آنالیز نقش سیاست پولی نامتعارف با استفاده از شاخص شرایط مالی: رهیافت خودرگرسیون برداری بیزی | ||
| اقتصاد و الگو سازی | ||
| مقاله 8، دوره 10، شماره 1 - شماره پیاپی 37، خرداد 1398، صفحه 211-240 اصل مقاله (344.67 K) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.29252/ecoj.10.1.211 | ||
| نویسندگان | ||
| حدیثه محسنی* 1؛ مصیب پهلوانی2؛ محمد نبی شهیکی تاش3؛ سید حسین میرجلیلی4 | ||
| 1دانشجوی دکتری اقتصاد دانشکده مدیریت و اقتصاد دانشگاه سیستان و بلوچستان | ||
| 2دانشیار گروه اقتصاد دانشکده مدیریت و اقتصاد دانشگاه سیستان و بلوچستان،(نویسنده مسئول) | ||
| 3دانشیار گروه اقتصاد دانشکده مدیریت و اقتصاد دانشگاه سیستان و بلوچستان | ||
| 4دانشیار اقتصاد، پژوهشگاه علوم انسانی و مطالعات فرهنگی | ||
| 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 | ||
| اقتصاد ایران؛ الگوی B-VAR؛ تسهیل اعتباری؛ تحلیل عاملی؛ متغیرهای کلان | ||
| عنوان مقاله [English] | ||
| Analysis of the role of Unconventional Monetary Policy Using the Financial Conditions Index: The B-VAR Approach | ||
| نویسندگان [English] | ||
| Hadiseh Mohseni1؛ Mosayeb Pahlavani2؛ Mohammad Nabi Shahiki Tash3؛ Hosein Mirjalili4 | ||
| 1PhD Candidate in Economics, Faculty of Management an Economics, University of Sistan and Baluchestan, Iran | ||
| 2Associate Professor of Economics, Faculty of Management an Economics,University of Sistan and Baluchestan ,Iran (Corresponding Author) | ||
| 3Associate Professor of Economics, Faculty of Management an Economics,University of Sistan and Baluchestan, Iran | ||
| 4Associate 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 | ||
| مراجع | ||
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