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Oil shocks and bank profitability in Iran: An empirical study of fiscal and monetary policies transmission channels using a proxy VAR approach | ||
| International Journal of Nonlinear Analysis and Applications | ||
| مقالات آماده انتشار، اصلاح شده برای چاپ، انتشار آنلاین از تاریخ 11 تیر 1405 اصل مقاله (578.74 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2024.34830.5207 | ||
| نویسندگان | ||
| Hadi Adib؛ Akbar Mirzapour Babajan* ؛ Beitollah Akbari Moghadam؛ Roozbeh Balounejad Nouri | ||
| Department of Economics, Qazvin, Branch, Islamic Azad University, Qazvin, Iran | ||
| تاریخ دریافت: 03 تیر 1403، تاریخ بازنگری: 29 مرداد 1403، تاریخ پذیرش: 30 مرداد 1403 | ||
| چکیده | ||
| This study applies a Proxy SVAR approach to investigate the effects of surprised oil revenue shocks on banking profitability through monetary and fiscal policy transmission channels. To evaluate the efficiency of these transmission channels, we begin by using a VECM model (baseline estimation) to investigate the linkage between monetary and fiscal policies and the profitability of banks. To achieve this objective, we utilize monthly time series data spanning from January 2006 to August 2023, focusing on the banking stock index, money supply, government expenditures and several control variables, including inflation rate, total real consumption, and total real investments. We also use Iran's oil revenues data to identify surprise oil shocks, following the methodology proposed by Wu and Callvo \cite{34}. Our empirical findings not only contribute to the existing literature by revealing the importance of transmission channels through which surprised oil revenue shocks exert their influence on banking profitability, but the study also sheds light on the critical role of monetary policy rather than fiscal policy in this context. | ||
| کلیدواژهها | ||
| Surprised Oil Revenue Shocks؛ Banking Profitability؛ Proxy SVAR؛ Monetary and Fiscal Policies؛ VECM model | ||
| مراجع | ||
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