The Anatomy of DSGE Models with Banking Industry for Iran's Economy

Document Type: Research Paper


1 Economics, Department of Humanities, Golestan University, Gorgan, Iran

2 Economics, Department of Social Sciences and Economics, Bu Ali Sina University, Hamedan, Iran


The recent financial crisis has raised several questions with respect to the financial institutions and banking industry. Hence, over the last decade the Iranian banking industry has undergone many substantial changes, such as liberalization, government regulation and technological advances. What impacts do these changes have on the policy instruments? We have answered this question in this study. To do this, we used the DSGE models. We also used two kinds of basic DSGE structures: External Finance Premium (EFP) Model and Collateral Constraint (CC) Model. Both models are simulated for Iran. Finally, we have examined the effects of monetary shocks for each model variables. We employed a Bayesian method to estimate the parameters of DSGE models. We have concluded that the prediction power of the EFP models is better than that of CC model. In addition, the results showed that the increase in liquidity raises output, inflation, investment and consumption. Moreover, it was found that the responses of variables to monetary policy in the CC model was greater than of the EFP model.


Article Title [Persian]

ساختار مدل تعادل عمومی پویای تصادفی با در نظر گرفتن صنعت بانکی برای اقتصاد ایران

Authors [Persian]

  • حسن دلیری 1
  • نادر مهرگان 2
1 استادیار اقتصاد، دانشکده علوم انسانی، دانشگاه گلستان، گرگان، ایران
2 استاد اقتصاد، دانشکده علوم اجتماعی و اقتصاد، دانشگاه بوعلی سینا، همدان، ایران
Abstract [Persian]

پس از بحرانهای مالی اخیر عملکرد صنعت بانکی و موسسات مالی بیش از پیش مورد توجه قرار گرفته است. اهمیت بالای صنعت بانکی سبب شده تا در سالهای اخیر سیاستگذاران اقتصادی در ایران نیز توجهی ویژه به آن داشته باشند. در همین راستا در دهه گذشته صنعت بانکی ایران دستخوش تغییرات اساسی از جمله خصوصی سازی، تغییر مقررات دولتی و پیشرفت فناوری شده است. این سوال وجود دارد که این تغییرات چه اثراتی بر ابزار سیاستگذاری دولت و بانک مرکزی داشته است؟ در این مطالعه تلاش خواهد شد تا به این سوال پاسخ داده شود. برای این هدف، از مدلسازی تعادل عمومی پویای تصادفی برای اقتصاد ایران استفاده می شود. برای مدلسازی، از دو دسته مدلهای حق بیمه خارجی (EFP)  و مدل محدودیت رهنی (CC) استفاده و هر دو برای اقتصاد ایران شبیه سازی و اثرات شوکهای پولی برای هر دو مدل مقایسه شده است. مقایسه همخوانی دو مدل فوق با تغییرپذیری های واقعی در اقتصاد ایران نشان از آن دارد که قدرت همخوانی و پیش بینی مدل EFP بهتر از مدل CC می باشد. علاوه براین نتایج نشان از آن دارد شوکهای نقدینگی سبب افزایش در تولید، تورم، سرمایه گذاری و مصرف شده و اندازه این تغییران در مدل CC بزرگتر از مدل EFP می باشد.

Keywords [Persian]

  • مدل‌های تعادل عمومی پویای تصادفی
  • سیاست پولی
  • صنعت بانکی
  • مدل بیزی
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Volume 4, Issue 2
Summer and Autumn 2015
Pages 17-49
  • Receive Date: 23 March 2014
  • Revise Date: 18 September 2016
  • Accept Date: 21 September 2016