بررسی اثر اعتبار بانک مرکزی بر نرخ بهره با تاکید بر عوامل مالی و نهادی

در این مقاله به منظور بررسی تاثیر عوامل بیرونی بر اعتبار بانک مرکزی و ارزیابی ارتباط بین اعتبار بانک مرکزی و نرخ بهره از شاخص زیان اعتباری استفاده می‌شود. از آنجا که بانک‌های مرکزی در کشورهای در حال توسعه عملکرد مناسبی در راستای هدایت تورم به سمت اهداف اعلان شده نداشته‌اند، ارزیابی اثر اعتبار بانک مرکزی بر متغیرهای اقتصاد کلان و واکاوی عوامل بیرونی اثرگذار بر اعتبار ضروری به نظر می‌رسد. بنابراین، در این مقاله تلاش می‌شود عوامل مالی و نهادی تاثیرگذار بر اعتبار بانک مرکزی تجزیه و تحلیل و با استفاده از شاخص گذشته‌نگر زیان اعتبار که عملکرد بانک مرکزی را مبنای کسب اعتبار معرفی می‌کند، اثر درون‌زای اعتبار بانک مرکزی بر نرخ بهره برای 17 کشور درحال توسعه در طی سال‌های 2019-1996 مورد ارزیابی قرار گیرد. نتیجه به دست آمده حاکی از برقراری اثر مثبت و معنی‌دار شاخص زیان اعتبار بانک مرکزی بر نرخ بهره با در نظر گرفتن درون‌زایی اعتبار است. از آنجا که عملکرد بانک مرکزی، خود تابعی از عوامل بیرونی همچون مالی و نهادی است، افزایش سطح استقلال بانک مرکزی، اجرای کامل و قانونی قواعد مالی در کنار پذیرش رسمی هدف‌گذاری تورم نه تنها با محدود کردن رفتار دولت‌ها و ایجاد انضباط مالی عملکرد بانک مرکزی را بهبود می‌بخشد، بلکه کارگزاران اقتصادی را نیز متقاعد می‌کند که دولت‌ها و بانک‌های مرکزی متعهد به وعده‌های اعلام شده هستند.

central bank credibility and its effect on interest rate with an emphasis on fiscal and institutional factors

this paper studies the effect of central bank credibility (cbc) on interest rate from the perspective of fiscal and institutional factors, using a credibility loss index. as some central banks are not successful in channeling the actual inflation towards the announced targets, it seems necessary to investigate the impact of central bank credibility on the economic variables and also analyze the fiscal and institutional determinants of central bank credibility. therefore, using a backward-looking indicator that measures the central bank’s performance as the basis for obtaining credibility, this study analyzes the impact of cbc on the interest rate, assuming credibility is endogenous for 17 developing countries during the period 1996-2019. the result indicates that increasing the level of credibility loss positively affects the level of interest rate. in other words, increasing the central bank’s credibility or improving its performance reduces the level of interest rate. since performance is a function of external fiscal and institutional factors, improving the quality of democracy in society and legal implementation of fiscal rules along with the formal adoption of inflation targeting framework not only limits the behavior of governments and establishes financial discipline, but also improves the central bank performance. this will convince economic agents that governments and central banks are committed to their promises.1. introductionwhat determines the cbc? how cbc affects the interest rate? to address these questions, we use the backward looking measure of neuenkirch and tillmann (2014) which focuses on how the private sector pays attention to the past performance of the central bank when forming expectations. this measure, a credibility loss index, is defined as a gap between the average of past inflation and target inflation. this suggests that the higher the deviation from the target, the higher the credibility loss. to clarify the main drivers of the cbc, levieuge et al. (2018) argue that there are fiscal and institutional factors, which ultimately affect the level of public’s expectations and attitude in the central bank’s ability to meet its commitment. besides, taghinezhadomran and kamal (2021) investigate that central banks in the developing countries have not performed properly in the convergence of actual inflation towards the target range which could have ramifications on the macroeconomic levels and monetary variables such as interest rates. accordingly, this paper studies the impact of credibility loss on the interest rate given the endogeneity of cbc for 17 developing countries from 1996 to 2019, using instrumental variables method. the results show that the higher the credibility loss the higher the interest rate. additionally, establishment of budget-balance rule, the increasing the level of central bank independence and the number of veto players, and also the decreasing the level of central bank holdings of public debt are the main fiscal and institutional drivers of cbc.  2. method and materialfollowing neuenkirch and tillmann (2014), we assume that the higher the credibility loss (inappropriate performance of the central bank) the higher the interest rate (eq. 2).  (1) (2)where  stands for the central bank independence index (the turnover rate). the turnover rate is counted by the number of central bank governor changes and denotes the number of veto players. veto players are defined as individual and collective actors (individual politicians, political parties, and institutions), having the power to block a proposed change in current policies. besides, their agreement is necessary before policies can be changed.  sets the balance-budget rule. is central banks holdings of government debt. represents the nominal interest rate. and are the inflation gap and the credibility loss index, respectively. is the error term (iid).