Assessment of Credit Channel on Output During Recession and Boom Period in Iran's Economy

Document Type : Research Article

Authors

1 PhD student in Economics, Central Tehran Branch, Islamic Azad University, Tehran, Iran

2 Assistant Professor, Department of Economics, Tehran Branch, Islamic Azad University, Tehran, Iran

3 Professor of Economics, Al-Zahra University

4 Associate Professor, Department of Economics, Allameh Tabatabai University

Abstract

Empirical studies mainly model monetary transmission mechanism and the role of credit channel as being symmetric across business cycles. Since the degree of asymmetric information and information stickiness in different business periods varies according to the state of the economy of each country, therefore, it would be necessary to evaluate credit channel by using nonlinear methods. This research, using time series information of Iran's economy, to assess the impact of credit channel in Iran's economy by  Markov Switching Vector Auto Regression approach (MS-VAR) and using seasonal data for the years 1990 to 2017. In general, the conclusion can be drawn that in boom period the effect of monetary policy shock leads to increase output growth by about 0.3 percent and then will be decreased till the end of the first year and again will be increased in season 5 by about 0.1 percent and subsequently will be disappeared. The effect of this shock during recession will increase output growth by about 0.1 percent and then decreased to the end of the first year. Again in season 5 output growth will be increased by about 0.05 percent and subsequently it will be disappeared till the end of the period. Also, credit shock leads to increase output growth by about 0.25 percent during boom period and then will be decreased. But, it is ineffective during recession. Results indicate that credit channel is effective during boom period but ineffective during recession. Furthermore, the effect of monetary policy on output through the credit channel during the boom period is more than the recession.

