پیوندهای مفید
آمار
| تعداد نشریات | 21 |
| تعداد شماره‌ها | 642 |
| تعداد مقالات | 9,385 |
| تعداد مشاهده مقاله | 68,094,008 |
| تعداد دریافت فایل اصل مقاله | 34,421,172 |
مکانیزم انتقال سیاست پولی در کوتاه مدت و بلندمدت با تکیه بر یک الگوی خودرگرسیون برداری ساختاری در ایران | ||
| مدلسازی اقتصادسنجی | ||
| دوره 8، شماره 4 - شماره پیاپی 32، دی 1402، صفحه 103-134 اصل مقاله (1.16 M) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22075/jem.2023.29184.1787 | ||
| نویسندگان | ||
| مهشید طباطبایی زواره1؛ بیت اله اکبری مقدم* 2؛ فرهاد غفاری3 | ||
| 1دانشجوی دکتری رشته اقتصاد، گروه اقتصاد، واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران | ||
| 2دانشیار دانشکده مدیریت و حسابداری، گروه اقتصاد، واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران | ||
| 3دانشیار دانشکده مدیریت و اقتصاد،گروه اقتصاد، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران | ||
| تاریخ دریافت: 16 آذر 1401، تاریخ بازنگری: 11 مهر 1402، تاریخ پذیرش: 15 مهر 1402 | ||
| چکیده | ||
| هدف این مقاله بررسی اثرات سیاست پولی از طریق کانال های انتقال پولی(کانال بهره، کانال نرخ ارز، کانال اعتباری وکانال انتظارات) درکوتاه مدت و بلندمدت در طی دوره زمانی 1386Q1 -1396Q4 می باشد.بدین منظور با استفاده از الگوی خودرگرسیون برداری ساختاری (SVAR)اثرات سیاست پولی را از طریق کانال ها مورد بررسی قرار گرفت. نتایج تجربی حاصل از تخمین روابط بین متغیرها با استفاده از رویکرد SVAR مبتنی بر داده های آماری نشان می دهد که در کوتاه مدت و بلند مدت کانال نرخ ارز موثرترین کانال در انتقال سیاست پولی می باشد به طوری که متغیر انتظارات بیشترین اثرگذاری را هم در کوتاه مدت و هم در بلندمدت بر این کانال دارد، بعد از کانال نرخ ارز،کانال انتظارات و پس از آن کانال اعتبارات و نرخ بهره می باشند که به ترتیب بیشترین تاثیر را درکوتاه مدت و بلندمدت دارد. در نهایت نیز با بررسی اهمیت نسبی کانال های انتقال پولی نسبت به یکدیگر می توان اشاره کرد که با گذشت زمان اثرگذاری کانال ها تغییر خواهد کرد به طوری که با شوک قیمت ها کانال انتظارات در کوتاه مدت بیشترین تاثیر را دارد،میان مدت حجم پول اثرگذار است و در بلندمدت نیز کانال نرخ بهره موثراست. | ||
| کلیدواژه‌ها | ||
| الگوی خودرگرسیون برداری ساختاری(SVAR)؛ مکانیزم انتقال پولی؛ کانال های انتقال پولی | ||
| عنوان مقاله [English] | ||
| Short-term and long-term monetary transmission policy based on structural vector auto regression model in Iran | ||
| نویسندگان [English] | ||
| Mahshid Tabatabaie zavareh1؛ Beitollah Akbadri Moghaddam2؛ Farhad Ghaffari3 | ||
| 1Ph.D. Student of Economics, Department of Economics, Qazvin Branch, Islamic Azad University, Qazvin, Iran | ||
| 2Associate Professor of the Faculty of Management and Accounting, Department of Economics, Qazvin Branch, Islamic Azad University ,Qazvin ,Iran | ||
| 3Associate Professor of the Faculty of Management and Economics, Islamic Azad University Science and Research Branch University ,Tehran, Iran، | ||
| چکیده [English] | ||
| The purpose of this article is to investigate the effects of monetary policy through monetary transmission channels (interest channel, exchange rate channel, credit channel and expectations channel) in the short and long term during the period 1386Q1-1396Q4. For this purpose, using the structural vector autoregression model of the effects Monetary policy was examined through channels. The experimental results obtained by estimating the relationships between variables using the SVAR approach based on statistical data show that in the short and long term, the exchange rate channel is the most effective channel in the transmission of monetary policy, so that the variable of expectations has both the most effect in the short term and long-term on this channel, after the exchange rate channel, there are expectations channel, and after that, credits and interest rate channel, which have the greatest impact in the short and long term, respectively. Finally, by examining the relative importance of monetary transfer channels to each other, it can be pointed out that with the passage of time, the influence of the channels will change, so that with price shocks, the expectations channel has the greatest impact in the short term, and the medium term of the effective money and the interest rate channel is effective in the long term. | ||
| کلیدواژه‌ها [English] | ||
| Structural vector auto regression model, money transfer mechanism, money transfer channels | ||
| مراجع | ||
|
Afrin. S. (2016). Monetary Policy Transmission In Bangladesh :Exploring The Lending Channel. Arndt-Corden Department Of Economics, 49, 60-80.
