شوک نفت، سیاست پولی و اثر وثیقه‌ای در اقتصاد ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانش‌آموخته دکتری دانشگاه تربیت‌مدرس، تهران، ایران

2 دانشیار، گروه علوم اقتصادی، دانشکده مدیریت و اقتصاد، دانشگاه تربیت‌مدرس، تهران، ایران

3 استاد، گروه اقتصاد، دانشکده مدیریت و اقتصاد، دانشگاه تربیت‌مدرس، تهران، ایران

4 استاد، گروه اقتصاد، دانشکده علوم اقتصادی و اجتماعی، دانشگاه بوعلی‌سینا، همدان، ‌ایران

چکیده

بحران مالی سال 2007، نقش دارایی‌های سرمایه‌ای در بروز نوسانات اقتصادی و ادوار تجاری را به‌خوبی نشان داد. دارایی‌های سرمایه‌ای با دارا بودن یک نقش دوگانه به‌عنوان عامل تولید و استفاده از آن به‌عنوان وثیقه برای دریافت وام از سیستم بانکی، از دو کانال مجزا بر بخش حقیقی اقتصاد اثرگذار بوده و منجر به تشدید نوسانات محصول و ادوار تجاری می‌گردد. شواهد تجربی اقتصاد ایران حاکی از این است که قیمت دارایی‌های سرمایه‌ای به علل مختلف در طول زمان در حال افزایش و نوسان بوده که از مهم‌ترین آن‌ها می‌توان به نقش درآمدهای نفتی و شوک‌های مربوطه اشاره کرد. بر همین‌اساس، درخصوص کانال اثر وثیقه‌ای این انتظار وجود دارد که با ایجاد یک شوک نفتی مثبت و افزایش درآمدهای نفتی، مخارج دولت و به‌تبع آن افزایش نقدینگی، قیمت دارایی‌های سرمایه‌ای بخش خصوصی، به‌عنوان یک وثیقه قابل‌قبول برای سیستم بانکی، افزایش یافته و همین مسئله منجر به افزایش میزان تسهیلات دریافتی بخش خصوصی، حجم سرمایه‌گذاری و به‌تبع آن تولید ناخالص داخلی گردد. به همین‌منظور این مطالعه با استفاده از داده‌های مربوط به دوره‌ی 96-1345 اقتصاد ایران و الگوی خودتوضیح برداری ساختاری (SVAR) به بررسی این مهم پرداخته است. نتایج حاصل از مدل، اثر وثیقه‌ای را برای دوره‌های کوتاه‌مدت تأیید می‌نماید؛ بنابراین درصورتی‌که سیاست‌گذار به‌دنبال تثبیت محصول در کوتاه‌مدت باشد، آنگاه لازم است که در قبال شوک‌های نفتی از سیاست ضد ادواری مناسب برای نحوه پرداخت تسهیلات به بخش خصوصی استفاده نماید تا از این‌طریق بتوان با کنترل حجم سرمایه‌گذاری بخش خصوصی به هدف موردنظر دست یافت.

کلیدواژه‌ها

عنوان مقاله [English]

Oil Shock, Monetary Policy and Collateral Effect in Iranian Economy

نویسندگان [English]

  • Ali Tahvili 1
  • Bahram Sahabi 2
  • Kazem Yavari 3
  • Nader Mehregan 4
1 Graduated PhD student in Economics, Tarbiat Modares University, Tehran, Iran.
2 Associated Professor, Department of Economical Science, Faculty of Management and Economics, Tarbiat Modares University, Tehran, Iran.
3 Professor, Department of Economical Science, Faculty of Management and Economics, Tarbiat Modares University, Tehran, Iran.
4 Professor, Department of Economics, Faculty of Economics and Social Science, Bu-Ali Sina University, Hamedan, Iran.
چکیده [English]

The 2007 financial crisis clearly demonstrate the role of capital assets in the emergence of economic fluctuations and business cycles. Physical assets with a dual role as a factor in production and use as collateral to obtain loans from the banking system in two separate channels affect the real sector of the economy and lead to intensification of product fluctuations and business cycles. Emprical evidence of Iran’s economy indicates that the price of capital assets has been rising and fluctuating over time for various reasons, the most important of which are the role of oil revenues and related shocks. Accordingly, with regard to the collateral effect channel, there is an expectation that by creating a positive oil shock and increasing oil revenues, government spending and, consequently, liquidity, the price of private equity assets, as a acceptable collateral for the banking system, will increase. This issue will lead to an increase in the amount of loans received by the private sector, the volume of investment and output. For this purpose, this study has examined this important issue using data related to the period of 1966- 2017 of the Iranian economy and the model of structural Vector Autoregressive (SVAR). The results of the model confirm the effect of collateral in short periods. Therefore, it is suggested that if the policymaker seeks to stabilize the product in the short term, then it is necessary to adopt an appropriate countercyclical policy on how to pay loans to the private sector in order to control the volume of private sector investment and stabilize the output.

