سیاست بهینه پولی و برآورد اعتبار سیاست گذار پولی در ایران با رویکرد DSGE (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
برای دستیابی به سیاست پولی بهینه باید به عنصر کلیدی در اثرگذاری این سیاست ها که همان اعتبار سیاست گذار پولی است توجه نمود، زیرا اعتبار کمک می نماید تا دستیابی به متغیرهای هدف گذاری شده توسط سیاست گذار با کمترین میزان نوسان و حداقل هزینه اجتماعی به دست آید. از سوی دیگر در شرایطی که اقتصاد با شوک های پیش بینی نشده مواجه باشد، استفاده از سیاستگذاری صلاحدیدی به سبب آنکه انعطاف بیشتری به سیاستگذار برای اتخاذ تصمیمات مناسب پولی می دهد، بهینه می باشد. بر مبنای این ادبیات، در این مطالعه دو هدف را دنبال نموده ایم. نخست یک الگوی تعادل عمومی پویای تصادفی برای یک اقتصاد باز و کوچک متناسب با شرایط اقتصاد ایران طراحی شده و مقدار اعتبار سیاست گذار پولی در ایران را در دو حوزه نرخ تورم و ارز را برآورد شده که این مقادیر به ترتیب معادل ترتیب معادل 1019/0 و 0099/0 به دست آمده است. سپس جهت یافتن سیاست بهینه پولی صلاحدیدی تحت تأثیر دو سناریوی اعتبار پایین و بالای سیاست گذار پولی، از رویکرد حداقل مقدار تابع زیان استفاده شده است. نتایج الگو حاکی از آن است که اعتبار سیاست گذار پولی در ایران در هر دو زمینه نرخ تورم و نرخ ارز بسیار پایین است. بررسی تابع زیان اقتصاد با شوک های پیش بینی نشده مواجه باشد، استفاده از سیاست گذاری صلاحدیدی به سبب آنکه انعطاف بانک مرکزی نشان داده است که در شرایطی که سیاستِ سیاست گذار پولی در هر دو سناریو، بیشترین وزن به کاهش شکاف نرخ ارز داده و برای سایر اهداف وزن یکسانی اختصاص داده شده است، میزان زیان در حداقل مقدار ممکن خود قرار گرفته است.Optimal Monetary Policy and Estimating the Credibility of Monetary Policy in Iran using the DSGE Approach
To achieve the optimal monetary policy, attention must be paid to a key element: the credibility of monetary policy authorities. Credibility plays a crucial role in the effectiveness of these policies, as it facilitates the attainment of targeted variables with minimal fluctuation and social cost. Conversely, in times of unexpected economic shocks, discretionary policy becomes optimal, providing policymakers with flexibility to make appropriate monetary decisions.Conversely, in times of unexpected economic shocks, the use of discretionary policy is optimal because it provids policy makers with more flexibility to make appropriate monetary decisions. In this study, we pursued two goals. First, we constructed a Dynamic Stochastic General Equilibrium (DSGE) model for an open and small economy according to the conditions of Iran's economy. We then estimated the of credibility of Iran’s monetary policy authority in managing both the inflation rate and exchange rate yielding figures of0.1019 and 0.0099 respectively. Then, in order to find the optimal discretionary monetary policy under the influence of two scenarios of low and high credibility of the monetary policy authorities, we utilized the minimum loss function approach. The results of the model indicated that the credibility of the monetary policy maker in Iran is very low in both the inflation rate and the exchange rate. Examining the loss function of the central bank showed that, in both scenarios, minimizing the exchange rate gap while assigning equal weight to other objectives leads to the lowest possible loss function value.IntroductionThe optimal monetary policy is the maximization of welfare or the minimization of social loss of economic factors that are applied according to the constraints governing a society. A very important point that governments should consider when implementing their economic policies is the ability of central banks to influence key macroeconomic variables through the implementation of these policies. The key element in the effectiveness of these policies is the credibility of the monetary policy authorities. The credibility of the monetary policy authorities depends on various factors and components, the most important of which is his commitment and ability to achieve well-defined goals. From the point of view of central banks and economists, the credit of the policymaker is important because it helps to achieve the variables targeted by the central bank with the least amount of volatility and the least social cost. The credibility of the authorities is an exogenous variable that the politician cannot influence quickly because the credibility, depends on his past behavior and his success rate in achieving the goals that he has clearly set. In this study, for the first time in the studies conducted in Iran, monetary policy was considered discretionary, and with the DSGE model, we estimated the credibility of the policymaker in the two fields of inflation and exchange rate. The difference between this study and other studies conducted so far considering the discretionary policy is that they had always first considered a rule for policy making, and then, in a discretionary policy, the parameters estimated with the assumption of the rule have been used, but in this study, no rule has been considered for monetary and exchange rate policy. After estimating the credit value of the policy authority, we entered the credit values of monetary policy authority in the central bank's loss function, which is also done for the first time in Iran.In this research, we seek to answer the following questions:How much is the credit of the monetary policy authority in the field of inflation rate and exchange rate in Iran?Optimal monetary policy by considering the credit of the monetary policy authorities, in which weights will be obtained from the central bank's loss function?MethodIn this research, we used a DSGE model for an open and small economy and we tried to adjust all parts of the model according to the conditions of Iran's economy. Then by using the Bayesian approach, we estimated the values of the model's parameters, including the credibility of the policy authorities. At last, we used the loss function approach to obtain the optimal monetary policy.Results and DiscussionWe obtained the values of the variables using the Bayesian method.
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