چکیده:
Asset-liability mismatch in balance sheet of banks shows serious challenges in banks because of the traditional methods of recording assets and liabilities at book value in Iran. The Central Bank of the country motivated and advised banks to take concrete steps in minimizing the mismatch in the asset-liability composition. This paper attempts to suggest a micro funded framework that can evaluate the role of asset and liability management in banking sector in business cycles through a DSGE model. In this paper, we use Bayesian method to estimate parameters and use national account and balance sheet data from 1981 to 2013. Results show that tightening monetary policy decreases the cost of ALM .On the other hand, raising required reserve requirement increases the cost of asset and liability management; technology shock leads to decrease of asset and liability
management cost, and the costs of ALM affects interest rate. Then, the increase of the cost of ALM leads to increase of interest rate.
خلاصه ماشینی:
"This paper attempts to suggest a micro funded framework that can evaluate the role of asset and liability management in banking sector in business cycles through a DSGE model.
On the other hand, raising required reserve requirement increases the cost of asset and liability management; technology shock leads to decrease of asset and liability Researcher, Monetary and Banking Research Institute, azam_ahmadyan@yahoo.
By substitution of the bank‟s balance sheet constraint in profit function, profit function changes to: tb (rtl rti)Lt (rtc rti)DCt [rtd (1t)rti Dt] K 1 (16) kcb (Lt Ltcb )2{d (1t)Dt 2 lLt2 eDct2} 2 2 In an optimum environment, the amount of loans, deposits, borrowing from central bank and interbank market are chosen, so that marginal benefits from these assets are equalized to the opportunity costs of holding them: l i cb (17) rt rt l Lt lcb (Lt Lt ) rc i c (18) t t c t rd 1ri (12D (19) t t t d t t According to 17 and 18, opportunity costs for loans and borrowing from central bank are given by the sum of the interbank interest rate, management costs and costs for deviating from the central bank loan target.
This model evaluates the role of asset and liability management in active banking sector in business cycles and the contribution of financial shocks, monetary policy, and technology shock to the economy fluctuations in Iran.
This paper implies that asset and liability management has a cost for banking system that affects finance, monetary policy and technology shocks."