The Impacts of Monetary Policy on Macroeconomic Variables Assuming the Collateral Constraint

Keshavarz, Hadi; Parsa, Hojat

doi:10.22099/ijes.2019.31442.1508

Document Type : Research Paper

Authors

Hadi Keshavarz ¹
Hojat Parsa ²

¹ Department of economics, Persian gulf university, bushehr , Iran

² Department of Economics, Persian Gulf University, Bushehr, Iran

https://doi.org/10.22099/ijes.2019.31442.1508

Abstract

This study aimed to examine the effects of monetary policy on macroeconomic variables with regard to the collateral constraint. For this purpose, a dynamic stochastic general equilibrium (DSGE) was developed for Iran’s economic status. Two scenarios were considered as to account for the behavior of the central bank. In the first scenario, the monetary rule is modeled according to the GDP gap and inflation. In the second scenario that is modeled by macro-prudential rule, in addition to the GDP gap and inflation, it is also the central bank responses to the housing price gap that contributes to a steady state. An examination of the impulse response functions in the two scenarios indicated that the monetary shock increased production and inflation. A monetary shock has a positive impact on the consumption of patient households (lenders) and a negative effect on impatient households’ (borrowers) consumption. The collateral constraint was assumed to cause the effects of shocks to be continued on both groups. A comparison between the two scenarios indicated that if the central bank responds to the housing price deviation, in addition to the GDP gap and inflation, the effectiveness of the monetary policy will be strengthened.

Keywords

Article Title [Persian]

تأثیر سیاست پولی بر متغیرهای کلان اقتصادی با فرض محدودیت وثیقه

Authors [Persian]

هادی کشاورز ¹
حجت پارسا ²

¹ گروه اقتصاد، دانشگاه خلیج فارس بوشهر ، ایران

² گروه اقتصاد، دانشگاه خلیج فارس، بوشهر، ایران

Abstract [Persian]

هدف این مقاله بررسی اثر سیاست‌ پولی بر تولید و تورم در شرایط محدودیت وثیقه است. به این منظور یک الگوی تعادل عمومی پویای تصادفی (DSGE) برای شرایط اقتصاد ایران طراحی گردیده است. برای رفتار بانک مرکزی دو سناریو در نظر گرفته‌شده است. در سناریو اول شوک درآمد نفت و شوک مخارج دولت بر نرخ رشد پایه پولی اثر می‌گذارد. در سناریو دوم که بر اساس قاعده کلان احتیاطی طراحی‌شده، قاعده پولی بر اساس شکاف تولید، تورم و قیمت مسکن از مقادیر وضعیت پایدار مدل‌سازی گردیده است. بررسی توابع عکس‌العمل آنی نشان می‌دهد شوک پولی، تولید و تورم را افزایش می‌دهد. اثر شوک پولی بر مصرف خانوارهای صبور (دهنده) مثبت و برای خانوارهای کم‌طاقت (قرض گیرنده) منفی است. همچنین مقایسه روند تولید ناخالص داخلی و داده‌های شبیه‌سازی‌شده نشان می‌دهد که سناریو اول بهتر از سناریو دوم (قاعده کلان احتیاطی) می‌تواند واقعیت‌های اقتصاد ایران را توضیح دهد.

Keywords [Persian]

سیاست پولی
محدودیت وثیقه
قاعده کلان احتیاطی
الگوی تعادل عمومی پویای تصادفی
ایران

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Iranian Journal of Economic Studies

The Impacts of Monetary Policy on Macroeconomic Variables Assuming the Collateral Constraint

References

References

Volume 8, Issue 1 - Serial Number 15
March 2019
Pages 69-90

The Impacts of Monetary Policy on Macroeconomic Variables Assuming the Collateral Constraint

References

References

Volume 8, Issue 1 - Serial Number 15March 2019Pages 69-90

Volume 8, Issue 1 - Serial Number 15
March 2019
Pages 69-90