the other two instruments do not affect the volatility of the money market. The results of the Forecast Error Variance Decomposition also show that the share of monetary instruments in explaining the changes in money market fragility in the short and medium-term is small and less than ten percent, although the effect of the real interest rate is higher. As a result, it can be concluded that financial and quasi-financial dominance of the government, and the freezing of a significant amount of commercial bank assets, monetary policy has no significant effect on the fragility of the money market.

کلیدواژه‌ها [English]

  • Monetary Policy
  • Financial Fragility
  • Money Market
  • Structural Vector Autoregression Model

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