خلاصة:
Banking facilities distortions lead to suboptimal allocation of financial resources and impact various sectors of the economy. In this paper, a dynamic stochastic general equilibrium (DSGE) model, specifically a New Keynesian model, is designed for the Iranian economy, considering two scenarios: the presence and absence of banking facilities distortions. The model is calibrated using Monte Carlo simulation methods with the DYNARE software. The parameter values are calibrated to accurately reflect the main characteristics of the Iranian economy during the period of 1991-2021. The main objective is to examine the effects of major economic shocks on the fluctuations of macroeconomic variables under these two scenarios. The studied shocks include monetary shock, investment shock, wage mark-up shock, and government expenditure shock, which are considered as the sources of economic fluctuations in Iran. The simulation results of the effects of the monetary policy shock indicate that, assuming the absence of banking facilities distortions in the first scenario, the effectiveness of this shock increases, indicating an increased effectiveness of monetary policy in mitigating economic fluctuations. The results also show that, assuming the absence of banking facilities distortions, the economy tends to return to equilibrium faster after experiencing negative investment shocks or wage mark-up shocks, implying a reduction in the impact of these shocks. The simulation results of the effects of government expenditure shocks also demonstrate that, assuming the absence of banking facilities distortions, the effectiveness of this shock increases
ملخص الجهاز:
Journal of Applied Economic Theories/ Year 10 / Issue 2 / Summer 2023 / Pages 145-182 Evaluating the role of banking facility deviation in the effectiveness of macroeconomic shocks within a stochastic dynamic general equilibrium model stochastic: A case study of Iran Reza Etemadpour PhD student in Economics, Shiraz University, rezaetemadpur@gmail.
Research conducted within the neoclassical school, such as the seminal studies of Lucas & Sargent 6 (1978), Kydland & Prescott 7 (1982), and Nelson & Plosser 8 (1982), often consider neutral technology shocks as the primary source of macroeconomic variable fluctuations without considering financial intermediaries (King & Rebelo 9, 1999); even DSGE models that were used before the experiences related to the 2007 financial crisis typically did not include realistic modeling of the banking sector and the macroeconomic risks arising from it (Smets & Wouters 10, 2007) and therefore were unable to provide an explanation regarding the existence of credit cycles or situations where shocks in the financial sector can directly affect the real economy or intensify other shocks (Bangad et al.
Among domestic studies, Shah Hosseini and Bahrami 9 (2013) have addressed the topic of the role of non-performing loans in the impact of monetary and financial shocks on the economy in a DSGE model; with the difference that in their model, the issue of moral hazard is not directly raised, and the household, unlike the present research, is homogeneous and possesses only a single labor force sample that is not employed in the banking sector.
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