پديد آورندگان :
فراهاني، مهدي دانشگاه شيراز , مرزبان، حسين دانشگاه شيراز - بخش اقتصاد , دهقان شباني، زهرا دانشگاه شيراز - بخش اقتصاد , اكبريان، زهرا دانشگاه شيراز - بخش اقتصاد
كليدواژه :
الگوريتم EM , الگوي FAVAR , نرخ بهره صلاحديدي , نرخ بهره سايه‌‌اي
چكيده فارسي :
تعيين نرخ بهره صلاحديدي، نرخ بهره بازار را در معرض شوك هـاي مختلفي قرار مي دهد. در اين راستا، مقام پـولي مي بايد از دامنه و تاثير گذاري شوك هاي نامناسب ناشي از نرخ بهره صلاحديدي بر متغيرهاي كلان اقتصادي آگاه باشد تا متناسب با آن سياست هاي تدافعي يا حمايت كننده خود را به اجرا گذارد.در اين پژوهش با استفاده يك نرخ بهره سايه اي به نمايندگي از نرخ بهره بازار تحت الگوي خود توضيح برداري عاملي تعميم يافته و با بهره گيري از داده هاي 120 متغير اقتصاد كلان ايران طي دوره 1368 تا 1392 به اين سوال پاسخ داده شده كه آيا ارتباط معناداري بين نرخ بهره مرجع سايه اي و نرخ بهره صلاحديدي وجود دارد؟ و اگر چنين باشد «در صورت بروز يك انحراف معيار شكاف، بين نرخ بهره صلاحديدي از نرخ بهره مرجع سايه اي، واكنش كانال هاي انتقال چگونه خواهد بود؟» درخصوص پاسخ به سوال اول اينكه هر زمان شكاف نرخ سود بانكي از نرخ بهره مرجع سايه اي به سمت صفر ميل مي كند، رشد اقتصادي افزايش مي يابد، لذا به عنوان يك نظريه به سياست گذار توصيه مي شود نرخ بهره صلاحديدي را نزديك به نرخ بهره مرجع سايه اي در نظر گيرد. در پاسخ به سوال دوم واكنش چهار كانال اصلي اقتصاد ايران نسبت به يك انحراف معيار شوك نرخ بهره مرجع سايه اي از دو جنبه ماندگاري اثر و دوره اثرگذاري مورد ارزيابي قرار گرفت. نتايج حاكي از آن است كه، به لحاظ دوره اثرگذاري، كانال بازار سرمايه و نرخ ارز با انحراف حدود 0/1 درصد و كانال بازار سرمايه با 0/4 درصد انحراف از ميانگين به ترتيب كمترين و بيشترين اثرگذاري؛ و به لحاظ ماندگاري اثر، كانال مسكن و كانال بانكي تقريباً مشابه يكديگر عمل مي نمايند.
چكيده لاتين :
Goal: Imposing the discretionary interest rate renders the interest rate market susceptible to variety of shocks. Monetary officials should be well aware of the durability and temporal impacts of these shocks on the macroeconomic variables. Using 120 macroeconomic variables of Iran economy within the period of 1984-2013 , this study investigated whether there is a statistically significant relationship between the shadow reference interest rate (as a representative of the interest rate market) and prescribed interest rate? If so, what would be the consequence of the gap (difference) between these two rates in terms of the response of macroeconomic outlets?
Methodology: This paper estimates the "economy-wide" response to shocks to the interest rate using an iterative maximum likelihood estimation method.Applying Factor-Augmented Vector Autoregressive (FAVAR) method, it was investigated how macroeconomic variables respond to interest rate oscillations (shocks). To do so, first, key macroeconomic variables for Iran economy are identified (i.e., the variables that robustly represent Iran’s macroeconomic variables). As for the modeling, measurement and transfer equations have been assessed.Technically, the 120 time series constitute the measured part in a state space system. The state transition part of this system contains the dynamics of the driving forces and is represented as a vector autoregression of the shadow reference interest rate augmented by a few dynamic factors extracted from the large cross-section of time series. This state space system is denoted a factor-augmented VAR (FAVAR) by Bernanke et al. (2005). I estimate the FAVAR by the fully parametric one-step EM algorithm as an alternative to the two-step principal component method and the one-step Bayesian method in Bernanke et al. (2005). The EM algorithm which is an iterative maximum likelihood method estimates all the parameters and the dynamic factors simultaneously and allows for classical inference. I demonstrate empirically that the same impulse responses but better fit emerge robustly from a low order FAVAR with nine correlated factors compared to a high order FAVAR with fewer correlated factors, for instance six factors. This empirical result accords with one of the theoretical results from Bai & Ng (2007) in which it is shown that the information in complicated factor dynamics may be substituted by panel information.
Results: According to Bai and Ng criteria, Expectation maximization, and the model, it is argued that GDP, monetary base, oil revenues, inflation, interest rate, and exchange rate are the key macroeconomic variables. Regarding the first question, it was shown that as the difference between the shadow reference interest rate and interest rate approaches zero, economic growth increases. This result has important policy implications: Policy makers are advised to set the prescribed interest rate close to the shadow reference interest rate. As for the second question, it was examined how the four main Iran economy outlets respond to the shocks in terms of durability and the temporal impact. The results indicate that as far as the temporal impact is concerned, capital market and exchange range exhibited the minimum (0.1 percent deviation from the mean) and maximum values (0.4 percent deviation from the mean), respectively. As for the durability, housing and banking outlets show approximately similar responses. It is worth noting that the standard deviations of shocks in interest rates caused delayed responses in GDP, unemployment, consumption, and bank deposits (one year delay). This demonstrated the rigidity of these variables. Inflation and capital market variables, however, do not show any rigidity. The same result has been reported as slow and fast moving variables in Bovin and Eliasz, (2005).
Conclusion: The Central Bank should adopt necessary measures in response to the oscillations pertinent to the prescribed interest rate. Moreover, monetary officials should be well aware of the durability and temporal impacts of such oscillations on macroeconomic variables. Based on their thorough understanding of the impacts, the officials can introduce effective measures. In this study shadow reference interest rate significantly explains the macroeconomic variables. Policymakers are advised to set the prescribed interest rate close to shadow reference rate.
