The Relationship Between the Facility Interest Rate and Three Main Variable of the Money Market In Iran (1986-2017)
محورهای موضوعی : Financial EconometricsZahra Haerinasab 1 , Kiomars Sohaili 2 , Shahram Fattahi 3
1 - Department of Economic, Razi University, Kermanshah, Iran
2 - Department of Economic, Razi University, Kermanshah, Iran
3 - Department of Economic, Razi University, Kermanshah, Iran
کلید واژه: Three stage least squar, Facility Interest Rate, Macroeconomic variable of Iran, Iran,
چکیده مقاله :
The bank interest rate is one of the most important macroeconomic variable in each country economic. The purpose of this paper is find the relationship between the facility interest rate and three main variable of the money market.In Iran. this issue for equations the interest rate facility, the interest rate of deposit, inflation and credit risk utilizing the model simultaneous equation system and method three-stage least squares estimated. Results show that in this 32 year period the interest rate of the facility whit the interest rate on deposits is one of the most important macro- banking variable has a positive and significant relationship. So that with an increase in interest rate on deposits, the interest rate of facility also increases. It was also determined the interest rate of facility with inflation has a negative and significate relationship. This expresses with increasing inflation, the facility interest rate decreases. Because in Iran the rate of interest determined as an order, this result is not expected. The interest rate of facility and and credit risk have a positive and significant relationship, which represents it when the interest rate of facility increases, likelihood of non payment increased by borrowers. Also, inflation rate with liquidity and exchange rate has a positive relationship which is consistent reality.
[1] Akrami, A., Considerations on the Bank Interest Rate in Iran, Ravand Quarterly of the Central Bank,2004, (In Persian).
[2] Akhlaghi, H., 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).
[3] Agrawal, P., Interest Rate and Investment in East Asia: An Empirical Evaluation of Various Financial Libralisation Hypotheses, The Journal of Development Study, 2004, 64, P.52-72. Doi:10.1080.00220388.2004. 1443210.
[4] Calcagini, G., Farabulini, F., Giombini, G., Intrest Rate Credit and Guarantees Wirking paper series in Economicsͺ Mathematicsͺ statistics, 2009, Doi: 10.1111.j.2040-0209.2009. 00436.x
[5] Dehghanfard, Kh. Moslemi, A., Inflation, Operating Cycle, Cash Holding, Advances in Mathematical Finance and Applications, 2017, 2(3), P.79-90.Doi: 10.22034.AMFA.2017.533103.
[6] Dalvand, Kh., Studying the Role of Marketing Intensity on the Relation of Financial Leverage and Firm Function, Advance Mathematic Finance and Application, 3(3), 2018.Doi: 10. 22034.AMFA.2018.5 44947.
[7] Esmaeili, Z., Dehpour, A., Evaluation of the relationship between the bank facility interest rate and deferred bank loans, 2012, (In Persian).
[8] Izadikhah, M., Improving the Banks Shareholder Long Term Values by Using Data Envelopment Analysis Model, Advance Mathematic Finance and Applications, 3(2), 2018, Doi: 10. 22034.AMFA.20185 40829.
[9] Jefreh, M., Investigating the Declining Trend in the Bank Facility Interest Rate and its Role in Inflation, Journal of Securities, 2012. Doi: 10.1144.js.2012.140236.
[10] Jobst, A., Lui, H., Negative Interest Rate Policy: Implication Euro Area, International Monetary Fund, 2012. Doi: 10.4135. 9781412952613.n277
[11] Keshavarz, Z., Hasanzadeh, P., An Evaluation of the Effect of Monetary Policy on the Bank Interest Rate in Iran. Journal of Business Economics, 2014. Doi: 10.1111.jbe.2014.147895.
[12] Li Suyuan, W., The Effect of Interest Rate on Investment Journal of International Study, 2015.Doi: 10.14254.2071-8330.2015.8-1.1.
[13] Lulian Vasil, P., Analyze of the Behavior of Central Bank in Setting Rate the Case of Central and Eastern European Countries Procedia Economic and Finance, 2014. Doi: 10. 1016.s2212-5671(16)30274-x.
[14] Mohammadi, T., The Relationship between the Inflation Rate and the Bank deposit interest rate in Iran,
[15] Mankiw,N,G,Macroeconomics,Worth Publishers,2006.
[16] Mundell, R, Inflation and Real Interest, Journal Political Economy, 1963, 71(2), P:195-215. Doi:10.1024 /9856521478963.021.
[17] Nazarian, R., 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).
[18] Tanzi, V., Taxation, Inflation, and Interest rate,Washington D.C,1984.
[19] Tanzi, V.Fiscal Deficits and Interest rate in United States, IMF Staff Papers, 1986, DOI: 10.5089.9781451 946987.024.
[20] Tobin, James, Money and economic Growth, Econometrica, 1965, 4, P:15-24, DOI: 10.1016/j.jeca.1965. 04.002.
[21] Souri, A., Econometrics, Cultural Studies Publication, Second Edition, 2013.
[22] Samsami, H., 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] Yousefi, M., Investigating the Plan of Rationalization of the Bank Facility Interest Rates, Islamic Economics Quarterly,2005, Doi: 10.1422.ieq.2005.104512.
