The Impact of Removing Fictitious Assets from Bank Balance Sheet on Money Supply and Other Macroeconomic Variables

Document Type : Research Paper

Authors

Faculty of Economics and Political Science, Shahid Beheshti University, Tehran, Iran

Abstract

As a result of the accumulation of fictitious assets in the bank balance sheet, the banking system has been faced with insolvency in recent years which has had grave impacts on both the money and real sectors. This study aims to investigate the causes of the increase in liquidity through the creation of fictitious assets and to examine the effects of these assets on macroeconomic variables, which has not been investigated in other studies. Using a pattern of structural macro-econometric and the ARDL method, this paper investigates the impact of removing fictitious assets from the bank balance sheet on the money supply and other macroeconomic variables in Iran from the first season of 2006 to the fourth season of 2022. The designed macro-econometric pattern includes 8 behavioral equations and 7 identity equations. Two scenarios have been developed in this paper: The first scenario surveys the impact of effective money (the aggregate money minus fictitious assets) on macroeconomic variables. The second scenario examines the impact of aggregate money on macroeconomic variables. The findings indicate that the existence of fictitious assets in the bank balance sheet causes an increase in the money supply and reduces the quality of money. However, fictitious assets have no impact on the real sector and the effective money’s influence on macroeconomic variables such as production, investment, employment, and consumption is more than the aggregate money’s impact on these variables. Also, the results show that ineffective money merely increases the price levels.

Keywords

Main Subjects

Article Title [Persian]

تاثیر حذف دارایی های موهومی از ترازنامه بانک بر عرضه پول و سایر متغیرهای کلان اقتصادی

Authors [Persian]

  • حسین صمصامی
  • حسام حسن پور
  • محمدعلی نوجوان
دانشکده اقتصاد و علوم سیاسی، دانشگاه شهید بهشتی، تهران، ایران
Abstract [Persian]

این مطالعه به بررسی دلایل افزایش نقدینگی از طریق ایجاد دارایی‌های موهومی و تأثیر این دارایی‌ها بر متغیرهای کلان اقتصادی ایران می‌پردازد. با استفاده از روش‌های ساختاری اقتصادسنجی و ARDL، تأثیر حذف دارایی‌های موهومی از ترازنامه بانک‌های ایران بر عرضه پول و سایر متغیرهای کلان اقتصادی در بازه زمانی فصل اول 2006 تا فصل چهارم 2022 مورد بررسی قرار گرفته است. الگوی اقتصادسنجی طراحی شده شامل 8 معادله رفتاری و 7 معادله ساختاری است. دو سناریو در این مطالعه توسعه یافته است: سناریوی اول تأثیر پول مؤثر (میزان پول منهای دارایی‌های موهومی) بر متغیرهای کلان اقتصادی را بررسی می‌کند. سناریوی دوم تأثیر پول کل بر متغیرهای کلان اقتصادی را بررسی می‌کند. نتایج تحقیق نشان می‌دهند که وجود دارایی‌های موهومی در ترازنامه بانک‌ها باعث افزایش عرضه پول و کاهش کیفیت پول می‌شود. با این حال، دارایی‌های موهومی تأثیری بر بخش واقعی اقتصاد ندارند و تأثیر پول مؤثر بر متغیرهای کلان اقتصادی مانند تولید، سرمایه‌گذاری، اشتغال و مصرف بیشتر از تأثیر پول کل بر این متغیرها است. همچنین، نتایج نشان می‌دهند که پول نامؤثر صرفاً سطح قیمت‌ها را افزایش می‌دهد. لذا، از آنجاکه بانک ها مهم‌ترین شریان هدایت نقدینگی در اقتصاد ایران هستند، لذا انضباط مالی بخش دولتی و انضباط پولی بخش بانکی می طلبد تا این دو نهاد با یکدیگر کمال همکاری را داشته باشند.

