Investigating the Interactive Effects of Monetary and Macroprudential Policies on the Stability of the Banking System: Evidence from Iranian Economy
Subject Areas : Labor and Demographic Economics
Leila Pashazadeh
1
(
PhD student, Department of Economics, University of Tabriz, Tabriz, Iran
)
Hossein Asgharpur
2
(
Professor, Department of Economics, Tabriz University, Tabriz, Iran
)
Sakineh Sojoodi
3
(
Assistant Professor, Department of Economics, Tabriz University, Tabriz, Iran
)
Zahra Karimi Takanlou
4
(
Associate Professor, Department of Economics, Tabriz University, Tabriz, Iran
)
Keywords: Monetary Policy, Macroprudential Policy, Stability of the Banking System, Generalized Moment Method (GMM),
Abstract :
The main objective of this study is to investigate the interactive effects of monetary and macroprudential policies on the stability of Iranian banking system. For this purpose, the effects of monetary and macroprudential policies and interactive of these two policies have been evaluated using the annual time series data of 24 private and government banks of Iran during the period of 2007-2019 and using generalized moments method (GMM).The results show that the monetary policies have significantly caused the instability of the banking system, and the macroprudential policies have significantly increased the stability of the banks. Also, empirical findings of the research show that, the interaction of monetary policies and macroprudential has a positive and significant effect on the stability of banks. This result indicates that the implementation of macro reserve policies in Iran has caused the effects of monetary policies to be modified on the instability of banks. Hence, it is necessary for the economic policy makers to consider these interactions when designing monetary and macro prudential policy interventions. In fact, economic policymakers are advised to use macroprudential policies to strengthen the stability of the banking system when implementing expansionary monetary policies.
- ابراهیمی، حسین (1401). مرکز بانکی، رقابت بانکی و ریسک‌پذیری در صنعت بانکداری ایران. رساله دکتری اقتصاد، دانشکده اقتصاد و مدیریت، دانشگاه تبریز.
- تقی‌زاده، حمید، شریفی رنانی، حسین و قبادی، سارا (1400). ارزیابی ثبات بانکی در اقتصاد ایران تحت سیاست‌های پولی و کلان احتیاطی. فصلنامه راهبرد اقتصادی، 10(36)، 147-176.
- جهانگرد، اسفندیار و عبدالشاه فاطمه (1396). تاثیر متغیرهای کلان اقتصادی بر ثبات بانک‌های ایران. نشریه سیاست‌گذاری اقتصادی، 9(18)، 205-209.
- اختر، حسین و چودری، انیس (1382). سیاست‌های پولی و مالی در کشورهای درحال‌توسعه. انتشارات پژوهشکده امور اقتصادی، تهران.
- درگاهی، حسن و هادیان، مهدی (۱۳۹۸). ساختار سیاست‌های احتیاطی کلان در نیل به ثبات بانکی یک اقتصاد صادرکننده نفت: رویکرد DSGE. فصلنامه پژوهش‌ها و سیاست‌های اقتصادی، 27(90)، 57-102.
- سعادت‌مهر، مسعود و غفاری، هادی (1399). بررسی مقایسه‌ای اثرگذاری سیاست‌های پولی و مالی بر اقتصاد ایران در قالب یک الگوی DSGE. نشریه مطالعات و سیاست‌های اقتصادی، 6(1)، 51-74.
- عرفانی، علیرضا، توکلیان، حسین و طالب بیدختی، آزاده (1397). ارزیابی عملکرد تثبیتی سیاست ترکیبی پولی و احتیاطی کلان در اقتصاد ایران. فصلنامه پژوهش‌های اقتصادی (رشد و توسعه پایدار)، 18(4)، 133-160.
- ماجدی، علی و گلریز، حسن (1375). پول و بانک از نظریه تا سیاست‌گذاری، انتشارات موسسه عالی بانکداری ایران، تهران.
- ملکش، اسماعیل (1400). بررسی ناهمگنی رفتار بانک‌ها در واکنش به سیاست پولی در ایران. رساله دکتری اقتصاد، دانشگاه بوعلی سینای همدان.
- یزدان‌پناه، حمیده، اسلاملوئیان، کریم، هادیان، ابراهیم و شهنازی، روح‌الله (1399). تاثیر قواعد سرمایه خلاف چرخه بر ثبات بانکی و پویایی‌های اقتصاد کلان در ایران. فصلنامه مطالعات اقتصادی کاربردی ایران، (36)، 1-33.
- AbduLKarim, Z., Wan Ngah, W. A. S., & AbdulKarim, B. (2010). Bank lending channel of monetary policy: Dynamic panel data evidence from Malaysia. Jornal of Asia-Pacific Business, 12(3), 225-243.
- Ak Kocabay, S. (2009). Bank competition and banking system stability: Evidence from Turkey. A thesis submitted to the graduate school of social sciences of Middel East Technical University.
- Altavilla, C., Laeven, L., & Peydro, J. (2020). Monetary and macroprudential policy complementarities: Evidence from European credit registers. Working Paper Series, No 2504, ECB.
- Altunbas, Y., Binici, M. & Gambacorta, L. (2018). Macroprudential policy and bank risk. Journal of International Money and Finance, 81, 203-220.
- Ampudia, M., Duca, M. L., Farkas, M., Pere z-Quiros, G., Pirovano, M., Ru nstler, G. and Tereanu, E. (2021). On the effectiveness of macroprudential policy. Working Paper Series, No 2559, ECB.
- Antipa, P., Mengus, E. & Mojon, B. (2010). Would macroprudential policies have prevented the great recession? Mimeo, Banque de France.
- Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies, 97, 58-277.
- Baltagi, H. (2001). Econometric analysis of panel data (2d Ed). New York: John Wiley & Sons.
