آزمون اثر جهش نرخ ارز و بحران مالی جهانی با بهره گیری از مدل پرتاب دورنبوش بر ثبات مالی سیستم بانکداری دولتی اقتصاد ایران (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
در پژوهش حاضر، ثبات مالی سیستم بانکداری دولتی اقتصاد ایران، با بهره گیری از مدل پرتاب دورنبوش و اثرپذیری از جهش نرخ ارز و بحران مالی جهانی بررسی می شود. برای این منظور، از مدل اقتصاد سنجی تغییر رژیم مارکوف سوئیچینگ طی سال های 1363 تا 1397 بهره گرفته شده است. براساس نتایج، مقدار عرض از مبدأ در رژیم اول 03/0 و در رژیم دوم 05/4- و واریانس اجزای اخلال مربوط به رژیم اول برابر 73/0 و در رژیم دوم 51/3 است. درواقع، رژیم دوم (دوران رکود) نوسان بیشتری نسبت به رژیم اول (دوران رونق) دارد؛ همچنین میزان مواجهه اقتصاد با دوران رکود برای بازه زمانی موردبررسی در پژوهش حاضر، 18 دوره رکود در مقابل 16 دوره رونق است. نتایج نشان دهنده آن است که با وقوع شوک های منفی نفتی، درآمدهای ارزی اقتصاد ایران کاهش و با وجود جهش قیمت ارزی، بحران های مالی و افزایش ریسک اعتباری، ثبات بانکی کاهش یافته است. عواملی باعث بی ثباتی درآمد بانک های دولتی شده است که اگر این مشکلات برطرف شود، دیگر دلیلی برای بی ثباتی بانک های دولتی وجود ندارد؛ ازجمله این عوامل عبارت است از: زیادبودن ریسک فعالیت بانکداری (ریسک اعتباری) و انتقال این ریسک به سایر بخش های پولی و مالی، افزایش هزینه و پیچیده شدن فرایند دریافت تسهیلات، تحمیل این هزینه به سایر تسهیلات و کاهش توان تأمین اعتبار، انحراف و تحقق نیافتن اهداف تسهیلات، اختلال در سیستم پولی و بانکی کشور، کاهش کارایی سیستم بانکی و تخصیص نیافتن بهینه ی منابع مالی به بخش های مدنظر، نقض حقوق سپرده گذاران، بدبینی کارگزاران اقتصادی به سیستم پولی و بانکی و افزایش ناامیدی نسبت به آینده، تضییع حقوق بانک ها از سوی اشخاص ذی نفوذ و ممانعت از ورود این منابع به عرصه های تولیدی اقتصاد.Testing the Effects of Exchange Rate Jumps and Global Financial Crisis Using the Overshooting Dornbusch Model for the Financial Stability of the State Banking System of Iran's Economy
Economic studies since 2000 have been more inclined to identify factors that affect the stability of banks, such as global financial crises, oil fluctuations, and exchange rate fluctuations. Due to the strong dependence of the country's economy on the banking system, the banking system’s stability is doubly important and it is significant to study the factors that disrupt this stability. This study examined the financial stability of the state banking system of Iran's economy by using the Markov switching regime econometric model and the overshooting Dornbusch Model during the years of 1984-2018. Also, the global financial crisis was taken into account based on the impact of exchange rate jumps. Based on the results, the amounts of width from the origin in the first and second regimes were 0.03 and -4.05 and the variance of the disturbance components related to the first and second regimes were equal to 0.73 and 3.51, respectively. The results showed that with the occurrence of negative oil shocks, foreign exchange earnings of Iran's economy decreased and despite currency price jumps, financial crises, and increasing credit risk, banking stability decreased due to high risk of banking activity (credit risk) and transfer. It is often said that for price stability and even economic stability, instability and liquidity flows should be avoided because if the growth of liquidity is much greater than the growth of production, according to the simple implication of some money theory, this will lead to inflation and price growth. However, it should be noted that the level of liquidity and money creation in the economy and the optimal ratio of liquidity to GDP depend on the structure of each economy, the technological complexities of goods and services, and the number of stages of their construction. Therefore, for each economy, a certain level of liquidity and money creation cannot be justified as a general rule, but the quantity of liquidity and money creation in each economy depends on the structural, technical conditions of the economy and commodities, speculative attacks, and foreign exchange market pressure. Therefore, expansionary monetary policies need to be adjusted in terms of whether or not the exchange rate is stabilized. Keywords : Financial Stability, Exchange Rate Jump, Dornbusch’s Overshooting Model, Global Financial Crisis, Econometric Modeling of Markov Switching Regime. Introduction Economic studies since 2000 have been more inclined to identify factors that affect the stability of banks, such as global financial crises, oil fluctuations, and exchange rate fluctuations. Economic sanctions and banking risks were noted. The oil crisis in recent decades is rooted in oil shocks that have occurred for a variety of reasons. Monetary and financial crises are rooted in a set of political and economic factors and market forces that affect the exchange rate in the country. Countries that have experienced these crises are witnessing stable current account deficits, increased values of imports relative to the net income from exports of goods and services in the country due to the devaluation of exports after devaluation of their domestic currency, and increased borrowing from