تاثیر سیاست‌های پولی و محیط‌های تورمی بر حجم سپرده بانک‌های خصوصی و دولتی در ایران (رهیافت داده‌های تابلویی پویا)

هدف: بررسی ارتباط بین محیط‌های تورمی و سیاست‌های پولی با سپرده‌های بانک‌ها یکی از مباحث مهم و اساسی در ادبیات اقتصاد پول و بانکداری محسوب شده و بخش بیشتر‌ای از مطالعات تجربی را در سال‌های اخیر به خود اختصاص داده است. هدف اصلی این مطالعه تبیین تاثیرگذاری سیاست‌های پولی و محیط‌های تورمی بر حجم سپرده 23 بانک خصوصی و دولتی طی سال‌های 13981387 است.روش: در این پژوهش ابتدا با بهره‌گیری از رهیافت غیرخطی چرخشی مارکوف محیط‌های تورمی آرام و ملایم و شدید استخراج و در ادامه به روش داده‌های تابلویی پویا و در قالب تخمین‌زننده گشتاور تعمیم یافته به برآورد اثر سیاست پولی نرخ رشد حجم نقدینگی، نرخ سود بانکی و نسبت ذخیره قانونی بانک‌ها بر حجم سپرده بانک‌ها پرداخته شده است.یافته‌ها: نتایج تخمین الگو دلالت بر این دارد که اثر متقاطع نرخ رشد حجم نقدینگی با محیط‌های تورمی شدید و نسبت ذخیره قانونی بانک‌ها تاثیر منفی و کیفیت نقدینگی و دارایی، نرخ رشد تولید ناخالص داخلی حقیقی و نرخ سود سپرده‌های بانکی تاثیر مثبت و معنادار بر حجم سپرده بانک‌های مورد بررسی داشته‌اند.نتیجه‌گیری: بر اساس یافته‌های مطالعه پیشنهاد می‌شود سیاستگذاران پولی و بانکی با کنترل حجم نقدینگی و ارتقای ظرفیت تولید و رشد اقتصادی و نیز کنترل سطح عمومی قیمت‌ها زمینه افزایش میزان سپرده‌های بانک‌ها را فراهم نمایند.

The Effects of Monetary Policy and Inflationary Environment on Deposits in Private and Governmental Banks of Iran (Dynamic Panel Data Analysis)

Objective: The relationship between monetary policy shocks and total deposits of banks are one of the main important issues in monetary economics and banking literatures and has been considered empirically in recent years. Hence, the main aim of this paper is to evaluate the relationship among these variables by applying dynamic panel data approach for 23 private and governmental banks during the 20082019. Method: For achieving this purpose, at first the inflationary environments have been extracted by Markov Switching and then, by utilizing dynamic panel data and GMM estimator the shortrun relationship between variables have been tested. Results: The empirical findings of this paper indicated that the first order lag of bank deposits has a positive and significant effect on the volume of deposits in current year and its amount is equal to 0.17. Also, the variable of the interaction of liquidity growth rate with severe inflation environments and banks ’legal reserve ratio has a negative and significant effect on private banks’ deposit volume and the variables of longterm deposit interest rate, real GDP growth rate and liquidity quality have a positive and significant effect on deposit volume. Stateowned banks are positive and meaningful, consistent with theoretical expectations. The deposit profit rate has positive and other monetary policy variables such as liquidity growth rate and rule of deposits ratio and cross effect of liquidity money growth with inflationary environment have negative impact on the total deposits of Banks. Regarding the negative and significant effect of the interaction of liquidity growth rate with high inflation environments, it can be argued that with increasing liquidity and increasing demand, the general level of prices increases and consequently inflation rate increases and the economy enters a severe inflation environment, so expect as inflation intensifies, demand for deposits in banks will decrease and the incentive to invest in alternative environments such as the foreign exchange market, gold and other assets will increase. In addition, the value of Sargan test statistics indicates that the null hypothesis is not rejected and the instrumental variables defined in the model are valid. Because the value of this test statistic shows that the instrument variables defined are not correlated with the error terms. It is worth noting that in this estimate, due to the shorter period of time under study, the secondorder interval of the volume of deposits of private and stateowned banks is considered as an instrument variable. According to the results of Arellano & Bond, it can be inferenced that the order of selfcorrelation between the disorder sentences was of the first order. Therefore, this method is a best method to eliminate the fixed effects of the model. Conclusion: Considering the negative and significant effect of the interaction of liquidity growth rate with inflationary environments on the deposit volume of the banking sector, it is suggested that economic policymakers apply contractionary monetary policies to control and decrease the volume of liquidity and control the general level of prices and inflation. Provide calm and gentle inflationary environments as well as increase the investment of individuals and legal entities with banks and help increase their deposits.