Investigation And Evaluation Of Monetary Policy Transmission Channels In The Iranian Economy

محورهای موضوعی : Econometrics and Financial Applications of other Theories (Stochastic Processes, (Stochastic) Partial Differential Equations, Dynamical Systems)

Parisa Rafiei Shamsabadi ¹ , Gholamali Haji ² , seysd fakhrodin Fakhr Hosseini ³

1 - Department of Economics, Arak Branch, Islamic Azad University, Arak, Iran
2 - Department of Economics, Arak Branch, Islamic Azad University, Arak, Iran
3 - Department of Accounting, Tonekabon Branch, Islamic Azad University, Tonekabon, Iran

تاریخ دریافت : 1399/08/07 تاریخ پذیرش : 1401/03/16 تاریخ انتشار : 1402/09/10

کلید واژه: Variance Decomposition, DSGE Models, Monetary Policy Transmission,

چکیده مقاله :

Monetary policy plays an important role in managing the economy, but success in applying this policy requires that the monetary authority understands the process of monetary transmission in the economy. Thus, it is not possible to study the effects of monetary policy on the economy without studying the channels of monetary policy transmission. Therefore, in this paper, the effect of a monetary policy through different channels of monetary policy transmission on inflation and production in terms of time process and extent of effectiveness by using Iran's data over the period of (1960 to 2018) through the method of new Keynesian dynamic stochastic general equilibrium have been investigated. The accuracy of the model was confirmed by analysing the impulse-response functions and calculating the method of moments of the second order. The results of the model show that the effects of monetary policy shock are transmitted through the nominal growth rate of money, the real exchange rate on inflation and production without oil. Also, this effects by increasing the interest rates on bank deposits through the monetary base lead to increase production without oil, and through the monetary base, the exchange rate and the price index of domestic goods reduce inflation.

چکیده انگلیسی:

Monetary policy plays an important role in managing the economy, but success in applying this policy requires that the monetary authority understands the process of monetary transmission in the economy. Thus, it is not possible to study the effects of monetary policy on the economy without studying the channels of monetary policy transmission. Therefore, in this paper, the effect of a monetary policy through different channels of monetary policy transmission on inflation and production in terms of time process and extent of effectiveness by using Iran's data over the period of (1960 to 2018) through the method of new Keynesian dynamic stochastic general equilibrium have been investigated. The accuracy of the model was confirmed by analysing the impulse-response functions and calculating the method of moments of the second order. The results of the model show that the effects of monetary policy shock are transmitted through the nominal growth rate of money, the real exchange rate on inflation and production without oil. Also, this effects by increasing the interest rates on bank deposits through the monetary base lead to increase production without oil, and through the monetary base, the exchange rate and the price index of domestic goods reduce inflation.

منابع و مأخذ:

[1] Aleem, A., Transmission Mechanism of Monetary Policy in India, Journal of Asian Economics, 2010; 21(2): 186-197. doi: 10.1016/j.asieco.2009.10.001.

[2] Angelini, P., and Neri, S., and Panetta, F., Monetary and Macroprudential Policies, ECB Working Pa-per, 2012; 1449. doi: 10.2139/ssrn.2091137.

[3] Atta-Mensah, j., and Dib, A., Bank Lending, Credit Shocks, and The Transmission of Canadian Mone-tary Policy, International Review of Economics and Finance, 2008; 17(1): P.159–176. doi: 10.1016/j.iref.2006.06.003.

[4] Berg, A., and Miao, Y., The Real Exchange Rate and Growth Revisited: The Washington Consensus Strikes Back? IMF Working Paper, 2010; 10(58); 24. doi: 10.5089/9781451963755.001.

[5] Bernanke, B., and Gertler, M., Inside the Black Box: The Credit Channel of Monetary Policy Transmis-sion, Journal of Economic Perspectives, 1995; 9(4): 27-48. doi: 10.1257/jep.9.4.27.

[6] Bernanke, B., Gertler, M., and Gilchrist, S., The Financial Accelerator in a Quantitative Business Cycle Framework, Handbook of Macroeconomics, 1999; 1(C):1341-1393. Doi: 10.1016/S1574-0048(99)10034-X.

[7] Boughrara, A., Monetary Transmission Mechanisms in Morocco and Tunisia, Economic Research Fo-rum, Workshop Monetary Policy and Inflation Targeting, 2008; 460: P. 1–31.

[8] Calvo, G.A., Staggered Price Setting in a Utility- Maximizing Framework, Journal of Monetary Eco-nomics,1983; 12(3):383-398. Doi: 10.1016/0304-3932(83)90060-0.

[9] Carlstrom, C., and Fuerst, T., Agency Costs, Net Worth, and Business Fluctuations: A Computable General Equilibrium Analysis, The American Economic Review, 1997, 87(5), P. 893–910.

