ارزیابی تاثیر مشخصه‌های بانک بر کانال وام‌دهی بانک‌ها با رویکرد favar

هدف: در این پژوهش وجود کانال وام‌دهی بانک‌ها به‌عنوان یکی از سازوکار‌های انتقال سیاست پولی و اثرگذاری مشخصه‌های بانکی بر این کانال در اقتصاد ایران بررسی‌ شده است. روش: مدل استفاده‌شده در این پژوهش، مدل favar است که برنانکه، بووین و الیاس (2005) معرفی کرده‌اند. در این پژوهش، 61 متغیر کلان اقتصادی، طی دوره 1383q1 تا 1398q4 و 24 متغیر بانکی، طی دوره 1387q4 تا 1398q4به‌کار گرفته شده است. یافته‌ها: نتایج نشان می‌دهد که سیاست پولی بر وام‌دهی بانک‌ها در اقتصاد ایران تاثیر با اهمیت و معناداری دارد. با بررسی اثر مشخصه‌های بانک بر کانال وام‌دهی، در دو حالت وام‌دهی تجمیع‌شده و تفکیک‌شده، نتایج نشان می‌دهد که واکنش وام‌دهی تجمیع‌شده بانک‌ها به سیاست پولی، بعد از لحاظ‌کردن مولفه‌های بانکی، به‌صورت بااهمیتی تغییر نمی‌کند؛ اما با درنظرگرفتن وام‌دهی تفکیک‌شده بانک‌ها، نتایج نشان می‌دهد که واکنش وام‌دهی برخی بانک‌ها به شوک سیاست پولی معنادار نیست و مشخصه‌های بانک تا حدی بر کانال وام‌دهی اثرگذارند. نتیجه‌گیری: کانال وام‌دهی را می‌توان در اقتصاد ایران کانالی فعال به‌شمار آورد که از طریق آن، بخش واقعی می‌تواند تحت تاثیر قرار گیرد. همچنین مشخصه‌های بانک بر کانال وام‌دهی اثر چشمگیری نمی‌گذارد.

evaluating the effect of bank characteristics on bank lending channel: a factor-augmented vector autoregressive (favar) approach

objective: in this study, we investigated the existence of the bank lending channel (blc) as one of the monetary transmission mechanisms and the effect of banking characteristics on this channel in the iranian economy. methods: the factor-augmented vector autoregressive (favar) model, introduced by bernanke, boivin, and eliasz (2005) was used. this research studied 61 macroeconomic variables from 2004q2 to 2020q1 and 24 banking variables from 2009q1 to 2020q1. results: the investigation delivered two main results. first, by considering the growth of m2 as a proxy of monetary policy, the monetary policy proved to have a significant effect on bank lending and the blc in the iranian economy. when identifying monetary policy shock, the response of real lending growth was found positive and significant in the quarter when the shock was identified and also in the following three quarters. substituting nominal lending growth for real lending growth, lending growth had a more significant response to the monetary policy shock. also, by considering the monetary base as a proxy of monetary policy, lending growth had a less significant response to the monetary policy shock. second, we found that bank characteristics don’t have a significant effect on the blc. we investigated the effect of bank characteristics on the blc at both aggregated and disaggregated lending. the results of the analysis of aggregated lending response showed that by including the bank factors, compared with the case where there are only economic factors in the model, the aggregated lending response doesn’t change significantly after considering the bank factors. therefore, the bank characteristics do not significantly impact the response of the aggregated lending growth to the monetary policy shock. the results of the analysis of disaggregated lending response showed that except for parsian and pasargad banks, whose lending response to monetary policy shock is positive and insignificant, other banks give positive and significant responses to monetary policy shock. overall, the bank characteristics have a more significant effect on the blc in the disaggregated lending case. conclusion: according to the achieved results, the blc can be considered an active channel in the iranian economy, by which the real economy can be affected. also, the bank characteristics don’t have a significant effect on the blc. therefore, considering the strength of the blc in the iranian economy, the very close relationship between the blc and monetary policy variable (m2), and regarding the insignificant effect of bank characteristics on the blc, monetary policy-maker should take into account the blc when setting monetary policy.