چکیده:
این مقاله به بررسی رابطه بین نوسانات تورم و میزان تسهیلات اعطایی قرضالحسنه بانکهای تجاری طی سالهای ۱۳۹۳- ۱۳۸۴ با استفاده از دادههای ماهیانه میپردازد. به این منظور از روش همبستگی شرطی پویای تصحیح شده (cDCC) الگوی خودرگرسیونی تعمیم یافته مبتنی بر واریانس ناهمسان شرطی (MGARCH) استفاده میشود. نتایج به دست آمده حاکی از این است که بین نااطمینانی تورم و میزان تسهیلات اعطایی قرضالحسنه همبستگی مثبتی وجود دارد. بدین معنی که برخلاف تصور موجود با افزایش نوسانات تورم، افزایش قیمت تمام شده پول برای بانکها و نیز کاهش قدرت خرید مردم، میزان سپردههای قرضالحسنه و درنتیجه تسهیلات اعطایی از محل این سپردهها کاهش نمییابد. این نتیجهگیری میتواند تاثیر مستقیمی بر نحوه سیاستگذاری بانکها داشته باشد. بانکها در دوران تورم و برای جلوگیری از کاهش میزان سپردههای مدتدار خود، سیاستهایی را اتخاذ میکنند که سپردهگذاران را تشویق به این نوع سپردهگذاری نمایند. این سیاست بانکی در صورت اثرگذار بودن بایستی باعث کاهش میزان سپردههای جایگزین همانند سپردههای قرضالحسنه گردد. این مساله دقیقا به معنی کاهش میزان تسهیلات قرضالحسنه اعطایی بانکها در این بازه زمانی است؛ درحالیکه نتایج به دست آمده از این پژوهش عکس مساله بالا را نشان میدهد. این بدان معنی است که بانکها برای حفظ منابع مالی خود در دوران تورم بایستی به فکر اتخاذ سیاستهای مناسب دیگری باشند.
Undoubtedly، the financing structure in each country's economy is considered to be the main element of the economic system of that country، because the life of an economy depends on its production and growth in its various fields، and its production and growth will not be realized without the required financial resources. The task entrusted to the economic system of the country is within the framework of its financing structure.
According to some economic experts، in Iran، the state budget، private sector savings and external resources are three determinants of financing sources. This means that active enterprises in various fields of production can pay for these resources to cover their needs. The government budget as one of the sources of financing firms due to dependence on oil revenues، can not be a powerful stimulus to sustain economic growth in the country. With regard to foreign sources، because of the sanctions، there can be no special account on them to finance various production sectors. Thus، it can be concluded that in the current economic conditions، the only possible option for financing firms is private sector savings; which can be equipped with the capital market and the money market (i.e.، banks). Therefore، given that turbulence or fluctuations in inflation is one of the challenges in the banking system، what is highlighted in this paper is the uncertainty associated with inflation، and with the amount of bank loan facilities، and the facilities that most small and medium-sized enterprises have need to survive in the current state of the economy. Specifically، cheap bank facilities are referred to as facilities that are used by low-cost bank's resources for applicants.
Considering the importance of the banking system in the financing structure of firms and also need of small and medium firms for cheap banking facilities، and the banks' actions in the face of fluctuations of economic variables such as inflation، in order to maintain bank's financial strength، it seems that the study of the effect of macroeconomic variables on the performance of the banking system of the country has great importance.
Since developing countries، including Iran، have a high degree of uncertainty in macroeconomic variables. And this uncertainty also affects the decisions of bank officials، this paper examines the relationship between the uncertainty of inflation and Gharz-al-hassane facilities paid by commercial banks، in the form of a two-variable GARCH model using monthly data for the period of 2005-2014.
There are several methods to assess uncertainty and volatility in variables، but the most commonly used method in most econometric studies is the use of GARCH patterns. This method، proposed by Bollerslev (1986) is a modeling based on variance of variables over time.
GARCH patterns are categorized in a general classification based on the number of variables in the pattern، into univariate patterns and multivariate patterns. Single-GARCH patterns have limitations that make them difficult to use; one assumes that the conditional variance of each series is independent of all other series. In addition، in this type of models، covariance between series is not considered as an important factor of volatility of variables. These limitations make these patterns in many cases unrecognizable. The multivariate GARCH patterns can potentially overcome the deficiencies and defects of single-variable patterns. Multivariate patterns are very similar to single-variable models، and hence their estimates are similar to simple GARCH-single-variable patterns. However، in addition to the previous equations، there are certain equations for expressing how covariance moves over time (Heidari & Bashiri، 2011).
