جستجوی مقالات مرتبط با کلیدواژه « credit shock » در نشریات گروه « اقتصاد »

Banks, as the center of financial and payment systems, play a pivotal role in providing the resources needed for economic sectors by attracting and allocating resources in the economy. Therefore, the efficiency of the banking sector is considered as a key factor in economic growth. In addition, due to the banking-centric nature of the financing system in Iran, banks provide a significant part of the need for financial resources of manufacturing companies. So, shocks in financial markets affect the performance of firms by affecting the resources available to firms and, consequently, their financial expenditures, thereby affecting the real sector of the economy. The performance of banks is, in turn, influenced by the macroeconomic environment and the decisions of the central bank as a monetary policy maker. Therefore, it is very important to study the effects of the central bank policies and the change in the behavior of banks as financial intermediaries on different sectors of the economy. The purpose of this article is to investigate the effect of central bank policies on macroeconomic variables with an emphasis on the behavior of banks as the main suppliers of capital and liquidity for the manufacturing sector.

In this article, the economic conditions of Iran are simulated in a dynamic stochastic general equilibrium model using seasonal information from 1989 to 2018, and the effects of monetary, credit and real shocks on the country's economy are analyzed. The model used for this purpose covers four parts including production sector, household sector, bank sector and central bank and government sector. At the beginning of the period, the household is the supplier of labor and keeps its resources either as a deposit with the bank or as cash. The production sector consists of three parts including the entrepreneur, the producer of capital goods and the producer of the final goods (firm). The entrepreneur is the supplier of capital, and the producer of capital uses the capital purchased from the entrepreneur and his own capital to generate new capital and, again at the end of the period, to sell the new produced capital to the entrepreneur. In this model, banks use household deposits to provide facilities to enterprises; this loan is used to produce goods. So, the bank's major task is to provide working capital for the production units and the resources required by the entrepreneur at the interest rates which are determined in advance. According to the macroeconomic conditions of Iran, these interest rates are determined by the Monetary and Credit Council in an orderly manner and target the tools of the central bank. An important point about the assumptions of this model is that, unlike most similar studies, the entrepreneur who receives the credits from banks may go bankrupt and be unable to repay the received money. This assumption is taken into account in the model, as observed in Iran’s economy. In this study, in order to design the model, the research works of Bernanke et al. (1999), Smith et al. (2007) and Boys and Zhou (2016) have been used.

Based on the results obtained from the model, the occurrence of a negative credit shock will reduce production, consumption and investment. It can also increase the interest rate on credits, raise the inflation and reduce working hours. Moreover, in case of contractionary monetary policies, production, consumption, investment, the number of working hours of the labor force and inflation can decrease while the interest on credits increases. The remarkable result about the implementation of contractionary monetary policies is that, after the implementation of this policy, the amount of credits granted by banks experiences fluctuations; it decreases at first, then increases again over a period of time, and then the effects of the shock gradually disappear.

According to the results of the model, a contractionary policy in the form of reducing the amount of credits not only has a negative effect on production and consumption but also increases inflation. In other words, reduction of the level of aggregate demand as a result of a reduction in credits does not lead to the control of inflation. This is due to the high dependence of Iran's economy on bank credit financing. Therefore, it is suggested that the central bank not control macroeconomic variables by controlling banks' interest rates and loans, because it will not have desirable results. Instead, it is recommended that the central bank direct macroeconomic variables by controlling the policy rate in the interbank market and changing the volume of bank reserves.

Collateral constraints cause an asymmetry in the relationship between the assets of firms and households and economic activities and are a central mechanism to explain the economic volatility. When housing wealth is high, collateral constraints are slack, and the sensitivity of borrowing and spending to changes in house prices is small. Conversely, when housing wealth is low, collateral constraints are tight, and borrowing and spending move with house prices in a more pronounced manner. Collateral constraint leads to a kind of friction in the financial markets and affects the behavior of households and firms as well as the performance of the banking system. The type of mortgage collateral can be one of the limitations of financing for firms in the economy. The Basel II agreement emphasizes the importance of the type and the amount of collateral for lower performing firms. Contrary to the Basel I agreement, which treats firms equally in this regard, the Basel II agreement stipulates that, if a bank engages in a riskier activity, it must invest more of its capital in order to maintain the bank's stability. Increasing the risk of the borrower customer increases the amount of overdue receivables of the bank and increases the amount of storage in the bank's capital. In this case, when the amount of non-current facilities in the bank increases, the only source that the bank can use to return its resources is the relevant documents. Therefore, the bank prefers to enforce some collateral. The purpose of this article is to investigate the role of collateral constraints in the banking system and their impacts on the performance of the banking system. Regarding collateral constraints, the trend of research in the literature following Kiyotaki and Moore (1997) has stressed the importance of the link between the value of borrowers’ collateral and their access to funds in amplifying the economy’s response to shocks. The core of our analysis is a standard monetary DSGE model augmented to include a housing collateral constraint along the line set by Kiyotaki and Moore (ibid), Iacoviello (2005), and Liu et al., (2013).   We discuss the collateral constraint effect on banking system and macroeconomic variables in two steps. First, we construct a general equilibrium model and estimate it with Bayesian likelihood methods. The estimated model implies that collateral constraints become slack during economic volatility. In this study, a dynamic stochastic general equilibrium model is used for the period of 1990-2020. Different central banks consider different combinations of pricing-based policies, collateral and quantitative restrictions to manage their credit supply. In general, the conditions that justify the use of these options are mainly based on the preferences of central banks regarding credit and systemic risk, liquidity management technologies and the cost of credit documents. In order to model the collateral credit limit, two scenarios have been considered. In the first one, it is assumed that the banking system does not show any reaction to the performance of the credit-receiving enterprise. But, in the second scenario, the corporate profit function is included in order to show the impact of the bank participation in the loans granted by the banking system and the real participation in economic activities. The theoretical and empirical results of this research show that changes in the prices of assets can produce asymmetries that are economically and statistically significant. We now consider whether these asymmetries are also important for gauging the effects of policies aimed at the credit market. The results obtained from the credit shock in the model and the comparison of the model scenarios have shown that, if the bank considers itself as a real partner in the credit activity, it is far from the situation in which to act only as a financial intermediary. Also, if the firm is unable to repay its debt, it will be more profitable and its effects on macroeconomic variables such as production, investment and reduction of bank operating costs will be better. In this paper, we provide a theoretical framework for the analysis of banking system performances in the presence of financial frictions and in the form of collateral constraints and a monopolistically competitive banking sector. In our economy, consumers are divided into households and firms who serve respectively as savers and borrowers. The resulting credit flows are intermediated by banks, which have some monopolistic power in the loans market and set optimal lending rates accordingly. The results obtained from the credit shock in the model and the comparison of the model scenarios have shown, if the firm is unable to repay the debt, it will be more profitable and its effects on macroeconomic variables such as production, investment and reduction of banking operating costs will be better. According to the results, it is suggested that the country's banks refrain from applying formal contracts in the form of banking contracts only due to short-term returns; instead, they should implement banking contracts in a real way and participate in the bank's activities in the long run. They will, thus, have a relatively higher profitability.