Investigating the Relationship between the Facility Interest Rate and the Bank Deposit Interest Rate in Iran

محورهای موضوعی : Financial and Economic Modelling

Zahra Haerinasab ¹ , Kiomars Sohaili ² , Shahram Fattahi ³

1 - Department of Accounting, Razi University, Kermanshah, Iran
2 - Department of Accounting, Razi University, Kermanshah, Iran
3 - Department of Accounting, Razi University, Kermanshah, Iran

تاریخ دریافت : 1397/08/25 تاریخ پذیرش : 1397/10/24 تاریخ انتشار : 1397/09/10

کلید واژه: Three-stage Least Squar, Deposit Interest rate, Iran, Facility Interest Rate,

چکیده مقاله :

The facility interest rate is one of the most important macroeconomic variables. The bank facility interest rate is associated with other macro-economic variables, one of which is the bank deposit interest rate. Using the time series data of the 1973-2017 period and the simultaneous equation system, the researchers estimated four equations using the three-stage least squares method.The result of estimation of the first equation indicates that there is a significant positive relationship between the bank deposit interest rate and the facility interest rate in the Iranian economy during this 45-year period, in that a decrease in the facility interest rate follows an increase in the inflation rate.The result of estimation of the second equation, in which the deposit interest rate is the dependent variable, shows that there is a significant positive relationship between the facility interest rate and the deposit interest rate.. The result of estimation of the third equation, where the inflation rate is the dependent variable, indicates that there is a significant positive relationship between the liquidity level and the inflation rate,The result of estimation of the last equation where the credit risk of banks is the dependent variable shows that there is a significant positive relationship between the facility interest rate and the credit risk.

منابع و مأخذ:

[1] Akhlaghi, H., Siahpoush, P and Shekarnabi,Z ., The Relationship between the Bank Interest Rate and the Inflation Rate Based on Vector Regression Model, Master's Degree, Raja Non-Profit Educational Institute, 2016, (in Persian).

[2] Agrawal, P., Intrest Rate and Investment in East Asia: An Empirical Evaluation of Various Financial Libralisation Hypothess, The Jornal of Development Studies, 2004,40(3),P.142-173. DOI: https://doi.org/10.1080/0022038042000213238 

[3] Balouei, E., and  Rostami, A., the Impact of financial Structure on financial Performance of banks listed in tehran stock Exchange, Advances in mathematical finance & appplications, 2018, 3(3),P.11-26. DOI:10.22034.AMFA.2018.544946.

[4] Calcagini, G., Farabulini, F. and Giombini, G , Intrest Rate Credit and Gaurantees,Working paper series in Economics, Mathematics, statistics, 2009.DOI:10.1111.j.2040-0209.2009.00436.x

[5] Demirgus-Kent, A. & Levine, R, Bank based and financial system, MIT Press, 2016, DOI:10.1016.mit.2016.02.056.

[6]  Esmaeili, Z., and Akbari, D., Evaluation of the relationship between the bank facility interest rate and deferred bank loans, International Marketing Conference,2012,3(4), P.24-45.(in Persian).

[7] Franz, A., Exchange rate and fiscal policy affect then?, Journal of economics, DOI:2012.10.1007.s00712-018-0650-0.

[8] Ghasemi, S, and  Sarlak, A., Investigation the Impact of the financial Crisis on Conversation Accounting and trancparency of Banking Information  , Advances in mathematical finance & appplications, 2018, 3(3), P.53-68. DOI:10.22034.AMFA.2018.544949.

[9] Jefreh, M, Dashgarzadeh, Kh and Aghbaei, M. Investigating the Declining Trend in the Bank Facility Interest Rate and its Role in Inflation, Journal of Securities, 2012. 2(5), P.103-117. DOI:10.1016.js.2012.03.010.

[10] Jobstͺ A., and  Luiͺ H, Negative Intrest Rate Policy: Implication Euro Area,  International Monetary Fund, 2016.DOI:10.4135.9781412952613.n277.

[11] Keshavarz, Z, and  Hasanzadeh, P., An Evaluation of the Effect of Monetary Policy on the Bank Interest Rate in Iran,  Journal of Business Economics, 2014,2(6),P.17-28.

 DOI:10.1016.jbe.2014.07.038.

[12]  Lulian, P., Analyze of the Behavior of Central Bank in Setting Rate the Case of Central and Eestern Eropean Countries, Procedia Economic and Finance, 2014,DOI:10.1016.s2212-5671(16)30274-x.

[13] Li suyuan, W.,  The Effect of Intrest  Rate on Investmentͺ Jornal of International Studies, 2015,DOI:10.14254.2071-8330.2015.8-1.1.

[14] La porto, A., Government ownership of commercial banks, Journal of finance, 2014, 57(1),P. 265–301. DOI:10.1111.jofi.12752.

[15] Lizal,j., Credit rationing and soft Budget Constraint, Working Paper, 2015, DOI: 10.1007.s00712-018-00652-6.

[16] Marius, A., The Interest rate in a small open emerging economy: the case of Romania. International Monetary Fund, 2017 ,67(C), P. 261-274.,DOI:10.4135..9781412952613.n284.

[17] Mohammadi T,  Sajjadi, S., The Relationship between the Inflation Rate and the Bank deposit interest rate in Iran, Journal of Financial and Economic Policies, 2013, 1(3),P.23-52. DOI:10.1016.jfe.2013.02.085

[18] Montfort, M.,  Chirwa,E., Financial Reforms and Interest rate spreed, IMF Working, 2002,2(6), DOI:10.1017.s0020818300022517.

[19] Maurel, M. , Investment Efficiency and Credit Rationing, Working Paper, 2016,(403),P.1-18,DOI:10.1007.s00712-018-00651-7.

[20] Nazarian , R, and Hamzei, H. ,The Impact of Monetary Policies on the Granted Facilities of Banks Based on the Profitability of Banks. Master's Thesis, School of Economic Affairs, Islamic Azad University, Central Tehran Branch, 2014, (in Persian).

[21] Saadat, R, and  Sheikhi, M., A model for the Mechanism of Monetary policy and Inflation control in the framework of the Interest free banking , Advances in mathematical finance & appplications2016,1(2), P.29-41. DOI:10.22034.AMFA.2016.527814.

[22] Samsami, H, and  Khadem , M., The Effect of Granted Facilities and Bank Interest Rate on the Private sector's Investment in Iran. Master's Thesis, Faculty of Economic and Political Sciences, Shahid Beheshti University, 2013, (in Persian).

[23] Sohaili, K, and Khadivi, P. , investigated the interaction between the bank facility interest rate and the inflation rate in Iran, M.A Thesis at razi university, 2012.)in Persian).

[24] Talor, L., The Interest rate Sensitivity of Indastry, Economic Review, 1996,3, P.27-34 DOI:10.1016.er.1996.12.006

[25] Yousefi, M .,Investigating the Plan of Rationalization of the Bank Facility Interest Rates, Islamic Economics Quarterly, 2005, DOI: 10.1016.ieq.2005.09.034