دانشگاه سیستان و بلوچستان

  اخبار و اعلانات

 آمار

تعداد نشریات30
تعداد شماره‌ها691
تعداد مقالات6,778
تعداد مشاهده مقاله11,069,257
تعداد دریافت فایل اصل مقاله7,471,875
Keshtgar, Nafiseh, Pahlavani, Mosayeb, mirjalili, Seyed Hossein. (1400). Macro-Prudential Policies and Financial Cycle in Iran. نشریه علمی دانشگاه سیستان و بلوچستان, 13(1), 95-114. doi: 10.22111/ijbds.2021.6582
Nafiseh Keshtgar; Mosayeb Pahlavani; Seyed Hossein mirjalili. "Macro-Prudential Policies and Financial Cycle in Iran". نشریه علمی دانشگاه سیستان و بلوچستان, 13, 1, 1400, 95-114. doi: 10.22111/ijbds.2021.6582
Keshtgar, Nafiseh, Pahlavani, Mosayeb, mirjalili, Seyed Hossein. (1400). 'Macro-Prudential Policies and Financial Cycle in Iran', نشریه علمی دانشگاه سیستان و بلوچستان, 13(1), pp. 95-114. doi: 10.22111/ijbds.2021.6582
Keshtgar, Nafiseh, Pahlavani, Mosayeb, mirjalili, Seyed Hossein. Macro-Prudential Policies and Financial Cycle in Iran. نشریه علمی دانشگاه سیستان و بلوچستان, 1400; 13(1): 95-114. doi: 10.22111/ijbds.2021.6582

Macro-Prudential Policies and Financial Cycle in Iran

International Journal of Business and Development Studies
دوره 13، شماره 1، تیر 2021، صفحه 95-114    اصل مقاله (493.52 K)
شناسه دیجیتال (DOI): 10.22111/ijbds.2021.6582
نویسندگان
Nafiseh Keshtgar1؛ Mosayeb Pahlavani2؛ Seyed Hossein mirjalili3
1PhD in Economics, Department of Economics, University of Sistan and Baluchestan, Iran
2Associate Professor of Economics, Department of Economics, University of Sistan and Baluchestan, Iran
3Professor of Economics , Institute for Humanities and Cultural Studies, Iran
چکیده
Financial markets are channels for attracting surplus financial resources and allocating them to investment. Macro-prudential policy needs to consider financial cycle in order to assess the state of the financial sector, predict its developments and justify the need for specific policy tools. we examined the effect of macro-prudential policies on financial cycle of Iran's economy Over the period 2008-2018 using Unobserved Components Structural Time Series Model. We explored the effect of macro-prudential policy index and other variables on the financial cycle. The findings of this study, using the Generalized method of moments (GMM) for the time series data, suggested that the macro-prudential policy index has a negative and significant effect on the financial cycle in the Iranian economy. Also, the probability(likelihood) of a banking crisis, the interbank market loan rate and the economic growth index have positive and significant effect on the financial cycle.
کلیدواژه‌ها
Macro-Prudential Policies؛ Financial Cycle؛ Boom and Bust؛ GMM
مراجع
  1. Adrian, T., & Shin, H. (2010). Financial Intermediaries and Monetary Economics. Federal Reserve Bank of New York Staff Reports 398.
  2. Agur, I., & Demertzis, M. (2015). Will Macroprudential Policy Counteract Monetary Policy's Effects on Financial Stability?. IMF Working Paper No. 15/283.

3.    Akinci, O., Olmstead-Rumsey, J. (2015). How effective are macroprudential policies? An empirical investigation. International Finance Discussion Papers. No. 1136, Federal Reserve Board of Governors of the Federal Reserve System.

  1. Ayyagari, M., Beck, T., & Martinez. P., M. S. (2017). Credit growth and macroprudential policies: preliminary evidence on the firm level. BIS Papers chapters, in: Bank for International Settlements (ed.),Financial systems and the real economy, volume 91, pages 15-34, Bank for International Settlements.
  2. Jayaram, K., & Gadanecz, B. (2016). Macroprudential policy frameworks, instruments and indicators: a review. A chapter in: Combining micro and macro statistical data for financial stability analysis, vol. 41 from Bank for International Settlements.
  3. Blanchard, O., & Dell'Ariccia, G., & Mauro, P. (2014). Introduction: Rethinking Macro Policy II--Getting Granular. MIT Press Book Chapters, in:What Have We Learned? Macroeconomic Policy After the Crisis, edition 1, volume 1, chapter 0, pages 1-28, The MIT Press.
  4. Briguglio, L. (1995). Small Island States and their Economic Vulnerabilities. World Development. Vol. 23(9), 1615-1632.
  5. Brunnermeier, M., Crockett, A., Goodhart, C., Hellwig, M., Persaud, A., & Shin, H. (2009). The Fundamental Principles of Financial Regulation. Geneva Reports on the World Economy 11.

9.    Claessens, S., (2014). An overview of macroprudential policy tools. Ann. Rev. Financ. Econ., Forthcoming (also IMF WP 14/214).

10.              Committee on the Global Financial System (CGFS). (2010). Macroprudential Instru-ments and Frameworks: A Stocktaking of Issues and Experiences, CGFS Papers38. Bank for International Settlement, Basel.