Keywords


تقوی، مهدی و لطفی، علی‌اصغر. (1385). «بررسی اثرات سیاست پولی بر حجم سپرده‌ها، تسهیلات اعطایی و نقدینگی نظام بانکی کشور (طی سال‌های 1382-1374)»، فصلنامهپژوهشنامه اقتصادی، 6(20)، 166-131.
راعی، رضا؛ ایراوانی، محمدجواد و احمدی، تیرداد. (1397). «شوک‌های پولی و کانال‌های انتقال‌دهنده سیاست پولی در اقتصاد ایران: با تأکید بر کانال نرخ ارز، قیمت مسکن و اعتبارات»، فصلنامه علمی پژوهشی پژوهش‌های رشد و توسعه اقتصادی، 8(31)، 44-29.
شاه‌حسینی، سمیه و بهرامی، جاوید، (1395). «نوسانات اقتصاد کلان و سازوکار انتقال پولی در ایران (رویکرد DSGE)»، پژوهشنامه اقتصادی، 16(60)، 48-1.
شهبازی، کیومرث؛ خداویسی، حسن؛ رضایی، ابراهیم، و یکتا، ایرج. (1397). «بررسی اثرات نامتقارن شوک‌های پولی بر تولید ناخالص داخلی ایران طی ادوار تجاری با تأکید بر اعتبارات بانکی»، فصلنامه مدلسازی اقتصادسنجی، 2(4)، 84-55.
کاویانی، الهام؛ امام‌وردی، قدرت‌ا... و نظریان، رافیک. (1392). «بررسی مکانیسم آثار انتقال سیاست پولی از طریق کانال اعتباری بر رشد تسهیلات اعطایی در بانک‌ها»، پایان‌نامه کارشناسی ارشد، تهران، دانشگاه آزاد اسلامی واحد تهران مرکزی، دانشکده اقتصاد و حسابداری.
کمیجانی، اکبر و علی­نژاد مهربانی، فرهاد. (1391). «ارزیابی اثربخشی کانال‌های انتقال پولی بر تولید و تورم و تحلیل اهمیت نسبی آن‌ها در اقتصاد ایران»، فصلنامه علمی پژوهشی برنامه‌ریزی و بودجه، 17(2)، 64-39.
مشیری، سعید و واشقانی، محسن. (1390). «بررسی مکانیسم انتقال پولی و زمان یابی آن در اقتصاد ایران»، فصلنامه مدل‌سازی اقتصادی، 4(11)، 32-1.
محسنی زنوزی، سید جمال‌الدین. (1396). «بررسی اهمیت کانال ترازنامه دیدگاه اعتبار در مکانیسم انتقال پولی اقتصاد ایران»، فصلنامه پژوهش‌های اقتصادی (رشد و توسعه پایدار)، 17(4)، 97-69.
Bernanke, B. and A.S. Blinder. (1988). “Credit, Money, and Aggregate Demand”, American Economic Review, 78(2), 435-439.
Bernanke, B. S., and Gertler. M. (1989). “Agency costs, net worth and business fluctuations”, American Economic Review, 79(1), 705-744.
Bernanke, B. and Gertler, M. (1995). “Inside the black box: the credit channel of monetary transmission”, Journal of Economic Perspectives, 9(4), 27-48.
Bernanke, B. and Blinder, A. (1992). “The federal funds rate and the channels of monetary transmission”, American Economic Review, 82(4), 901-921.
Bordon, A. R. & Weber, A. (2010). “The Transmission Mechanism in Armenia: New Evidence from a Regime Switching VAR Analysis”, IMF Working Papers, 10(270), 1-31.
Catik, A. N., Karacuka, M. (2011). “The Bank Lending Channel in Turkey: Has it Changed after the Low Inflation Regime?”, DICE Discussion Papers, 32, University of Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
Christiano, L., Eichenbaum, M. and Evans, C. (1999). “Monetary Policy Shocks: What Have We Learned and to What End?”, Handbook of Macroeconomics, Elsevier Science, Amsterdam, 1(1), 65-148.
Ehrmann, M., Ellison. M. and Valla. N. (2001). “Regime dependent impulse response functions in a Markov-Switching vector auto regression model”, Economic Letters, 8(11), 1-27.
Ehrmann, M., Ellison, M., & Vallac. V. (2003). “Regime-dependent impulse response functions in a Markov switching vector autoregression model”, Economic Letters, 78(3), 295-299.
Egea, F. B. & Hierro, L. A. (2019). “Transmission of monetary policy in the US and EU in times of expansion and crisis”, Journal of Policy Modeling, 41(4), 763-783.
Fisher, M. E. & Seater, J. J. (1993). “Long-Run Neutrality and Super Neutrality in an ARIMA Framework”, American Economic Review, 83(3), 402-415.
Ford, J. L., Agung, J., Ahmed, S. S., Santoso, B. (2003). “Bank Behavior and the Channel of Monetary Policy in Japan, 1965-1999”, The Japanese Economic Review, 54(3), 275-299.
Golfeld, S., Quandt, M., Richard E. (1973). “The Estimation of Structural Shifts By Switching Regressions”, Econometric Reserch Program, Princeton University, 2(4), 473-483.
Hamilton, J. (1990). “Analysis of time series subject to change in regime”, The Journal of Econometrics, 45, 39-70.
Hendricks, W., Kempa, B. (2008). “Asymmetric transmission of monetary policy in Europe: A markov-switching approach”, Journal of Economic Integration, 23(4), 873-895.
Kiyotaki, N. and Moore, J. (1997). “Credit cycles”. Journal of Political Economy, 105(2), 211-248.
Krolzig, H. (1997). “Markov Switching Vector Autoregressions: Modelling, Statistical Inference and Applications to Business Cycle Analysis”, Berlin, Springer-Veriag, 454(2), 65-76.
Lucas, R. (1972). “Expections and the Neutrality of Money”, Journal of Economic Theory, 4(2), 103-124.
Lucas, R. and Stokey, N. L. (1987). “Money and Interest in a Cash-in-Advance Economy”, Econometrica, Econometric Society, 55(3), 491-513.
MacCallum, B. T. (2004). Long Run Monetary Neutrality and Contemporary Policy Analysis, Paper Presented at the Eleventh International Conference of the Institute for Monetary and Economic Studies, Bank of Japan, Tokyo, July 5-6.
Mahathanaseth, I. and Tauer, L. W. (2019). “Monetary Policy Transmission Through the Bank Lending Channel in Thailand”, ELSEVIER, 60(C), 14-32.
Mankiw, N. G. & Taylor, M. P. (2011). “Macroeconomics, South-Western”, 2nd Edition, Cengage Learning, 702-703.
Mishkin, F. S. (1995). “Symposium on the Monetary Transmission Mechanism”, The Journal of Economic Perspectives, 9(4), 3-10.
Mishkin, F. S., (2001). The Economics of Money, Banking, and Financial Markets, 6th Edition, Addison Wesley Publishing Company.
Romer, C. D., Romer, D. H. (1989). “Does monetary policy matter? A new test in the spirit of Friedman and Schwartz”, National Bureau of Economic Research, NBER Working Paper Series, 4(2966), 121-184.
Smith, B., J., (2007). “An R Package for MCMC Output Convergence Assessment and Posterior Inference”, Journal of Statistical Software, 21(11), 1-37.
Tunc, C. and Kılınç, M. (2016).“The Asymmetric Effects of Monetary Policy on Economic Activity in Turkey", MPRA Paper, 72688, 1-29.
Ülke, V. and Berument, M. H. (2016). “Asymmetric Effects of Monetary Policy Shocks on Economic Performance: Empirical Evidence from Turkey”, Applied Economics Letters, 23(5), 353-360.
Varghese, R. (2018). The bank lending channel a time- varying approach, Graduate Institute of International and Development Studies International Economics Department, Working Paper No. HEIDWP10.
Walsh, C. E. (2010). Monetary Theory and Policy. Third Edition, Cambridge, MA: MIT Press.
Wilbowo, P. P. (2005). Monetary Policy Transmission Mechanism and Bank Portfolio Behavior: The Case of Indonesia, A thesis of PhD, Department of Economics, University of Birmingham.
Zhu, B., and Sebastian, S. (2017).“Housing market stability, mortgage market structure, and monetary policy: Evidence from the euro area”. Journal of Housing Economics, 37(C), 1-21.