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

Heidari, Hassan; Molabahrami, Ahmad

doi:10.22099/ijes.2015.4123

Document Type : Research Paper

Authors

Hassan Heidari ¹
ahmad molabahrami ²

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

² PhD student of economics, Urmia University

https://doi.org/10.22099/ijes.2015.4123

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

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Iranian Journal of Economic Studies

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

References

References

Volume 4, Issue 2
October 2015
Pages 81-111

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

References

References

Volume 4, Issue 2October 2015Pages 81-111

Volume 4, Issue 2
October 2015
Pages 81-111