Arcangelis, D. G. (1996). Monetary Policies Under The Ems:An Empirical Var Approach.School Of Public Policy. University Of Michigan, Discussion, 384, 1-50.
Arwatchanakarn, P. (2017). Structural Vector Autoregressive Analysis of Monetary Policy In Thailand. Sociology Study, 7(3), 133-145.
Bahrami, J., & Qhoreyshi, N. (2017). Analysis of monetary policy in Iran's economy using a stochastic dynamic general equilibrium model. Economic Modeling Quarterly, 13(1),1-22. (in Persian)
Bates,S., & Hachicha, A. (2009). Empirical Analysis Of Monetary Transmission In Tunisia:What Do Svar Models Tell Us?. The Open Economics Journal, 2,1-10.
Bernanke, B. S., & Blinder, A. L. (2003). The Federal Funds Rate And The Channels Of Monetary Transmission. The American Economic Review, 82(4), 901- 921.
Bernanke, B.S., & Mihov, L. (1995). Measuring Monetary Policy. National Bureau Of Economic Research, 108(3), 869-902.
Blanchard, O.J., & Quah, D. (1989). The Dynamic Effects Of Aggregate Demand And Supply Disturbances. The American Economic Review, 79(4), 655-673.
Branson, W. H. (1972). Macroeconomic Theory And Policy. NewYork: Harper And Row.
Camarero, M., Ordonez, J., & Tamarit, C. R. (2002). Monetary Transmission In Spain: A Structural Cointegrated Var Approach. Applied Economics, Taylor And Francis Journals, 34(17), 2201-2212.
Dargahi, H. (2014). Identification of leading indicators and construction of composite indicators for analyzing business cycles in Iran's economy. Tehran: Research Institute of Money and Banking Publications. (in Persian)
Demchuk,O., Łyziak,T., Przystupa, J., & Sznajderska,A. (2012). monetary policy transmission mechanism in Poland,what do we know in 2011?. National bank of Poland,116.
Forhad, A.R., Homaifar, G.A., & Salimulla, A.H.M. (2017). Monetary Policy Transmission Effect On The Real Sector Of The Bangladesh Economy: An Svar Approacheconomia Internazionale. International Economics, 70(1), 25-46.
Gujarati, D., translated by Abrishmi, H.(1389). Tehran University Press, (II). (in Persian)
Hozhabr Kiani, K., & Ghaffari, F. (2009). Investigating the effects of short-term and long-term shocks on the pattern of aggregate supply and demand in Iran's economy. Economic Research Journal, 10(38), 87-116. (in Persian)
Jafari Samimi, A., & Erfani, A. R. (2013). The test of long-term neutrality and ultra-neutrality of money in Iran's economy. Economic Research, 39(4), 117-138. (in Persian)
Komeijani, A., & Alinejad Mehrabani, F. (2013). Evaluating the effectiveness of money transfer channels on production and inflation and analyzing their relative importance in Iran's economy. Planning and Budgeting Scientific and Research Quarterly, 17(2), 39-63. (in Persian)
Lecture on the monetary transmission mechanism and the effectiveness of monetary policies in Iran, first part (2019). Economic Magazine - Monthly review of economic issues and policies, 11(12), 159-166. (in Persian)
Lecture on the monetary transmission mechanism and the effectiveness of monetary policies in Iran, second part, (2011). Economic Magazine - Monthly review of economic issues and policies, 12(1), 195-204. (in Persian)
Mishkin, F.S. (1996). The Channels Of Monetary Transmission: Lessons For Monetary Policy. National Bureau Of Economic Research, (5464), 1-29.
