Analyzing the Effects of Interest Rate Shocks in Iran's Economy Considering Shadow Banking Using Stochastic Dynamic General Equilibrium Model

Document Type : Research Paper

Authors

1 Department of Economics, Shahid Chamran University of Ahvaz, Ahvaz, Iran.

2 Faculty of Management and Economics, Tarbiat Modares University, Tehran. Iran

Abstract

In recent years, with the expansion of financial institutions such as investment funds, non-bank financial and credit institutions, and financing funds, a sector has been formed in Iran's economy that performs its duties in parallel with the standard banking sector, which is known as shadow banking. The formation of such a structure in the economy can be considered a part of the monetary transfer mechanism and affect macroeconomic variables. This study shows that shadow banking is growing rapidly in Iran and due to lack of activity within the framework of Central Bank regulations, it can reduce the effectiveness of monetary policies. In this study, in order to model the shadow banking sector, a Dynamic Stochastic General Equilibrium (DSGE) model has been used considering different sectors of the economy during the period of 2010-2019. The results of the simulation show that the effect of the shadow banking sector on macroeconomic variables is similar to the effect of the standard banking sector, which indicates its impact on the Iranian economy. Also, the simulation of shocks related to interest rates shows that interest rate developments in the shadow banking sector have the same function as the conventional monetary transfer mechanism in the standard banking sector. Therefore, developments in this sector can significantly affect the future direction of economic variables

Keywords

Main Subjects

Article Title [Persian]

تحلیل اثرات شوک نرخ بهره در اقتصاد ایران با در نظر گرفتن بانکداری سایه با استفاده از مدل تعادل عمومی پویا تصادفی

Authors [Persian]

  • اشکان مکی پور 1
  • احمد صلاح منش 1
  • ابراهیم انواری 1
  • لیلا رشنوادی 2
1 گروه اقتصاد، دانشگاه شهید چمران اهواز، اهواز، ایران.
2 دانشکده مدیریت و اقتصاد دانشگاه تربیت مدرس، تهران. ایران
Abstract [Persian]

در سال‌های اخیر با گسترش نهادهای مالی مانند صندوق‌های سرمایه‌گذاری، مؤسسات مالی و اعتباری غیربانکی و صندوق‌های تأمین مالی، بخشی در اقتصاد ایران شکل گرفته است که به موازات بخش بانکداری استاندارد، وظایف خود را انجام می‌دهد. به عنوان بانکداری سایه شکل‌گیری چنین ساختاری در اقتصاد را می‌توان بخشی از سازوکار انتقال پولی دانست و بر متغیرهای کلان اقتصادی اثرگذار بود. این مطالعه نشان می دهد که بانکداری سایه در ایران به سرعت در حال رشد است و به دلیل عدم فعالیت در چارچوب مقررات بانک مرکزی می تواند اثربخشی سیاست های پولی را کاهش دهد. در این تحقیق به منظور مدل سازی بخش بانکداری سایه، از مدل تعادل عمومی تصادفی پویا (DSGE) با در نظر گرفتن بخش های مختلف اقتصاد طی دوره زمانی 2010-2019 استفاده شده است. نتایج شبیه‌سازی نشان می‌دهد که تأثیر بخش بانکداری سایه بر متغیرهای کلان اقتصادی مشابه تأثیر بخش بانکداری استاندارد است که نشان‌دهنده تأثیر آن بر اقتصاد ایران است. همچنین، شبیه‌سازی شوک‌های مربوط به نرخ‌های بهره نشان می‌دهد که تحولات نرخ بهره در بخش بانکداری سایه عملکردی مشابه مکانیسم انتقال پولی مرسوم در بخش بانکداری استاندارد دارد. بنابراین، تحولات این بخش می تواند به طور قابل توجهی بر جهت گیری متغیرهای اقتصادی در آینده تأثیر بگذارد.

Keywords [Persian]

  • بانکداری سایه
  • مکانیسم انتقال پول
  • مدل تعادل عمومی پویا تصادفی
  • نرخ بهره

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History

  • Receive Date: 21 October 2023
  • Revise Date: 18 August 2024
  • Accept Date: 21 August 2024

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