Determining the interest rate on deposits in the Iranian banking system: cooperative or competitive game between the central bank and followers?

الموضوعات :

Mehdi Memarpour ¹ (Department of Industrial Engineering, Science and Research Branch, Islamic Azad University, Tehran, Iran)
Ashkan Hafezalkotob ² (College of Industrial engineering, South Tehran Branch, Islamic Azad University, Tehran, Iran)
Mohammad Khalilzadeh ³ (Department of Industrial Engineering, Science and Research Branch, Islamic Azad University, Tehran, Iran)
Abbas Saghaei ⁴ (Department of Industrial Engineering, Science and Research Branch, Islamic Azad University, Tehran, Iran)
Roya Soltani ⁵ (Department of Industrial Engineering, KHATAM University, Tehran, Iran)

تاريخ الإرسال : 14 الأربعاء , شوال, 1442 تاريخ التأكيد : 26 الأحد , صفر, 1443 تاريخ الإصدار : 02 الجمعة , ذو الحجة, 1443

الکلمات المفتاحية: Stackelberg game, Nash game, Monetary Policies, Iranian banking system ARIMA time series, interest rate on deposits,

ملخص المقالة :

This paper studies the monetary policies of the central bank to determine the inter-est rate on deposits in the interaction with the Iranian banking system in the form of Stackelberg and Nash equilibrium games. The leader of the game is the central bank of the Islamic Republic of Iran, while the followers of the game include three banks called A, B, and C. The leader of the game regulates its monetary policies based on the relationship between inflation rate and interest rate on depos-its in the form of three scenarios of "legal deposit ratio", "legal deposit award rate", and "the rate of commissions received" from the followers. The follower players also determine "the interest rate on deposits," based on the scenarios of the leader player. The results of this research (2010-2019) by MINITAB Soft-ware indicated that in the studied year (2019), the strategy of the players of this game has been mostly Nash (more competitive) rather than cooperative. If the players of this game had chosen cooperative strategy (Stackelberg game), they would have achieved greater profit. Also, the optimal tool for the monetary policy of the leader and follower players has been the “increasing the legal reserve re-ward rate".

المصادر:

[1] Marzban, H., Dehghan, Z., Akbarian, R., Farahani, M., Assessing the effectiveness of monetary policy on the economy: FAVAR approach, Quarterly Journal of Quantitative Economics, 2016, 13(2), P.71-92.Doi: 10.22055/jqe.2016.12370

[2] Borio, C, Gambacorta, L., Monetary policy and bank lending in a low interest rate environment: Diminishing effectiveness? Journal of Macroeconomics, Elsevier, 2017, 54(PB), P. 217-231.Doi: 10.1016/j.jmacro.2017.02.005.

[3] Rafiee Ghareshiran, S., Emami, K., Ghaffari, F. Identification of Monetary Policy Items Influencing the Banking System. Economic Modeling, 2019, 13(46), P.1-24. http://eco.iaufb.ac.ir/article_667929.html.

[4] Central bank of Iran., Article 14 of the banking monetary law Edited in 2019, 2019, P. 8-10.

[5] Yavari, K., Sahabi, B., Agheli, L., Shafiei, S., Uncertainty in Monetary Policy and its Economic Impacts: a combination of VAR and GARCH, Quarterly Journal of Quantitative Economics, 2016, 13(1), P.69-96.Doi: 10.22055/jqe.2016.12327

[6] Klose, J., Equilibrium real interest rates for the BRICS countries, The Journal of Economic Asymmetries, 2020, 21, e00155.  Doi:10.1016/j.jeca.2020.e00155

[7] Doojav, G. O., Gantumur, M., Measuring the natural rate of interest in a commodity exporting economy: Evidence from Mongolia. International Economics, 2020, 161, P.199-218.  Doi:10.1016/j. inteco.2019.12.001

[8] Hayo, B., Henseler, K., Rapp, MS., Estimating the Monetary Policy Interest-rate-to-performance Sensitivity of the European Banking Sector at the Zero Lower Bound, Finance Research Letters, 2019,31, P.471-475.Doi: 10.1016/j.frl.2018.12.019

[9] Naiborhu, E.D., The Lending Channel of Monetary Policy in Indonesia, Journal of Asian Economics, 2020, 67, P.1-33. Doi:10.1016/j.asieco.2020.101175

[10] Sun, R. A narrative indicator of monetary conditions in China, of the International Journal of Central Banking, 2018, 55. Doi:10.1016/j.jbankfin.2020.105766

[11] Akcelik, F., Talasli, A., Market-based monetary policy expectations for Turkey, Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, 2020, 20(1), P. 9-19.