Mohaddes, F. (2009). The method of analysis of basic components and analysis of factors of case studies: extracting the asset price index and investigating its effect on inflation. economic research collection of the Central Bank of the Islamic Republic of Iran, (41), 1-42. (in Persian)
Moshiri, S., & Vasheghani, M. (2009). Investigating the monetary transfer mechanism and its timing in Iran's economy. Economic Modeling Quarterly, 11(1), 1-32. (in Persian)
Noferesti, M. (2005). Investigating the impact of monetary and foreign exchange policies on Iran's economy in the framework of a dynamic macroeconomic model. Journal of Economic Research, 40(3), 1-29. (in Persian)
Norris, E.D., & Floerkemeier, H. (2006). Transmission Mechanisms Of Monetary Policy In Armenia: Evidence From Var Analysis. Imf Working Paper Middle East And Central Asia Department, 06(248), 1-60.
Paramanik, R. N., & Kamaiah, B. (2014). A Structural Vector Autoregression Model For Monetary Policy Analysis In India, Margin. The Journal of Applied Economic Research, 8(4), 401–429.
Parvin, S., Bahrami, J., & Vahidi, S. (2012). The effect of financial shocks on production and price level in Iran using structural vector autoregression model. Economic Modeling Quarterly, 20(4),21-39. (in Persian)
Rubio, M. (2016). Short And Long-Term Interest Rates And The Effectiveness of Monetary And Macroprudential Policies. Journal of Macroeconomics, University Of Nottingham , 588,1-30.
Shahrestani, H., & Sharifi Renani, H. (2007). estimation of money demand function and its stability in Iran. Journal of Economic Research, 43(2), 89-114. (in Persian)
Shakeri, A. (2012). Macroeconomic Theories and Policies Volume II, Rafeei Publications. (in Persian)
Sharifi Renani, H., Honarvar, N., Dai Karimzadeh, S., & Pourshirazi, F. (2008). Investigating the effects of monetary policy on GDP through the lending channel of the banking system in Iran. Economic Modeling Quarterly, 3(10), 27-48. (in Persian)
Sharifi Renani, H., Komeijani, A., & Shahrestani, H. (2008). Analysis of monetary transfer mechanism in Iran using structural vector autoregression approach. Money and Economy Quarterly, 1(2), 176-147. (in Persian)
Sheng, C. (2016). Structural Var Analysis Of Monetary Transmission Mechanism And Central Bank's Response To Equity Volatility Shock In Taiwan, Munich Personal Repec Archive. Australian National University Economics Duesternbrooker, 74150,1-19.
Sugiarto, T. (2015). Svar Model To Examine The Short And Long Term Monetary Policy In Indonesia. International Journal of Economic Sciences, 4(4), 66-77.
Sugiarto,T. (2016). Svar Restriction In A Long-Term And Short-Term Model For The Economy, International Journal Of Management. Accounting & Economics, 2(1), 1-30.
Taghavi, M., & Lotfi, A. A. (2015). Studying the effects of monetary policy on the volume of deposits, granting facilities and liquidity of the country's banking system in 1374-1382. Economic Research, 6(20), 165-131. (in Persian)
Tahir, M. N. (2012). Relative Importance Of Monetary Transmission Channels: A Structural Investigation; Case Of Brazil, Chile And Korea. Université De Lyon, 22(17), 1-60.
Tavakolian, H., & Sarem, M. (2016). DSGE models in Dynare modeling software, solution and estimation based on Iranian economy. Tehran: Research Institute of Money and Banking. (in Persian)
Taylor, J. B. (1995). The Monetary Transmission Mechanism: An Empirical Framework. Journal of Economic Perspectives, 9(4),11-26.
Thanabalasingam,V. (2014). Monetary Policy And The Real Economy: A Structural Var Approach For Sri Lank. Asian Journal of Empirical Research, 4(1), 41-64.
Ziaei, S. M. (2012). Transmission Mechanisms of Monetary Policy In Saudi Arabia: Evidence From Svar Analysis. Journal of Modern Accounting And Auditing, 8(7), 990-1012.
| ||
|
آمار تعداد مشاهده مقاله: 279 تعداد دریافت فایل اصل مقاله: 161 |
||