تحلیل و ارزیابی ناترازی نظام بانکی ایران و اثر آن بر تولید با استفاده از الگوی dsge: سیاست‌های مقابله با آن

اقتصاد ایران از نظر ساختار نظام مالی یک اقتصاد بانک محور است. در یک اقتصاد بانک محور بانک‌های تجاری با دردست داشتن انحصار عرضه اعتبار به بخش واقعی، بزرگ‌ترین نهاد مالی محسوب می‌شوند. یکی از بحران‌های اخیر در اقتصاد کشورهای جهان بحران بانکی با هزینه‌های قابل توجه است. به ‌دلیل ضعف نهادهای مالی در کشور، نظام بانکی در اقتصاد ایران دارای اهمیت و آثار فراوان بر اقتصاد است. از این میان بحران ناترازی نظام بانکی بدلیل ماهیت پنهان‌اش از اهمیت ویژه برخوردار است. در این پژوهش ضمن تبیین بحران ناترازی در نظام بانکی کشور با استفاده از تحلیل داده‌های صورت‌های مالی بانک‌ها، الگویی برای محاسبه حجم ناترازی نظام بانکی در کشور و برآورد میزان حدودی دارایی‌های موهومی نظام بانکی کشور معرفی می‌شود. در چارچوب یک مدل تعادل عمومی پویای تصادفی، آثار بحران بانکی ناترازی، و شوک ناترازی نظام بانکی و آثار آن بر متغیرهای کلان اقتصاد بررسی شد. نتایج برآورد مدل نشان دهنده افت تولید و رشد اقتصادی و افزایش نوسانات اقتصادی در اثر بحران بانکی ناترازی است. کاهش تشکیل سرمایه، افزایش تورم و افزایش هزینه دستمزد و هزینه سرمایه بنگاه باعث افت تولید و رشد اقتصادی می‌شود.

an analysis of iran banking system balance sheet insolvency and its impact on economic growth using a dsge model

purpose: pricing the structure of iranian financial systems is based on banking loans and credits. for this reason, iranian commercial banks maintain the monopoly over supplying credits to various sectors. furthermore, together, they establish the biggest financial system in the economy. due to the recent widespread banking crises in many countries, including iran, and their impacts on their economies, studying banks’ balance sheet problems at the time of these crises is crucial. within the framework of a dynamic stochastic general equilibrium (dsge) model, this research explains the crisis in iran’s banking system and its effects on macroeconomic variables. specifically, this is done by estimating the limits of fictitious assets of the banking system and calculating the balance sheets insolvency. banking crises are usually characterized by two characteristics, a) major issues in the banking system, like depositors’ rush to withdraw money from banks and severe losses of the banking network, and b) ensued bankruptcies. the government has interventions in the face of losses of the banking network. the first case, which is termed as bank run and liquidity crisis, is caused by depositors’ rush to withdraw from the bank or any other situations in which the bank is unable to honor its obligation to its depositors. the second case is balance sheet crisis. this is an asset-liability gap in which the difference between a bank’s debt value and assets value exceeds the bank’s capital value. this research explores the latter issue.methodology: the purpose of this study is to design an applicable model in macroeconomics so as to investigate the effects of balance sheet crisis on the main macroeconomic variables for iran’s economy. a dsge model is used for this purpose. the main structure of the model has been designed using the works of deeb (2008 2010), agnour et al. (2012), kandak (2012) and ahmadian (2014). the most important difference is the expansion of the banking model for the specific conditions of the iranian banking system and the inclusion of balance sheet crisis as an imperative fact in the structure of that banking system. the model covers six sectors including household, firm, government, bank, oil revenue, and monetary authority. as mentioned, its distinctive feature is the application of a balance sheet shock through its most important component, namely the default of bank loans and its effect on macroeconomic variables such as production, investment and inflation. the shock of non-performing loans is modeled as a white noise shock. the white noise shock is also consistent with the behavior of delinquencies in the country’s banking system. given that the frequency of default events is very low compared to the number of loans and that defaulters have very different characteristics and considering that each loan default event occurs in different macroeconomic conditions, the default events should inevitably be considered as independent shocks.