Household portfolio channel of credit shocks transmission: The Case of Iran

Document Type: Research Paper

Authors

1 Dean, Faculty of Economics, Urmia University Urmia, I.R. Iran

2 PhD student of economics, Urmia University

Abstract

In this study, we use a Dynamic Stochastic General Equilibrium (DSGE) model to investigate the household portfolio channel of monetary and credit shocks transmission in Iran. In this regard, we developed a canonical New Keynesian DSGE model with financial and banking sectors. The model is estimated by Bayesian method for the period 1990-2012. The result showed that the current and expected prices of financial and physical assets affected their optimal proportions in household portfolio. Second, banking sector had a significant impact on the household portfolio composition and also on the real sector variables. More specifically, a positive deposit rate shock reduced the proportions of financial and physical assets in household portfolio and increased marginal cost and inflation. This shock decreased investment and output. Third, a positive shock on stock price had negative effects on demand for other assets in household portfolio but these effects were discharged rapidly. Moreover, the housing price shock had similar effects on demand for mentioned assets but the effects were discharged slowly. The results emphasized the role of credit, banking and assets markets sectors in financial fluctuation, business cycles and monetary transmission in Iran.

Keywords


Article Title [Persian]

بررسی مکانیسم انتقال شوک های اعتباری از کانال پورتفوی خانوار در ایران با استفاده از یک مدل تعادل عمومی پویای تصادفی

Authors [Persian]

  • حسن حیدری 1
  • احمد ملابهرامی 2
1 دانشیار اقتصاد دانشگاه ارومیه
2 دانشجوی دکتری اقتصاد دانشگاه ارومیه
Abstract [Persian]

در این مطالعه یک مدل تعادل عمومی پویای تصادفی (DSGE) را به منظور بررسی مکانیسم انتقال شوک های اعتباری از کانال پورتفوی سرمایه گذاری خانوار ارائه می کنیم. برای این منظور ما مدل استاندارد DSGE کینرین های جدید را با لحاظ بخش های مالی و بانکی برای داده های سری زمانی فصلی طی دوره 1370 تا 1391 با استفاده از رویکرد تخمین بیزین توسعه می دهیم. تحلیل تجربی مدل نتایج زیر را بدست می دهد. اول، قیمت های جاری و انتظاری دارایی های مالی و فیزیکی سهم بهینه این دارایی ها را در پورتفوی خانوار تعیین می کند. دوم، بخش بانکی تاثیر معنادار بر ترکیب پورتفوی سرمایه گذاری خانوار و متغیرهای واقعی اقتصاد دارد. به نحوی که یک شوک مثبت نرخ سود سپرده های بانکی سهم دارایی های مالی و فیزیکی را در پروتفوی سرمایه گذاری خانوار کاهش می دهد و همچنین هزینه نهایی و تورم را افزایش می دهد ولی سرمایه گذاری و تولید را کاهش می دهد. از طرفی دیگر، یک شوک مثبت در نرخ بهره وام و تسهیلات تورم و هزینه نهایی را افزایش می دهد و بر مصرف و سرمایه گذاری و تولید تاثیر منفی دارد. سوم، یک شوک مثبت در قیمت سهام تاثیر منفی بر تقاضای سایر دارایی ها در پورتفوی خانوار دارد ولی این اثرات به سرعت تعدیل می شوند. شوک مثبت قیمت مسکن تاثیر مشابهی بر تقاضای سایر دارایی ها دارد اما تعدیل اثر آن زمان بر است. این نتایج بر نقش اساسی بخش های اعتباری و بانکی در نوسانات مالی و چرخه های تجاری و مکانیسم انتقال پولی در اقتصاد ایران تاکید دارد.

Keywords [Persian]

  • پورتفوی سرمایه گذاری خانوار
  • انتقال پولی
  • بخش بانکی
  • مدل DSGE
  • ایران
Addoum, J. M. (2012). Essays on Household Portfolio Choice, Duke University Libraries.

Addoum, J. M. (2013). Household Portfolio Choice and Retirement, Review of Economics and Statistics, forthcoming. 

Andres, J. , Lopez-Salido, D. & Nelson, E. (2004). Tobin’s imperfect asset substitution in optimizing general equilibrium, Journal of Money, Credit and Banking, 36(4), 665-690.    

Apergis, N. (2015). Financial portfolio choice: do business cycle regimes matter? Panel evidence from international household surveys, Journal of International Financial Markets, Institutions and Money, 34, 14-27. 

Barasinska, N. , Schafer, D. & Andreas, S. (2012). Individual risk attitudes and the composition of financial portfolio: evidence from German household portfolio, The Quarterly Review of Economics and Finance, 52, 1-14.

Beck-Worth, D. , Hendrickson, J.R. (2014). The Portfolio Balance Channel of Monetary Policy: Evidence from the Flow of Funds. Western Kentucky University.

Bernanke, B. , Gertler, M. & Gilchrist, S. (1999). The financial accelerator in a quantitative business cycle framework. In Taylor, J. B., Woodford, M. (Eds.), Handbook of Macroeconomics. North-Holland, Amsterdam: 1341-1393.

Bernanke, B. (2010). The economic outlook and monetary policy, Federal Reserve Bank of Kansas City.

Blake, D. (2004). Modeling the composition of personal sector wealth in the UK, Applied Financial Economics, 14(9), 611–630.

Brainard, W.C. & Tobin. J. (1968). Pitfalls in financial model building, American Economic Review, 58(5), 99-122.