کلیدواژه‌ها [English]

  • Physical Asset
  • Collateral Effect
  • Oil Shock
  • Private Investment
  • Business Cycle
  • Iran’s Economy

مراجع

Afshari, Z., Shirinbakhsh, S. A., Ravangard, S. (2014). The Effect of oil price changes on bank profitability, Journal of Economic Development Policy, 2(3), 121- 139.
Ahmadlo, M. (2015). “Analysis impact of monetary policy on asset prices in Iran’s economy”, Journal of financial econimc and development, 9(33), 105-117.
Akinboade, O. A., Makina, D. (2010). “Econometric analysis of bank lending and business cycles in south africa”. Applied Economics, 42(29), 3803-3811.
Al-Khazali, O., Mirzaei, A. (2017). “The Impact of oil price movements on bank non-performing loans: global evidence from oil exporting countries”, Emerging Market Review, 31, 193- 208.
Bahrami, J., Aslani, P. (2011). “The Analysis of oil shocks effects on residential investment dynamic stochastic general equilibrium model on real business cycles theory”, Journal of Economic Modeling Research, 1(4), 57-82.
Beheshti, M. B., Mohseni Zonuzi, F. S. (2010). “Investigation of housing market in Iran through using monetary transition mechanism”, The Journal of Economic Modeling Research, 1 (1),187-211.
Berger, A. N., Udell, G. F. (1992). “Some evidence on the empirical significance of credit rationing”. Journal of Political Economy, 100(5), 1047-1077.
Bernanke, B., Gertler, M. (1989). “Agency costs, collateral and business fluctuations”, NBER Working Paper Series, 2015, 1-52.
Bernanke, B., Gertler, M., Ghilchrist, S. (1999). “The Financial accelerator in a quantitative business cycle framework”, Handbook of Macroeconomics, 1, 1341- 1393.
Brazdic, F., Hlavacek, M., Marsel, A. (2012). “Survey of research on financial Sector modelling within DSGE models: what central banks can learn from it?”. Journal of economics and Finance, 62(3), 252- 277.
Cao, D., Nie, G. (2017). “Amplification and asymmetric effects without collateral constraints”. American Economic Journal of Macroeconomics, 9(3), 66-222.
Chaney, T., Sraer, D., Thesmar, D. (2013). “The Collateral channel: how real estate shocks affect corporate investment”, American Economic Review, 102(6), 2381-2409.
Chen, N. K., Wang, H. J. (2007). “The Procyclical leverage effect of collateral value on bank loans—evidence from the transaction data of Taiwan”. Economic Inquiry, 45(2), 395-406.
Christensen, I., Corrigan, P., Mendicino, C., Nishiyama, S. (2016).  “Consumption, housing collateral and the canadian business cycle”, Bank of Canada Working Paper, 49(1), 207-236.
Dmitriev, M. I., Hoddenbagh, J. (2015), “The Financial accelerator and the optimal lending contract”, Technical Report, 1-39.
Esna Ashari, A., Nadri, K., Abolhasani, S., Mehregan, N., Babaee Semiromi, M. R. (2015). “Qu & Perron methodology application in recognition of the Iranian economy oil shocks”, Applied Economics Studies, 9(36), 81- 105.
Forssbæck, J., Lundtofte, F., Wilhelmsson, A. (2017). “Loan pricing over the business cycle”, Social Science Research Network, 2914567, 1- 70.
Fostel, A., Geanakoplos, J. (2014). Endogenous collateral constraints and the leverage cycle”, Annual Review of Economics, 6, 771-799.
Gholizadeh, A., Akbarian, H. (2010). “Housing investments and economic growth in iran”, Quarterly Journal of Quantitative Economics, 7(1), 105- 133.
Gholizadeh, A., Kamyab, B. (2010). “The Analysis of effect of the monetary policy on house price bubble: A cross-country study”, Journal of Economic Research, 3(3), 1-31.
Gong, L., Wang, C., Zhao, F., Zou, H. (2017). “Land-price Ddynamics and macroeconomic fluctuations with no separable preferences”, Journal of Economic Dynamics and Control, 83, 149-161.
Guerrieri, L., Iacoviello. M. (2015). “Collateral constraints and macroeconomic asymmetries”, Journal of Monetary Economics, 90, 28- 49.
Hafezi, H. (2014). “Studing the role of Banking system on private sector investment in iran”, Quarterly Journal of ravand, 21(68), 87-120.
