Interbank Market Failure and the Effects of the Basel III Regulations in a DSGE Model for Iran

Pirahmadi, Marzieh; Afshari, Zahra; Sarem, Mehdi

doi:10.22099/ijes.2019.33834.1577

Document Type : Research Paper

Authors

¹ Faculty of Social Sciences and Economics, AL Zahra University, Tehran, Iran.

² Economic Research and Policies, Central Bank of the Islamic Republic of Iran, Tehran, Iran.

https://doi.org/10.22099/ijes.2019.33834.1577

Abstract

In order to facilitate transactions among banks, the interbank market has been established in Iran since 2008. The primary objective of this market is to eliminate banking system liquidity deficiencies at a rate chosen by the Central bank of Iran. The importance of this rate is that it affects market interest rates through its effects on banks’ balance sheets. Banks’ balance sheets are also influenced by banking regulation, such as Basel regulations; thus, this study was aimed to investigate the effects of the interbank market in Iran by imposing Basel III regulations on the banking system. For this purpose, a dynamic stochastic general equilibrium model (DSGE) was designed that included the interbank market. The structural parameters of the designed model were estimated using the Bayesian method and the quarterly data on the period 2008-2015. Afterward, the effect of a positive interbank innovation on the economy’s dynamics was examined. The results showed that an increase in the interbank rate led to instability in the economy. It was concluded that an increase in the liquidity and capital adequacy requirement, as mentioned in the Basel III regulations, would reduce the negative effects of interbank shocks on macroeconomic variables and the economy would naturally become more stable.

Keywords

Article Title [Persian]

شکست بازار بین بانکی و اثر مقررات بال 3 در یک مدل DSGE در ایران

Authors [Persian]

مرضیه پیراحمدی ¹
زهرا افشاری ¹
مهدی صارم ²

² محقق اداره بررسی ها و سیاست های اقتصادی بانک مرکزی جمهوری اسلامی ایران

Abstract [Persian]

به منظور تسهیل مبادلات بین بانک ها، بازار بین بانکی در سال 1387 در ایران تاسیس شد. هدف اصلی این بازار حذف کمبود نقدینگی سیستم بانکی در یک نرخ انتخابی بانک مرکزی ایران است. اهمیت این نرخ آن است که نرخ های بهره بازار را از طریق اثرگذاری بر ترازنامه بانک ها تحت تاثیر قرار می دهد. چون ترازنامه بانک ها همچنین تحت تاثیر قوانین بانکی از قبیل قوانین بال قرار می گیرد، در این مقاله اثرات بازار بین بانکی در ایران را با در نظر گرفتن مقررات بال 3 در سیستم بانکی بررسی می کنیم. برای این منظور، یک مدل تعادل عمومی پویای تصادفی (DSGE) که شامل بازار بین بانکی است، طراحی گردید. پارامترهای ساختاری مدل طراحی شده با به کار گیری روش بیزین و داده های فصلی طی دوره 1387 تا 1394 تخمین زده شد. سپس، اثر یک شوک مثبت بازار بین بانکی بر پویایی های اقتصاد بررسی گردید. نتایج نشان داد که افزایش در نرخ بهره بازار بین بانکی منجر به بی ثباتی در اقتصاد می شود. همچنین نتایج نشان می دهد که افزایش در ذخایر نقدینگی و کفایت سرمایه، همانطور که در مقررات بال 3 ذکر شده، اثرات منفی شوک بازار بین بانکی بر متغیرهای اقتصاد کلان را کاهش داده و بنابراین اقتصاد باثبات تر می شود.

Keywords [Persian]

بازار بین بانکی
مقررات بال3
تعادل عمومی پویای تصادفی
ذخایر نقدینگی
ذخایر کفایت سرمایه

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Iranian Journal of Economic Studies

Interbank Market Failure and the Effects of the Basel III Regulations in a DSGE Model for Iran

References

References

Volume 8, Issue 1 - Serial Number 15
March 2019
Pages 163-183

Interbank Market Failure and the Effects of the Basel III Regulations in a DSGE Model for Iran

References

References

Volume 8, Issue 1 - Serial Number 15March 2019Pages 163-183

Volume 8, Issue 1 - Serial Number 15
March 2019
Pages 163-183