The first type of GARCH multivariate patterns is the Vech (q، p) pattern introduced by Bollerslev، Engle and Woldrige (1988). In 1991، another class of Vech (q، p) was introduced by Baba، Engle، Kraft and Kroner (1991) which became known as BEKK. This pattern has an interesting feature that، by applying several constraints، the variance-covariance matrix is a positive and definite condition. The problem with previous GARCH multi-variable protocols، including DCCs، is that they are not compatible; therefore، in order to avoid inappropriate results for estimating the conditional mean، variance، and variance of variables of inflation and facilities of the borrower، we use the cDCC model of MGARCH (1،1).
The results from the cDCC model estimation show that the uncertainty of inflation on the amount of Gharz-al-hassane facilities had a positive effect; which was not statistically significant at 5% level. On this basis، it can be concluded that with the increase of inflation، which is a depreciation of the money value and consequently a decline in the purchasers' purchasing power، the amount of Gharz-al-hassane loans has also increased. This is while expected in inflationary conditions، people withdraw these deposits or convert into long-term deposits. In the case of banks، it is also expected that by increasing inflation and rising money prices، and applying incentive policies to attract more long-term deposits instead of Gharz-al-hassane deposits، as a result، the amount of Gharz-al-hassane funds will be reduced and the amount of bank facilities will be lowered from these sources. However، the results indicate inverse of this issue in the selected time frame. It is a result that can prevent the adoption of false policies by the banking authorities. Thus، the banks are aware of the positive correlation between the inflationary fluctuations، that are increasing in inflation in the Iranian economy، and the commercial loans granted by commercial banks، withdrew its previous policies and put new policies in place to keep their capital under inflationary conditions.
As a suggested strategy، banks can use this in the context of the inflationary period in which some firms and households suffer from a drop in supply and demand due to rising prices، in order to adjust the business cycles; Thus، during this period، the resources of its Gharz-al-hassane deposits، which have not been reduced due to inflationary fluctuations، will be provided to this sector of enterprises and households. In this way، firms can continue to produce، and households are also buying power، both of which are a step towards more production and prosperity. On the other hand، the banks themselves have received a fee from the facility، and have also made a contribution to the investments made and can partly offset the depreciation of their finances during the inflationary period.
خلاصه ماشینی:
"(رجوع شود به تصویر صفحه) شکل ٤- کوواریانس شرطی بین تورم و تسهیلات قرضالحسنه بانکی بحث و نتیج ه گیری با توجه به اهمیت نظام بانکی در ساختار تأمین مالی بنگاهها و همچنین نیاز روزافزون بنگاههای کوچک و متوسط به تسهیلات بانکی ارزانقیمت (تسهیلات قرضالحسنه که از محل سـپردههـای قرضالحسنه پرداخت می شوند)، جهـت تـأمین سـرمایه در گـردش و درنتیجـه امکـان بقـا و ادامـه فعالیـت در شـرایط رکـود اقتصـادی، و نیـز اقـدامات بانـک هـا در مواجهـه بـا نوسـانات متغیرهـای تاثیرگذار اقتصادی همچون تورم، در راستای حفظ توان مالی خود، به نظـر مـی رسـد کـه بررسـی تاثیرگذاری متغیرهای کلان اقتصادی بر عملکرد نظام بانکی کشـور، از اهمیـت بـالایی برخـوردار باشد.
در مورد بانک ها نیز انتظار می رود که با افزایش نوسانات تورم و افزایش قیمت تمام شده پول، با بکارگیری سیاست های تشویقی به جذب بیشتر سپردههای مدتدار بجای قرضالحسنه اقدام نماینـد؛ درنتیجـه میزان منابع قرضالحسنه بانکی کاهش یابد و به دنبال آن نیـز میـزان پرداخـت تسـهیلات بـانکی از محل این منابع کمتر گردد؛ این در حالی است که نتایج به دست آمده نشانگر برقراری عکس این مساله در بازة زمانی منتخب می باشد.
به این ترتیب که بانک ها با آگاهی یافتن از همبستگی مثبـت مـا بـین نوسـانات تـورمی کـه در اقتصاد ایران بیشتر به شکل افزایش تورم نمود می یابد و تسهیلات قرضالحسنه اعطایی بانـک هـای تجاری (که می تواند نشان از اعتقادات ایرانـی – اسـلامی سـپردهگـذاران باشـد؛ چراکـه بـا فـرض عقلایی بودن سپردهگذاران دلیل دیگری وجود نخواهد داشت که یک نفر در شـرایطی کـه تـورم در اقتصاد رو بـه افـزایش و ارزش پـول رو بـه کـاهش اسـت پـول خـود را در قالـب سـپردههـای قرضالحسنه فاقد سود نگهداری نماید )، سیاست های قبلی خود را کنار گذاشته و به منظور حفـظ سرمایه خود در شرایط تورمی سیاست گذاری های جدیدی به کار گیرند."