Hammersland, R., Traee, C. B. (2014). “The Financial accelerator and the real economy: A small macroeconometric model for Norway with financial frictions, Economic Modelling, 36, 517-537.
He, Q., Liu, F., Qian, Z., Chong, T. T. L. (2017). “Housing prices and business cycle in china: A DSGE analysis”. International Review of Economics & Finance, 52, 246-256.
Heidari, H., Molabahrami, A. (2014). “Oil price shocks and monetary policy in Iran: evidences based on a dynamic stochastic general equilibrium model”, Journal of Monetary and Banking Research, 7(19), 51- 67.
Kiyotaki, N., Moore, J. (1997). “Credit cycles”, Journal of political Economy, 105(2), 211- 248.
Komayjani, A., Nazari, R. (). “Impact of oil income on government expenditures by an ARDL model”, Journal of the Empirical Studies of Iranian Economics, 1(2), 55- 90.
La’O, J. (2010). “Collateral constraints and noisy fluctuations”, Massachuestts Institute of Technology, 780, 1-53.
Liu, Z., Wang, P., Zha, T. (2013). “Land price dynamics and macroeconomic fluctuations”, Econometrica, 81(3), 1147-1184.
Matin, S., Ahmadi Shadmehri, M. T., Falahi, M. A., (2015). “An Investigation of the asymmetric effects of oil price fluctuations on the composition of the government's expenditures in Iran (The application of mork and hamilton definitions), Monetary and Financial Economics, 10(1), 22- 58.
Mishkin, F. S. (2007). “Housing and the monetary transmission mechanism”, NBER Working Paper, 13518, 1-56.
Mohammadi, T., Mirabii Zadeh, M. (2016). “Analysis of the effect of oil revenues on Iran᾽s economy: dynamic stochastic general equilibrium model”, Quarterly Journal of Quantitative Economics, 4(51), 45- 74.
Naderan, E. (2004). “The Effect of credit policies on the value added in the Iranian manufacturing sector”, Journal of Iran’s Economic Essays, 1(1), 9- 41.
Pedram, M., Shirinbakhsh, S., Afshar, A. (2011), “The Role of house prices in the monetary transmission mechanism: SVAR approach and counterfactual simulation”, Journal of Monetary and Banking Research, 3(7), 77- 108.
Prieto, E., Eickmeier, S., Marcellino, M. (2016). “Time variation in macro-financial linkages”. Journal of Applied Econometrics, 31(7), 1233-1215.
Quadrini, V. (2011). “Financial frictions in macroeconomic fluctuations”. Economic Quarterly, 97(3), 209-254.
Rampini, A. A., Viswanathan, S. (2010). “Collateral, risk management, and the distribution of debt capacity”, The Journal of Finance, 10(6), 2293-2322.
Sharif Azadeh, M. R., Kaghazian, S. (2008). “The Evaluation of effective factors on business cycles in Iran's economy”, Journal of Iran’s Economic Essays, 5(9), 199-236.
Sharifi-Renani, H., Ghobadi, S., Amrollahi, F., Honarvar, N. (2011). “The Role of asset price channel in monetary transmission mechanism in Iran: The case of housing price”, The Journal of Economic Modeling Research, 1 (3), 29-43.
Stock, J. H., Watson, M. W. (2003). “Has the business cycle changed? Evidence and explanations”, Federal Reserve Bank of Kansas, 9-56.
Tahsili, H., Shakeri, A., Ghasemi, R., Salimifar, M., Jahangard, E.  (2011). “The Investigation of housing fluctuations and its relation with business cycles in economy of Iran”, Journal of Economics and Regional Development, 19(3), 122- 150.
Tahvili, A., Sahabi, B., Yavari, K., Mehregan, N. (2019), “Business cycle and financial accelerator in Iran economy”, Quarterly Journal of Quantitative Economics, 16(1), 1 -23.
Taiebnia, A., Ghasemi, F. (2007). “The Role of oil price shocks in business cycles in Iran's economy”, Journal of Economic Research, 6(23), 49- 80.
Tashkini, A., Heydari, H., Shafiei, A. (2016). “Economic analysis of credit policies                                                       effects on investment in key economic sectors”, Iranian Journal of Trade Studies, 20(80), 23-43.
Tsatsaronis, K., Zhu, H. (2004). ‘What derives housing price dynamics: cross - country evidence”, BIS Quarterly Review, 65-78.
فصلنامه مطالعات اقتصادی کاربردی ایران
دوره 10، شماره 37
فروردین 1400
صفحه 27-51

فایل ها

هم رسانی

ارجاع به این مقاله

آمار