[12] Goczek, Ł., Partyka, K. J., Too small to be independent? On the influence of ECB monetary policy on interest rates of the EEA countries, Economic Modelling, 2019,78, P.180-191.  Doi:10.1016/j. econmod. 2018.09.019

[13] Abuka, C., Alinda, R. K., Minoiu, C., Peydró, J. L., Presbitero, A. F., Monetary policy and bank lending in developing countries: Loan applications, rates, and real effects, Journal of Development Economics, 2019, 139, P.185-202. Doi:10.1016/j.jdeveco.2019.03.004.

[14] Huseyin, S., Ayse, K., Savas, K., Metehan, C., Interest rates, inflation, and exchange rates in fragile EMEs: A fresh look at the long-run interrelationships, 2019. https://www. researchgate.net/publication/332329558 Doi:10.1080/09638199.2019.1663441.

[15] Ghorbani, F., Dinmohammadi, M., Jabbari, A., The effect of business cycles on profit public and private banks in Iran, Journal of Iranian Economic Issues, 2019, 5(2), P.53-78.

[16] Ebrahimi, N., Pedram, M., Mousavi, M H., The Effect of Central Bank's Monetary Policy on Unemployment and Inflation in Provinces of Iran: A GVAR Approach. J. Mon. Ec., 2020, 15(1), P.55-74.

[17] Hesami Azizi, b., Mehnat Far, Y., Jafari, A., Relationship between effective rates on deposits and loans: the role of central bank. journal of monetary and banking researches. 2016, 9(28), P.199-221. Available from: https://www. sid.ir/en/journal/ ViewPaper. aspx?id= 570874

[18] Bakhshi Dastjerdi, R., Taleb Baghebani, M., Mojahedi Moakher, M M., Ahmadniya, M S., The system Dynamics Approach to Money Creation Effect on Inflation in Iran Economy, qjerp. 2019, 27(89), P.99-137.

[19] Khanizad, R., Montazer, G., Participation against competition in banking markets based on cooperative game theory, The Journal of Finance and Data Science, 2018, 4(1), P.16-28.  Doi:10. 1016 /j.jfds .2017.09.002

[20] Anwar, S., Nguyen, L. P., Channels of monetary policy transmission in Vietnam, Journal of Policy Modeling, 2018, 40(4), P.709-729.  Doi:10.1016/j.jpolmod.2018.02.004

[21] Mosavi Jahromi, Y., Abolhasani, A., Mansouri, N., Shayegani, B., Efficiency of Bond as a Central Bank Monetary Policy Instrument in Iran: An Application of Stackelberg Model and Game Theory, QJER. 2018, 18 (3), P.1-26.

[22] Engwerda, J. C., Mahmoudinia, D., Isfahani, R. D., Government and central bank interaction under uncertainty: A differential games approach. "Iranian Economic Review (IER), 2016, Faculty of Economics, University of Tehran. Tehran,Iran, 20(2), P. 225-259, Spring. RePEc:eut: journl:v:20:y: 2016:i:2: p:225

[23] Tavasoli, R., Tajik, M., Kalantar Mehrjerdi, A., Examining the effect of fiscal policies of the central bank on creating money via the banking system, Journal of novel research in management and accounting, 2016, 16, P. 165-174.

[24] Mansouri, N., Mosavi jahromy, Y., Abolhasani, A., Shayegani, B., Analyzing the Relationship among Government, Central Bank and Speculators in Iran: Approach of Game Theory and Nash Equilibrium, Journal of Economics and Modeling, 2017, 7(28), P.139-167.

[25] Mahmoudinia, D., Bakhshi Dastjerdi, R., Jafari, S., Extraction of Optimal Fiscal and Monetary Policy Rules in Framework of Game Theory: Application of Dynamic Stochastic General Equilibrium Model. Quarterly Journal of Applied Theories of Economics, 2018, 4(4), P.143-174.

[26] Mahmoudinia, D., Dalali Esfahani, R., Engwerda, J., Bakhshi Dastjerdi, R., Game Theory and Its Role in Determining Optimal Policies and Strategic Interaction Between Fiscal and Monetary Policymakers (Application of Differential Game Theory and Stackelberg Games), journal of applied economics studies in iran, 2016, 5(18), P.1-34.

[27] Abounoori, A., Sajadi, S S., Mohammadi, T., The Relation between the Rate of Inflation and Deposits Profit Rates in Iran Banking System, quarterly journal of fiscal and Economic policies, 2013, 1(3), P.23-52