-Baltagi, H. (2008). Forecasting with Panel Data. Journal of Forecasting, 153–173. Doi: 10.1002 /for. 104
-Bianchi, J., & Mendoza, E. (2018). Optimal time-consistent macroprudential policy. Journal of Political Economy, 126(2), 588–634.
-Brissimis, S. N. & Delis, M. D. (2010). Bank heterogeneity and monetary policy transmission. ECB Working Paper, No. 1233.
-Cerutti, E., Claessens, S. & Rose, A. (2017). How important is the global financial cycle? Evidence from capital flows. BIS Working Papers No 661.
-Clement, P. (2010). The term macro prudential: Origins and evolution. BIS quarterly Review.
-Cozzi, G., Darracq Parie s, M., Karadi, P., Ko rner, J., Kok, C., Mazelis, F., Nikolov, K., Rancoita, E., Van der Ghote, A., & Weber, J. (2020). Macroprudential policy measures: Macroeconomic impact and interaction with monetary policy. Working Paper Series, No 2376, ECB.
-Dutta, K. D. & Saha, M. (2020). Nexus of governance, macroprudential policy and financial risk: Cross-country evidence. Economic Change and Restructuring, 54(2-3), 1253-1298.
-Fendoglu, S. (2017). Credit cycles and capital flows: Effectiveness of the macroprudential policy framework in emerging market economies. Journal of Banking & Finance, 79, 110-128.
-Frantaa, M. & Gambacorta, L. (2021). On the effects of macroprudential policies on Growth-at-Risk. Economics Letters, 196.
-Funke, M., Kirkby, R. & Mihaylovski, P. (2018). House prices and macroprudential policy in an estimated DSGE model of New Zealand. Journal of Macroeconomics, 56, 152-171.
-Galan, J. E. (2020). The benefits are at the tail: Uncovering the impact of macroprudential policy on growth- at- risk. Banco de Espana Working Paper No 2007. https://doi.org/ 10.1016/ j.jfs. 2020.100831
-Garcia Revelo, Jose D. & Levieuge, G. (2022). When could Macroprudential and Monetary Policies be in Conflict? Journal of Banking & Finance, 139.
-Gelain, P. & Ilbas, P. (2017). Monetary and macroprudential policies in an estimated model with financial intermediation. Journal of Economic Dynamics & Control, 78, 164-189.
-Gelain, P., Lansing, K. & Mendicino, C. (2013). House prices, credit growth, and excess volatility: Implications for monetary and macroprudential policy. International Journal of Central Banking, 9(2), 219-276.
-International Monetary Fund (2013). The interaction of monetary and macroprudential policies, International Monetary Fund, Washington.
-Kasman, S., and Kasman, A. (2015). Bank competition, concentration and financial stability in the Turkish banking industry. Economic Systems, 39(3), 502-517.
-Laeven, L., Maddaloni, A., & Mendicino, C. (2022). Monetary Policy, Macroprudential Policy and Financial Stability.Working Paper Series, 2647, ECB.
-Lim, C., Columba, F., Costa, A., Kongsamut, P., Otani, A., Saiyid, M., Wezel, T. & Wu, X. (2011). Macroprudential policy: What instruments and how to use them? Lessons from country experiences, IMF Working Paper.
-Maji, S. G., Dey, S., & Jha, A. K. (2011). Insolvency risk of selected indian commercial banks: A Comparative Analysis. International Journal of Research in Commerce, Economics and Management, 1(5), 120-124.
-Marco, T. G., & Fernandez, M. D. R. (2008). Risk-taking behavior and ownership in the banking industry: The Spanish evidence. Journal of Economics and Business, 60(4), 332-354.
-Martin, A., Mendicino, C., & Van der Ghote, A. (2021). Interaction between monetary and macroprudential policies. Working Paper Series, No 2527, ECB.
-Mendicino, C., Nikolov, K., Suarez, J., & Supera, D. (2020). Bank capital in the short and in the long run. Journal of Monetary Economics, 115, 64-79.
-Nier, E. (2011). Macroprudential policy - taxonomy and challenges. National Institute Economic Review. Available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1904627.
-Pesaran, M. H. (2015). Time series and panel data econometrics. Oxford University Press.
-Rubio, M., & Yao, F. (2020). Macroprudential policies in a low interest rate environment. Journal of Money, Credit and Banking, 52(6), 1565–1591.
-Rubio, M. (2016). Short and long-term interest rates and the effectiveness of monetary and macroprudential policies. Journal of Macroeconomics, 47, 103-115.
-Rulu, P., Dhall, M., Tyagi, R., Devi, Feroz, N., & Kapoor, S. (2019). Factors influencing bone mineral density among adults of Delhi: A gender differential. Journal of Health Management, 21(2), 199-209.
-Saif-Alyousfi, A. Y. H., Saha, A., & Md-Rus, R. (2020). The impact of bank competition and concentration on bank risk taking behavior and stability: Evidence from GCC countries. North American Journal of Economics and Finance, 7(51), 1-50.
-Svensson, L. E.O. (2012). Differing views of monetary policy. Speech at SNS, Stockholm, June 8, www. larseosvensson.net.
-Van der Ghote, A. (2020). Benefits of macro-prudential policy in low interest rate environments. Working Paper Series, No 2498, ECB.
-Van der Ghote, A. (2021). Interactions and coordination between monetary and macroprudential policies. American Economic Journal, 13(1), 1-34.
-Vardar, G. (2015). Bank competition, concentration and risk-taking in the Turkish banking industry. Journal of Business Economics and Finance, 4(3), 536-567.
-Woodford, M. (2012). Inflation targeting and financial stability, Riksbank. Economic Review, (1), 7-32.
_||_