  1. Constâncio, V., Cabral, I., Detken, C., Fell, J., Henry, J., Hiebert, P., Kapadia, S., Altimari, S. N., Pires, F., & Salleo, Carmelo. (2019). Macroprudential policy at the ECB: Institutional framework, strategy, analytical tools and policies. Occasional Paper Series. European Central Bank. 227.
  2. Dell’Ariccia, G., Igan, D., Laeven, L., Tong, H., Bakker, B., Vandenbussche, J., (2012). Policies for macrofinancial stability: how to deal with credit booms. IMF Staff Discussion Note 12/06.
  3. De Nicolò, G., Giovanni, F., Ratnovski, L., (2012). Externalities and Macroprudential policy. IMF Staff Discussion Notes, No. 12/05.
  4. Drehmann, M., Borio, C. E., & Tsatsaronis, K. (2011). Anchoring countercyclical capital buffers: the role of credit aggregates. BIS Working Paper No. 355.

15.              Freixas, X., Laeven, L., Peydró, J. L., (2015). Systemic Risk, Crises and Macroprudential Regulation. MIT Press, Boston, Massachusetts.

16.              Giese, J., Andersen, H., Bush, O., Castro, C., Farag, M., & Kapadia, S. (2014). The Credit-To-GDP Gap and Complementary Indicators for Macroprudential Policy: Evidence form the UK. International Journal of Finance & Economics, 19(1), 25-47.

17.              Goudard, C.  G., Terra, F., & Henrique, B. (2016). Macroprudential policy: an institutionalist interpretation. No. 2. PP: 25-39.

18.              https://doi.org/10.18356/bf11809a-en.

19.              Gray, S. (2011). Central bank balances and reserve requirements. International Monetary Fund. (WP/11/36).

20.              Haldane, A. G. (2013). Constraining Discretion in Bank Regulation. Bank of England Speech, Speech given at the Federal Reserve Bank of Atlanta Conference on Maintaining Financial Stability: Holding a Tiger by the Tail(s). Federal Reserve Bank of Atlanta.

  1. Hansen, L. P., & Singleton, K. J. (1982). Generalized instrumental variables estimation  of  nonlinear  rational  expectations  Econometrica: Journal of the Econometric Society, 1269-1286.
  2. A., Adnan. A., Reza. M. Md. (2016). Macroprudential policy: a tool for enhancing financial stability and Resilience in developing economy, European Journal of Business, Economics and Accountancy. Vol. 4, No. 7.

23.              International Monetary Fund. (2013b). Key aspects of macroprudential policy. Background paper. IMF Policy Paper.

24.              http://www.imf.org/external/np/pp/eng/2013/061013c.pdf.

  1. International Monetary Fund. (2011). Macroprudential policy: an organizing frame-work. https://www.imf.org/external/np/pp/eng/2011/031411.pdf.
  2. Keshtgar, N., pahlavani, M., & Mirjalili, S. H. (2019). Features of the Financial Cycle in Iran's Economy. Journal of Applied Economics Theories. 6(2). PP. 135-160.
  3. Keshtgar, N., pahlavani, M. & Mirjalili, S. H. (2019). Identification of financial markets' cycle and its relationship to exchange rate fluctuations in Iran. Iranian Economic Journal: Macroeconomics (IEJM). 14(28).

28.              Lim, C. H., Columba, F., Costa, A., Kongsamut, P., Otani, A., Saiyid, M., Wezel, T., & Wu, X. (2011). Macroprudential policy: what instruments and how are they used? Lessons from country experiences. Monetary and Capital Markets Department. IMF Working Paper 11/238.

29.              Perotti, E. C., & Suarez, J. (2011). A Pigovian approach to liquidity regulation. International Journal of Central Banking, vol. 7(4) pp: 3-41.

  1. Nymoen, R., Pedersen, K., & Sjåberg, J. I. (2019). Estimation of Effects of Recent Macroprudential Policies in a Sample of Advanced Open Economies. International Journal of Financial Studies (IJFS), 7, Issue 2.
  2. Reinhart, C., Rogoff, K. (2010). From Financial Crash to Debt Crisis. NBER Working Paper 15795. 
  3. Rossini, R. G., & Quispe, Z. (2017). Implementation of macroprudential policy in Peru, BIS Papers chapters, in: Bank for International Settlements (ed.),Macroprudential policy frameworks, implementation and relationships with other policies, volume 94, pages 257-275, Bank for International Settlements.
  4. Richter, B., Schularick. M., & Shim, I. (2018). The macroeconomic effects of macroprudential policy. Monetary and Economic Department. BIS Working Papers. No. 740.
  5. Robitaille, P. (2011). Liquidity and reserve requirements in Brazil. International Finance Discussion Papers, (1021). (Washington: Board of Governors of the Federal Reserve System).
  6. L. E.O. (2018). Monetary Policy and Macroprudential Policy: Different and Separate?. Forthcoming in Canadian Journal of Economics.  51(3). PP: 802-827.
  7. Tovar, C., Garcia-Escribano, M., & Vera-Martin, M. (2012). Credit growth and the effectiveness of reserve requirements and other macroprudential instruments in Latin America. IMF Working Paper, WP/12/142 (Washington: International Monetary Fund).
آمار
تعداد مشاهده مقاله: 587
تعداد دریافت فایل اصل مقاله: 477


سامانه مدیریت نشریات علمی. قدرت گرفته از سیناوب