Collins, S. & Anderson, R.G. (1998). Modeling US Households' Demand for Liquid Wealth in an Era of Financial Change, Journal of money, credit and banking, 30(1), 83-101.

Cristiano, L. , Motto, R. & Rostagno, M. (2010). Financial factors in economic fluctuations, working paper series, European central bank.

Christensen, I. & Dib, A., (2008). The financial accelerator in an estimated new Keynesian model. Review of Economic Dynamics, 11 (1), 155-178.

DeJong, D. N. & C. Dave (2007), Structural Macroeconometrics. Princeton University Press.

Dib, A. (2010). Banks, Credit Market Friction, and Business Cycles, Bank of Canada.

Falagiarda, M. & Saia, A. (2013). Credit, endogenous collateral and risky assets: a DSGE model, university of Bologna working paper, No. 916, SSRN series paper.

Farzinvash, A. , Ehsani, M.A. & Keshavarz, H. (2015). Financial Frictions and Labor Market Fluctuations (Case Study Iran's Economy as a Small Open Economy), Journal of Economic Research, 50(2), 415-447.

Friedman, M. (1974). A theoretical framework for monetary analysis, University of Chicago Press.

Friedman, M. & Schwartz, A. (1963). Money and business cycles, Review of Economics and Statistics, 45(1), 32-64.

Friedman, M. & Schwartz, A. (1982). Monetary trends in the United State and United Kingdom, University of Chicago Press.

Fuerst, T. (1992). Liquidity, loanable funds and real activity, Journal of Monetary Economics, 29, 3-24.

Gerali, A. , Neri, S. , Sessa, L. & Signoretti, F.M. (2010). Credit and banking in a DSGE model for Euro area, working paper, 740.

Hammersland, R. & Traee, C.B. (2014). The financial accelerator and the real economy: A small macro-econometric model for Norway with financial frictions, Economic Modelling, 36, 517–537.

Heidari, H. & Molabahrami, A. (2013). Meditation on second phase enforcement of the targeted subsidies law with focusing on energy share in GDP using a Dynamic Stochastic General Equilibrium model, Iranian Journal of Economic Research, 18(56), 73-93 (Text in Persian).

Hollander, H. & Liu, G. (2016). The equity price channel in a New-Keynesian DSGE model with financial frictions and banking, Economic Modelling, 52, 375-389. 

Lucas, R. (1990). Liquidity and interest rates, Journal of Economic Theory, 50, 237-264.

Matsumoto, K. (2003). Optimal portfolio utility function, Journal of Mathematical Science, University of Tokyo, 10, 687-728.

Matsumoto, K. (2006). Optimal portfolio of low liquid assets with a log-utility function, Finance and Stochastic, 10(1), 121-145.

Miller, R.F. & Watts, H.W. (1967). A model of household investment in financial assets, National Bureau of Economic Research (NBER), 357-410. 

Mishkin, F.S. (1996).The channel of monetary transmission: lessons for monetary policy, NEBR working paper series, National Bureau of economic research.

 Mishkin, F.S. (1978). The household balance sheet and the great depression, Journal of Economic History, 38(4), 918-937.

Ramb, F. & Scharnagl, M. (2011). Household’s portfolio structure in Germany: Analysis of financial accounts data, working paper series, European Central Bank. 

Jin, F. (2011). Revisiting the composition puzzles of the household portfolio: new evidence, Review of Financial Economics, 20, 63-73.

 Motavaseli, M. , Ebrahimi, I. , Shahmoradi, A. & Komaijani, A. (2011), A New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model for an oil exporting country, The Economic Research, 10(4), 87-116. ( Text in Persian)

MehreganN, &DaliriH. (2013). Banks respond to monetary policy shocks based on DSGE model, Quarterly Journal of Economic Research and Policies, 21(66), 39-68. (Text in Persian).

Moore, T. , Green, C.J. & Murinde, V. (2005). Portfolio Behavior in a Flow of Funds Model for the Household Sector in India, Journal of Development Studies, 41(4), 675-702.

Moshiri, S., Sh. Bagheri, & H. Mousavi-Nik (2012). An Estimation of Fiscal Policy Dominance in Iran Using a DSGE Model, Journal of Economic Growth and Development, 2(5), 69-70, (Text in Persian).

Shahhosseini, S. & Bahrami. J. (2013). Designing a New Keynesian Dynamic Stochastic General Equilibrium Model for Iran’s Economy with banking sector, Journal of Iranian Economic Research, 17(53), 55-84.  (Text in Persian).

Tavakolian, H. (2012). A new Keynesian Phillips curve in a DSGE for Iran, TAHGHIGHAT-E-EGHTESADI, 47(3), 1-22. (Text in Persian).

Thornton, D.L. (2012). Evidence on the portfolio balance channel of quantitative easting, Federal Reserve Bank of Louis, working paper series.

Tobin, J. (1969). A general equilibrium approach to monetary theory, Journal of Money, Credit and Banking, 1(2), 15-29.

Worthington, A.C. (2009). Household asset portfolio diversification: evidence from the household, income and labor dynamics in Australia (HILDA) Survey, Social Science Research Network (SSRN). 

Zanetti, F. (2012). Banking and the role of money in the business cycle, Journal of Macroeconomics, 34, 87-94. 


Volume 4, Issue 2
Summer and Autumn 2015
Pages 81-111
  • Receive Date: 25 April 2016
  • Revise Date: 20 December 2016
  • Accept Date: 11 January 2017