Keywords [Persian]

  • اصطکاک مالی
  • ورشکستگی
  • وام های غیرجاری
  • ریسک اعتباری

References

Banerjee, R., & Hofmann, B. (2018). The rise of zombie firms: causes and
consequences. BIS Quarterly Review September.
Berger, A. N., & Bouwman, C. H. (2017). Bank Liquidity Creation, Monetary
Policy and Financial Crises. Journal of Financial Stability, 30(2),139-155.
Blattner, L., Farinha, L., & Rebelo, F. (2023). When Losses Turn into Loans: The
Cost of Weak Banks. American Economic Review, 113(6), 1600-1641.
https://doi.org/10.1257/aer.20190149
Blattner, L., Farinha, L., & Rebelo, F. (2019). When losses turn into loans: The
cost of undercapitalized banks, ECB Working Paper Series, No 2228.
Caballero, R. J., Hoshi, T., & Kashyap, A. K. (2008). Zombie lending and
depressed restructuring in Japan. American Economic Review, 98(5), 1943-
77.
Samsami et al., Iranian Journal of Economic Studies, 12(1) 2023, 249-270 269
Casu, B., di Pietro, F., & Trujillo-Ponce, A. (2019). Liquidity Creation and Bank
Capital. Journal of Financial Services Research, 56(3), 307-340 .
https://doi.org/10.1007/s10693-018-0304-y
Cerqueiro, G., Degryse, H., & Ongena, S. (2023). Swiss Finance Institute
Research Paper Series N20-16 On-Site Inspecting Zombie Lending.
Retrievedfromhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=353057
4.
Cuncineeli, D. (2015). The Impact of Non-performing Loans on Bank Lending
Behavior: Evidence from the Italian Banking Sector. Eurasian Journal of
Business and Economics, 8(16), 59-71.
https://doi.org/10.17015/ejbe.2015.016.04.
Gerali, A., Neri, S., Sessa, L., & Signoretti, F. M. (2010). Credit and Banking in
a DSGE Model of the Euro Area. Journal of Money, Credit, and Banking,
42, 107-141.
Gross, M., Kok, C., & Żochowski, D. (2021). The Impact of Bank Capital on
Economic Activity - Evidence from a Mixed-Cross-Section GVAR Model.
ECB Working Paper, Retrieved from https://doi.org/10.2139/ssrn.2769909
Gylfason, T., & Radetzki, M. (1991). Does Devaluation Make Sense in the Least
Developed Countries? Economic Development and Cultural Change, 40(1),
-25.
Kapuuciiski, M. (2016). The Role of Bank Balance Sheets in Monetary Policy
Transmission. Evidence from Poland. NBP Working Paper, 245, Retrieved
from https://doi.org/10.2139/ssrn.2841629
Keeton, W. R., & Morris, C. S. (1987). Why do Banks’ Loan Losses Differ?
Economic Review, 72(5), 3-21.
Keshavarz, Hadi.,& Parsa, Hojat. (2019). The Impacts of Monetary Policy on
Macroeconomic VariablesAssuming the Collateral Constraint. Iranian
Journal of Economic Studies, 8(1), 69-90.
Koondhar, M.A., Aziz, N., Tan, Zh., Yang, Sh., Abbasi, K.R., & Kong, R. (2021).
Green growth of cereal food production under the constraints of agricultural
carbon emissions: A new insights from ARDL and VECM models.
Sustainable Energy Technologies and Assessments, 47, 1-19.
Moore, B. J. (1983). Unpacking the Post Keynesian Black Box: Bank Lending
and the Money Supply. Journal of Post Keynesian Economics, 5(4), 537-556.
https://doi.org/10.1080/01603477.1983.11489391
Mahdavi, A., Elahi, N., Komijani, A., & Tavakoli, A. D. (2018). The Effects of
Real and Monetary Variables on the Interest Rate of Bank Deposits in Iran.
Journal of Financial Economics, 13(46), 1-24.
Martin, V., Hurn, S., & Harris, D. (2013). Econometric Modelling with Time
Series Specification, Estimation, and Testing. London: Cambridge
University Press.
Mishkin, F. (2011). The Economics of Money, Banking and Financial Market
(11th). Pearson: Columbia University Press.

Files

History

  • Receive Date: 03 September 2024
  • Revise Date: 12 October 2024
  • Accept Date: 15 October 2024

Share

How to cite

Statistics