foreign organizations that will be responsible for financing long-term projects and infrastructure of their countries (Nazar Por, Salimi, 2016). The important point is that a combination of different factors can cause these crises in the economy and resolving them requires several time periods. Of the reasons for such crises in the country are weakness of the country's monetary system, inability in the political arena and economic policy-making, loss of public confidence in the country's economic situation, and changing oil prices in the world markets that finally make people worried about the future economic situation of their country. If these problems are resolved, there will be no devaluation of the domestic currency. The theory of exchange rate jumps and their relationship to financial stability, together with its consequences, was first proposed by Dorenbusch (1982) and studied by other researchers, including Petti (1985), Adams and Grous (1986), and Grimler (1994). Dorenbusch (1982) believed that targeting the real exchange rate would affect production and price stability in two ways. On the one hand, stability of the nominal and real exchange rates will stabilize the total demand and on the other hand, the exchange rate through the supply side will affect the price level because the nominal exchange rate will affect prices through the costs of the imported intermediate goods. In other words, Dornbush believed that following the exchange rate rule would create stability in production on the one hand and destroy price stability on the other hand. Therefore, for the above reasons, he believed in the stability of the exchange rate, but accepted that prices would lose their stability by stabilizing the nominal exchange rate. Finally, he concluded that following the nominal exchange rate rule might be considered a good policy at some points but not at other times according to the economic requirements of any country. Due to the strong dependence of the country's economy on the banking system, the stability of the banking system will be doubly important; it is important to study the factors that disrupt this stability. Method and Data Given these issues, the present study examined the financial stability of the state banking system of Iran's economy by using econometric modeling of Markov switching regime and Dornbusch’s overshooting model during the years of 1984-2018 with regard to the impacts of exchange rate jumps and the global financial crisis. Findings Based on the results, the amounts of width from the origin in the first and second regimes were 0.03 and -4.05 and the variances of the disturbance components related to the first and second regimes were 0.73 and 3.51, respectively. In fact, the second regime (recession period) had more fluctuations than the first regime (boom period) in the present study. Also, based on the results of the economy's exposure to the recession period for the period under review, there were 18 recession periods versus 16 boom periods. The results showed that with the occurrence of negative oil shocks, the foreign exchange earnings of Iran's economy decreased and despite the currency price jumps, financial crises, and increasing credit risk, banking stability decreased due to high risk of banking activity (credit risk) and transfer. Imposing of this risk on other monetary and financial sectors, increasing the cost and complicating the process of receiving facilities, imposing this cost on other facilities and reducing the ability to provide credit, disruption of the monetary and banking system, reducing the efficiency of the banking system and lack of optimal allocation of financial resources to the required sectors, economic agents' pessimism about the monetary and banking system and increasing despair about the future, embezzlement of banks' rights by the influential people, and preventing these resources from entering the productive areas of the economy have all led to instability of the incomes of the state-owned banks. Conclusion and discussion It is often said that instability and liquidity flows should be avoided for price stability and even economic stability because if the growth of liquidity is much greater than the growth of production, this will lead to inflation and price growth according to the simple implications of some money theories. However, it should be noted that the level of liquidity and money creation in the economy and the optimal ratio of liquidity to GDP depend on the structure of each economy, technological complexities of goods and services, and number of their construction stages. Hence, for each economy, a certain level of liquidity and money creation cannot be justified as a general rule, but the quantity of liquidity and money creation in each economy depend on the structural and technical conditions of the economy and commodities, speculative attacks, and foreign exchange market pressure. Therefore, expansionary monetary policies need to be adjusted in terms of whether or not the exchange rate stabilizes.
تبلیغات
