چکیده:
مکانیزم انتقال پولی نشان دهنده نحوه اثرگذاری سیاست پولی بر متغیرهای کلان اقتصادی است که بر اساس آن مسیر پویای در طول زمان آنها مشخص میشود. این مطالعه بر اساس یک ساختار تعادل عمومی پویای تصادفی بیزین مبتنی بر رویکرد کینزی جدید است. در این مدل، انواع مختلف چسبندگی اسمی در معادلات ساختاری خطی شده لحاظ شده است که خطی سازی حول نقطه وضعیت پایدار صورت گرفته است. در راستای تکمیل ساختار الگوی معادلات همزمان، از قاعده تیلور با نرخ بهره سایهای (مرجع)، به عنوان ابزار پولی استفاده شده است. در این مطالعه پارامترهای الگوی خطی شده با استفاده از روش بیزین برآورد شدهاند و دادههای مورد استفاده جهت تخمین به صورت فصلی سری زمانی در دوره ( 1397 – 1369)، میباشند. همچنین به منظور بررسی صحت نتایج برآورد شده از آماره زنجیره مارکفی مونت کارلو (MCMC)، و شبیه سازی متروپلیس – هستینگز استفاده شده است. براساس نتایج حاصل از تجزیه واریانس کانالهای مؤثر برمکانیزم انتقال پولی ایران عبارتند از: کانالهای انتظارات، نرخ بهره، q توبین و ثروت. همچنین بر اساس نتایج شبیه سازی صورت گرفته افزایش نرخ بهره باعث کاهش در تولید، مصرف، سرمایهگذاری و نرخ کاربری سرمایه میشود
The Monetary transmission mechanism shows how monetary policy affects macroeconomic variables, based on which a dynamic path is determined over time. This study is based on a Bayesian stochastic dynamic general equilibrium structure based on the new Keynesian approach. In this model, different types of nominal adhesion are considered in linearized structural equations in which linearization is done around the steady state point. In order to complete the structure of the pattern of simultaneous equations, the Taylor rule with shadow interest rate has been used as a monetary instrument. In this study, the parameters of the linearized pattern are estimated using the Bayesian method and the data used to estimate the time series seasonally in the period (1990-2018). In order to check the accuracy of the estimated results, Monte Carlo Markov chain (MCMC) statistics and Metropolis-Hastings simulation have been used. Based on the results of analysis of variance, the channels affecting Iran's money transfer mechanism are: Channels of expectations, interest rates, Tobin's q and wealth. Also, based on the simulation results, increasing interest rates reduces production, consumption, investment and capital utilization rates.Monetary transmission mechanism refers to the process by which monetary policy, through macroeconomic structural equations, will affect target variables. In this structure, monetary policy affects the variables in different ways, each of which operates according to a specific trend. Each of these trends is interpreted in different ways, which in the monetary economics literature are known as interest rate channels, currency, bank lending, balance sheet, asset prices and expectations. Money transfer channels in a specific mechanism, which include the structural equations of the economy, show the flow of monetary policy influence. Therefore, in order to create such a structure, it is first necessary to extract the structural equations of macroeconomics and then to perform the desired analysis based on it. Accordingly, the present study has been done in two stages, in the first stage, the required model is designed and then the structural equations are extracted based on it. The method used to extract such a model is a stochastic dynamic general equilibrium model in which the purpose of each economic unit is specified using the basics of microeconomics and then the required equations are extracted according to the problem of each economic sector. Finally, the system of extracted equations together with the monetary rule form the mechanism of money transfer.The monetary rule reflects the behavior of monetary policymakers in determining the tools to respond to macroeconomic fluctuations. In general, there are two different tools for guiding monetary policy: the first is the monetary base growth rate, and the second is the interest rate, known as the Taylor rule. Although both rules reflect the behavior of monetary policymakers, they will have different mechanisms. In this study, the Taylor rule with shadow interest rate is used.In this study, a stochastic dynamic general equilibrium model based on the new Keynesian structure was designed and modeled by considering the types of nominal adhesions in the open economy including household, firm, foreign trade and monetary policy, and the structural equations of each sector were extracted .Based on this, first in the stochastic dynamic general equilibrium model with seasonal time series data and using Bayesian technique and Dynare software, in Matlab environment, the model parameters were estimated and in order to check the accuracy of the estimated results Monte Carlo Markey Chain Statistics (MCMC) were used. After analyzing the parameters based on simulation and considering the analysis of variance and instantaneous reaction functions, effective channels in the money transfer mechanism were identified. In order to investigate the role and contribution of each monetary and non-monetary shocks on the fluctuations of variables, analysis of variance was used.In this paper we analyzed the effects of various shocks on macro variables of Iran economy. To do, we firstly structure a DSGE model for this economy that contains demand and supply sectors with a Taylor type monetary policy rule. Then model parameters estimated using Bayesian method where MCMC statistic shows that our results are valid and capable for analysis. At the next part, we simulate the effects of a number of structural model shocks on macro variables. The results show that as a consequence of exchange rate shock is a reduction in output gap and increase in inflation rate. In recent years Iran economy experiences several crises in exchange market that all bring a common result: increasing inflation rate and reducing output gap. Since Iran exchange market has fundamental problem, thereby based on our results we expect inflationary periods for this economy coincides with recession. In Iran economy, each year, interest rate determined at the first day of year and pegged until the last day of year (although some negligible variations may occur). This leads to credit rationing and imposes a weight on banking sector. If policymakers decide to increase interest rate, then it reduces output gap and inflation because can reduce aggregate demand.
خلاصه ماشینی:
به طورکلي وجه تمايز و نوآوري اين پژوهش نسبت به مطالعات انجام شده خارجي و داخلي عبارت است از: طراحي يک مدل تعادل عمومي پوياي تصادفي باز بر اساس نرخ بهره سايه اي و استخراج کانال هاي اثرگذاري سياست پولي بر مبناي آن .
M(⇒ r(⇒ I(⇒ Y ميشکين (٢٠٠١)، نشان داد که سياست پولي اين گونه اقتصاد را تحريک ميکند که افزايش عرضه پول (M)، ميتواند سطح قيمت هاي انتظاري (Pe)، را افزايش دهد و ازاين رو، تورم انتظاري ()، افزايش مييابد که اين موضوع باعث کاهش نرخ بهره حقيقي (r⇒i−πe)، ميشود و از اين طريق باعث تحريک سرمايه گذاري (I)، و افزايش توليد (Y)، ميشود.
در حال حاضر اتفاق نظر کلي در اين مورد وجود ندارد اما ميتوان گفت در يکسري ادوار سياست پولي بانک مرکزي قرابت با قاعده مک کالم داشته و در ادواري ديگر، شاهد تغيير نرخ بهره در واکنش به نوسان هاي اقتصادي بوده و لذا قاعده 1 تيلور نيز قابل تصور است .
بر اساس نتايج حاصل از تجزيه واريانس در الگوي مبتني بر نرخ بهره سايه اي کانال هاي انتقال پولي به صورت زير مشخص شده است : کانال نرخ بهره : در نتيجه شوک نرخ بهره ، ميزان تغيير در نرخ بهره حقيقي، سرمايه گذاري و توليد حقيقي به ترتيب برابر(٤٤.
Assessing the financial shocks effects by emphasizing the interaction between the balance sheet of the banking system and the real segment of the Iranian economy: DSGE approach, Journal of Practical Theories of Economics, 3)1(, 1-28.