بررسی توابع واکنش بانک مرکزی با استفاده از قاعده تیلور

بحث سیاست‌گذاری پولی قاعده مند در مقابل سیاست‌گذاری پولی صلاحدیدی از مهم‌ترین مباحث سیاست‌گذاری پولی به‌حساب می آید. اگر سیاست های پولی به صورت صلاحدیدی اجرا شوند، مقامات بانک مرکزی در شرایط مختلف اقتصادی و با توجه به وضعیت متغیرهای کلان اقتصادی ازجمله نرخ تورم و نرخ رشد اقتصادی، به صلاحدید خود واکنش نشان می دهند؛ اما اگر سیاست های پولی به صورت قاعده مند اجرا شوند، عکس العمل مقامات پولی نسبت به نوسانات اقتصادی بر اساس نظریه های اقتصادی و قواعد پولی منطبق بر آن‌ها، خواهد بود. بررسی میزان قاعده مند بودن یا صلاحدیدی بودن سیاست های پولی از اهمیت خاصی برخوردار است. به همین دلیل، در این مقاله میزان قاعده مند بودن یا صلاحدیدی بودن سیاست های پولی بانک مرکزی ایران بررسی شده است. یکی از قواعد پولی که در این مقاله به‌کارگیری آن برای ایران مورد آزمون قرار گرفته است، قاعده پولی تیلور و قاعده پولی تیلور تعمیم یافته است. قاعدۀ پولی تیلور و قاعدۀ پولی تیلورِ تعمیم یافته معروف ترین تصریح تابع عکس العمل در ادبیات اقتصادی هستند. بر اساس قاعدۀ تیلور و تیلور تعمیم یافته، مقامات پولی نسبت به انحراف تولید از تولید بالقوه و انحراف تورم از تورم هدف، از طریق تغییر در نرخ بهرۀ اسمی، به‌عنوان نوعی ابزار سیاستی عکس العمل نشان می دهند. شایان ذکر است که در این مقاله به دلیل حاکمیت سیستم بانکداری بدون ربا در ایران و به دلیل اینکه بانک مرکزی ایران پایه پولی را به‌عنوان هدف میانی سیاست پولی اعلام می کند، به جای استفاده از نرخ بهره از نرخ رشد پایه پولی استفاده شده است.دو مدل مختلف با بهره گیری از داده های دوره زمانی 1353-1392 بر اساس روش رگرسیون معمولی برآورد شدند. نتایج به دست آمده از تخمین معادلات مربوط به واکنش بانک مرکزی در مدل ها، نشان داد که واکنش بانک مرکزی نسبت به متغیر شکاف تولید مبتنی بر قاعده ولی نسبت به متغیر انحراف از تورم مبتنی بر صلاحدید است.

Examining the Functions of Central Bank’s Reaction Using Taylor’s Rule

IntroductionMonetary policies are one category of economic policies. Central banks use monetary policies for reducing inflation and for increasing production, employment and economic rate growth. Implementation of monetary policies can be done as a rule based monetary policy or as a discretionary monetary policy by central banks. Discussion of rule based monetary policy and discretionary monetary policy is of the most important issues of monetary policy making. In the case of discretionary monetary policies, central bank authorities react to their discretion in various economic conditions and based on the various situations of macroeconomic variables such as inflation and economic growth rates. But in the case of systematic monetary policies, central bank authorities will react to fluctuations in the economy, based on economic theory and monetary rules. Estimation of the amount of regulation or discretion of monetary policy is of special importance. Hence, in this study, the issue of rules versus discretion in monetary policies of Iran’s central bank will be examined.Theoretical Frame workFriedman 's (1969) monetary rule is one of the monetary rules based on which regulatory based monetary policies are executed. Friedman 's monetary rule was known as the main monetary rule for many years. Friedman believes that in situations where there is uncertainty about the duration of the effectiveness of monetary policy, the discretionary management of the supply of money can increase economic volatility, so he has proposed constant growth monetary rule. Other monetary rules whose application in Iran is investigated in this paper, are Taylor rule and the augmented Taylor rule. Taylor rule and the augmented Taylor rule are the most famous specified reaction function in the economic literature. According to the Taylor rule and the augmented Taylor rule, monetary policymakers react to deviations of output from the potential output and deviations of inflation from target inflation through change in the interest rate as a policy instrument. It is worth noting that due to the rule of interestfree banking system in Iran and due to Iran 's central bank’s use of monetary based policies as an intermediate target in monetary policy, in this study, the growth rate of monetary base has been used instead of the interest rate.MethodologyIn order to examine the amount of regulation of the monetary policies of Iran Central Bank, the following two models were designed The first model is specification of model for augmented Taylor rule under the first scenario for target inflation:BM = C(1) + C(2)*BM(1) + C(3)*GDPGAP + C(4)*INFGAPThe second model is specification of model for augmented Taylor rule under the second scenario for target inflation BM = C(1) + C(2)* BM (1) + C(3)*GDPGAP + C(4)*INFGAPTIn the above models, BM, BM (1), GDPGAP and INFGAP are monetary base, the first lag of monetary base, deviations of the actual GDP from potential GDP and deviations of the inflation from target Inflation, respectively. Also, C(1), C(2), C(3) and C(4) are variable coefficients. The above models are estimated using the least squares regression during the period 19742013. The results of estimated models are reflected in the results and discussion part.Results and DiscussionThe results obtained from the estimated equations for central bank 's response showed that the coefficient of policy variable of deviations of the actual GDP from potential GDP is significant. But the coefficient of deviations of the inflation from target inflation is not significant. Hence, findings of this research indicate that the behavior of the central bank of Iran with respect to deviations of the actual GDP from its potential is systematic and is based on rule than discretion. But the behavior of the central bank of Iran with respect to deviations of the inflation from target inflation was based on discretion and has not been systematic or rule based during the study periodConclusion and SuggestionsDetermination of monetary policies based on the discretion instead of determination of them based on rule, often cause inflation and economic instability in Iran. Therefore, in order to reduce social loss of intensifying inflation such as class discrimination and creating appropriate atmosphere for economic growth, the reaction functions of central bank of Iran in response to inflation deviations from its target and deviations of the actual GDP from its potential, is defined. Since lack of central bank’s independence leads to the discretionary behavior, reducing dependency of the central bank to the government is suggested for establishing a systematic behavior in the monetary policies of central banks.