بررسی تأثیر بانکداری سایه بر انتقال سیاست پولی در ایران با استفاده از رویکرد DSGE

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد، گروه اقتصاد، دانشکدۀ اقتصاد و علوم اداری، دانشگاه سیستان و بلوچستان، زاهدان، ایران.

2 دانشیار گروه اقتصاد، دانشکدۀ اقتصاد و علوم اداری، دانشگاه سیستان و بلوچستان، زاهدان، ایران (نویسندۀ مسئول).

3 استاد گروه اقتصاد، پژوهشکدۀ اقتصاد، پژوهشگاه علوم انسانی و مطالعات فرهنگی، تهران، ایران.

10.22084/aes.2025.30883.3788

چکیده

شناخت دقیق مکانیزم‌های انتقال سیاست پولی و عوامل مؤثر بر آن، به‌منظور اجرای موفق یک سیاست پولی امری ضروری است. فعالیت بانک‌داری سایه به‌دلیل تداخل در نقش وام‌دهی بانک‌ها، می‌تواند کانال اعتباری انتقال سیاست پولی را تضعیف کند. بر این‌اساس و با توجه به افزایش فعالیت بانک‌داری سایه در نظام مالی ایران طی سال‌های اخیر، پرسش اصلی این است که بانک‌داری سایه چه تأثیری بر انتقال (اثربخشی) سیاست پولی در ایران دارد؟ هدف پژوهش حاضر بررسی تأثیر بانک‌داری سایه بر انتقال سیاست پولی در ایران است. برای این‌منظور از مدل تعادل عمومی پویای تصادفی استفاده شده است که در آن، دو سناریوی اقتصاد بدون بانک‌داری سایه و اقتصاد با بانک‌داری سایه درنظر گرفته شده است. در هر سناریو، تأثیر شوک دو سیاست پولی تغییر نرخ رشد عرضۀ پول و تغییر نرخ سود (بهره) بر متغیرهای تولید، سرمایه‌گذاری و تورم بررسی شده است. نتایج این پژوهش نشان می‌دهد که وجود بانک‌داری سایه در اقتصاد، باعث تضعیف کانال اعتباری انتقال سیاست پولی شده و تأثیر سیاست‌ پولی بر هر سه متغیر را کاهش می‌دهد. این یافته‌ها نشان می‌دهد هنگامی که بانک‌داری سایه وارد مدل می‌شود، به‌دلیل این‌که بانک‌های سایه تابع مقررات سخت‌گیرانۀ بانک مرکزی نیستند، کاهش وام‌دهی بانک‌های تجاری (سنتی) درنتیجۀ اعمال سیاست پولی انقباضی را تا حدی جبران می‌کنند. این موضوع باعث می‌شود سرمایه‌گذاری در واکنش به شوک منفی نرخ رشد پول افزایش یابد. با اعمال شوک مثبت نرخ بهره نیز واکنش متغیرهای تولید و سرمایه‌گذاری در سناریوی با بانک‌داری سایه نسبت به سناریوی بدون بانک‌داری سایه معکوس می‌گردد.  

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

The Impact of Shadow Banking on the Transmission of Monetary Policy in Iran: A DSGE Model Approach

نویسندگان [English]

  • Mehran Zarei 1
  • Marziyeh Esfandiari 2
  • Seyed Hossein Mirjalili 3
1 Ph.D. Student in Economics, Faculty of Economics and Administrative Sciences, University of Sistan and Baluchestan, Zahedan, Iran.
2 Associate Professor, Department of Economics, Faculty of Economics and Administrative Sciences, University of Sistan and Baluchestan, Zahedan, Iran (Corresponding Author).
3 Professor, Department of Economics, Faculty of Economics, Institute for Humanities and Cultural Studies, Tehran, Iran
چکیده [English]

Monetary policy is one of the most important tools for policymakers to influence macroeconomic variables including production. However, implementing this policy sometimes yields unintended consequences. Understanding monetary policy transmission mechanisms is therefore critical for effective implementation. Research following the 2008-2009 financial crisis indicates that the shadow banking activity can disrupt the monetary policy transmission and weaken its effectiveness. An analysis of Iran’s financial system reveals increasing shadow banking activity. This paper therefore examines how shadow banking affects monetary policy transmission in Iran using a DSGE model that innovatively incorporates the shadow banking sector. We compare two scenarios: a financial system without shadow banking and one including shadow banking. The effects of two contractionary monetary policies—interest rate increase and reductions in money supply growth—on GDP, investment, and inflation were analyzed under each scenario. The findings indicate that shadow banking diminishes monetary policy’s impact on all three variables by weakening the credit channel of monetary policy transmission. In the scenario without shadow banking, In the scenario without shadow banking, all three variables will decline in response to the monetary shock of decreasing money supply growth. However, in the scenario with shadow banking, investment levels are not declining but rising. The impact of monetary policy on output and inflation is diminished in the presence of shadow banking. In the case of interest rate shocks, the results also indicate a negative impact of shadow banking on the effectiveness of monetary policy.

کلیدواژه‌ها [English]

  • Shadow Banking
  • Monetary Policy
  • Output
  • DSGE Model
  • Iran’s Economy

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فصلنامه مطالعات اقتصادی کاربردی ایران
دوره 14، شماره 55
شماره انگلیسی
آبان 1404
صفحه 9-41

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