بررسی اثر ذخایر بین‌المللی بانک مرکزی بر خلق اعتبار بخش بانکی در ایران
محورهای موضوعی : فصلنامه اقتصاد محاسباتیعلی نوروزی 1 , محمد دالمن پور 2 , اشکان رحیم زاده 3 , احمد نقی لو 4
1 - گروه اقتصاد، دانشکده اقتصاد، دانشگاه آزاد اسلامی زنجان، زنجان، ایران
2 - محمد دالمن پور، استادیار، گروه اقتصاد، دانشگاه آزاد اسلامی واحد زنجان، زنجان-ایران.
3 - ، استادیار، گروه اقتصاد، دانشگاه آزاد اسلامی واحد زنجان، زنجان-ایران
4 - استادیار، گروه اقتصاد، دانشگاه آزاد اسلامی واحد زنجان، زنجان-ایران.
کلید واژه: ذخایر بین‌المللی, , , , , بانک مرکزی, , , , , خلق اعتبار, , , , , الگوی SVAR, , , , , ایران,
چکیده مقاله :
در مطالعه حاضر به بررسی اثر ذخایر بین‌المللی بانک مرکزی بر خلق اعتبار بخش بانکی در چارچوب یک الگوی خودرگرسیون برداری ساختاری (SVAR) پرداخته شده است. برای برآورد مدل از داده‌های دوره زمانی 1380 تا 1401 استفاده شده و تجزیه و تحلیل اطلاعات با استفاده از نرم افزار STATA انجام شده است. نتایج این مطالعه نشان داد که یک انحراف معیار شوک در نرخ تغییرات ذخایر بین‌المللی، تا سه دوره پس از اعمال شوک اثر مثبت بر خلق پول بخش بانکی برجای گذاشته و پس از آن اثر آن کاهش پیدا کرده و به سمت صفر میل پیدا می‌کند. این نتیجه نشان می‌دهد که افزایش ذخایر بین‌المللی توسط بانک مرکزی به افزایش پایه پولی منجر شده که نتیجه آن افزایش خلق پول توسط سیستم بانکی بوده است. به عبارت بهتر با افزایش درآمدهای صادراتی کشور و در نتیجه آن افزایش ذخایر در کشورهای دیگر، دولت از طریق بانک مرکزی این ذخایر را به عنوان پشتوانه پولی قلمداد کرده و معادل ریالی آن را به عنوان پایه پولی لحاظ نموده است
Extended Abstract Purpose International reserves include liquid assets at the international level that the Central Bank maintains for purposes such as intervening in the foreign exchange market and covering the balance of payments deficit. Reserves can be used to compensate for excess supply or demand in the foreign exchange market and as a result, help to reduce exchange rate fluctuations over time. There are many disagreements in the relationship between international reserves and money creation, for reasons such as the potential of currency manipulation, the role of the central bank and the independence of the central bank, the use of reserves for various reasons, including economic stability and growth, and how to use international reserves. These theories have caused the relationship between the reserves and the credit creation of the Central Bank to be always ambiguous. Therefore, in the present study, the effect of the international reserves of the Central Bank on the credit creation of the banking sector in Iran has been investigated. Methodology In this study, the GDP growth rate at constant prices was used to measure the economic growth rate. The changes in reserves are also based on the data of the Central Bank, and the inflation rate is the growth rate of the consumer price index. The price of oil used in this study is the price of Iranian heavy crude oil. In this study, to check the results, the Structural Vector Autoregression (SVAR) method was used, which was used to estimate the model from the data of the period 1380 to 1401; In addition, data analysis was done using STATA software. Finding Generalized Dickey-Fuller and Phillips Perron reliability tests for the variables used in this study showed that the variables used in this research are at a reliable level. On the other hand, investigations showed that in this study and based on Schwartz's statistics, the optimal number of breaks for each estimation model is equal to 1. Apart from the reaction to shock tool, another tool used by VAR models is forecast error variance analysis. This tool determines the instability contribution of each variable against the shocks applied to other variables of the model. Analysis of the variance of the prediction error in this study showed that the largest share of the variance of the prediction error of the variables of this study is explained by these variables themselves. In addition, the results showed that after this variable, changes in the legal reserve contributed the most to the money creation of the banking system. The results of this study showed that a standard deviation shock in the rate of change of international reserves left a positive effect on money creation in the banking sector up to three periods after the shock was applied, and after that, its effect decreased and tended to zero. This result shows that the increase in international reserves by the Central Bank led to an increase in the monetary base, which resulted in an increase in money creation by the banking system. Conclusion According to the definition, international reserves include assets with high liquidity at the international level, which the central bank maintains for purposes such as intervening in the foreign exchange market and covering the balance of payments deficit. By selling reserves, he prevented the sharp fall in the value of the domestic currency and prevented the effects of the currency market crisis on the domestic economy, including production and price levels; Therefore, higher levels of reserves indicate the commitment of the Central Bank to the stability of the exchange rate, and hence may reduce the possibility of currency instability. Based on the results, it can be concluded that with the increase in the export earnings of the country and as a result the increase in reserves in other countries, the government through the Central Bank has considered these reserves as a monetary base and considered its Riyal equivalent as a monetary base. What is clear is that the increase in the reserves of the Central Bank in Iran has caused an increase in the monetary base, money creation, and, as a result, an increase in inflation. Therefore, it seems that on the one hand, the low independence of the Central Bank in the management of reserves and on the other hand, the economic conditions of Iran, including the government, have caused these reserves to act as a stimulus in the monetary base and inflation. Therefore, it is suggested that the central bank (or the government) consider the effects of inflation when using these reserves and manage them in such a way that inflationary effects and, as a result, economic fluctuations do not occur in the country.