[10] Castelnuovo, E., and Nisticò, S., Stock Market Conditions and Monetary Policy in a DSGE Model for the U.S., Journal of Economic Dynamics and Control, 2010; 34(9): 1700-1731. doi: 10.1016/j.jedc.2010.06.028.

[11] Dabla-Norris, E., and Floerkemeier, H., Transmission Mechanisms of Monetary Policy in Armenia: Evidence from VAR Analysis, IMF Working Papers, 2006; 06(248), ISBN/ISSN: 9781451865080/1018-5941.

[12] Dagher, J., Gottschalk, J., and Portillo, R., Oil Windfalls in Ghana: a DSGE Approach, IMF Working Paper, 2010; 10(116):doi: 10.5089/9781455200757.001.

[13] Dixit, A.K., and Stiglitz, J.E., Monopolistic Competition and Optimum Product Diversity, American Economic Review, 1977; 67: 297–308.

[14] Haeri Nasab, Z., Sohali, K., and Fattahi, S., Investigating the Relationship Between the Facility Inter-est Rate and the Bank Deposit Interest Rate in Iran, Advances in Mathematical Finance and Applications, 2018; 3(4): 53-66. doi: 10.22034/AMFA .579317.1136.

[15] Idrees Agha, A., Ahmed, N., Mubarik, Y.A., and Shah, H., Transmission Mechanism of Monetary Poli-cy in Pakistan, SBP Research Bulletin, State Bank of Pakistan, Research Department, 2005; 1: 1-23.

[16] Komijani, A., and Alinejad, F., Evaluating Effectiveness of Monetary Transmission Channels on the Output and Inflation Rate and Analyzing Their Relative Importance in Iran Economy, Budget and Planning Journal, 2012; 17(2): 39-64. (in Persian). doi: 20.1001.1.22519092.1391.17.2.2.4.

[17] Laidler, D., Money and money income: An Essay on the Transmission Mechanism, Journal of Mone-tary Economics, 1978; 4(2): 151-191.

[18] Gambacorta, L., Bank-Specific Characteristics and Monetary Policy Transmission: the Case of Italy, Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Rela-tions Area, 430: 1-37.

[19] Mishkin, F. S., The Channel of Monetary Transmission: Lessons for Monetary Policy, NEBR working paper series, National Bureau of economic research, 1996; 5464.

[20] Moshiri, S., and Vashaghani, M., Study of Monetary Policy Transmission Mechanism and its Timing in Iran, Journal of Economical Modelling, 2010; 4(11):1-32. (in Persian).

[21] Nisticò, S., Monetary Policy and Stock-Price Dynamics in a DSGE Framework, Journal of Macroeco-nomics, 2012; 34(1): 126-146. doi: 10.1016/j.jmacro.2011.09.008.

[22] Peiris, S. J., and Saxegaard, M., An Estimated Dynamic Stochastic General Equilibrium Model for Monetary Policy Analysis in Mozambique, IMF Staff Papers, 2010; 57(1): 256-280.

[23] Raei, R., Iravani, M.J., and Ahmadi, T., Monetary Shocks and Monetary Policy Transmission Chan-nels in the Iranian Economy: With Emphasis on Exchange Rates, Housing Prices and Credits, Journal of Economic Growth and Development Research, 2018; 8(31): 29-44. (in Persian). Doi: 20.1001.1.22285954.1397.8.31.2.9.

[24] Rafee Shamsabadi, P., Haji, G., and Fakhrhosseini, S.F., Significance of Financial Acceler-ators in a New Keynesian Model in Iranian Economy, Applied Economics Studies in Iran, 2019: 7(28): 215-49. (in Persian).
doi: 10.22084/AES.2018.15787.2608.

[25] Sharifnezhad, M., Bakhtiari Koohsorkhi, S., Daei-Karimzadeh, S., and Ghobadi, S., Evaluation of Monetary and Fiscal Policy Based on New Keynesian Dynamic General Equilibrium Model in Iran’s Economy, Advances in Mathematical Finance & Applications, 2020; 5(3): P.403-418. doi: 10.22034/AMFA.2019.1867660.121.

[26] Smets, F., and Wouters, R., An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area, Journal of the European Economic Association, 2010; 1(5): 1123-1175. doi: 10.1162/154247603770383415

[27] Tavakolian, H., and Sarem, M., DSGE Patterns in DYNARE Software (Modeling, Solving and Estima-tion Based on Iran's Economy, Monetary and Banking Research Institute of the Central Bank of the Islam-ic Republic of Iran, 2017.

[28] Walsh, C., Monetary Theory and Policy, Cambridge, MA: MIT Press, 2010.