دانشگاه سیستان و بلوچستان اقتصاد باثبات 2821-1049 4 2 2023 07 23 The inter-temporal relationship between risk, capital and efficiency: ‎Evidences from Iranian Banks بررسی رابطه ی بین دوره ای ریسک، سرمایه و کارایی: ارزیابی از بانک‎‎های ایران 1 33 7799 10.22111/sedj.2023.44668.1301 FA سمیه یاری فرد دانشجوی دکتری اقتصاد، دانشکدۀ اقتصاد، دانشگاه علامه طباطبایی، تهران، ایران علی اصغر سالم دانشیار، گروه اقتصاد نظری، دانشکدۀ اقتصاد، دانشگاه علامه طباطبایی، تهران، ایران تیمور محمدی استاد، گروه اقتصاد نظری، دانشکدۀ اقتصاد، دانشگاه علامه طباطبایی، تهران، ایران عباس شاکری حسین آباد استاد، گروه اقتصاد نظری، دانشکدۀ اقتصاد، دانشگاه علامه طباطبایی، تهران، ایران، Journal Article 2023 02 07 The increase in concentration in the banking sector, along with the problems of the recent financial and economic crises, has shown the importance of banking regulations against the high risk caused by the imbalance in the banks' balance sheets and one of the basic measures in the development of banks is to increase the efficiency of these financial institutions. Therefore, efficiency in banks always has been a matter of attention, and the weakness of the banking system can be a serious threat to the stability of the macro economy. In this way, banks with their credit operations and financing for different economic sectors, they provide suitable conditions for investment and cause the increase and growth of capital and finally the national production. The aim of the current research is to inter temporal relationship between risk, capital and efficiency in Iran's banking system. For this purpose, the data of Iran's commercial and specialized banks have been collected during the years 2006 to 2019 and to evaluate the model, In order to measure the model, the efficiency of banks has been estimated using the stochastic frontier model (SFA), Then, the relationship between risk, efficiency and capital is investigated using the seemingly unrelated regression (SUR) approach. In total, the obtained results show the existence of a relationship between capital and efficiency with risk. The results indicated that with the increase in the capital ratio, the risk of banks decreases and also increasing efficiency increases risk, also with the increase in the internal rate of return of banks, the capital ratio increases and Increasing the size of the bank increases efficiency. Extended Abstract Introduction As important financial institutions, banks are the basis for the prosperity of financial markets and economic growth by reducing the information gap and uncertainty in the capital market. Today, due to the huge changes that have taken place in economic structures and financial systems, the role of banks as an influential factor in the economy has become more prominent and important than before. In fact, the nature of banks' activity is such that although they do not show signs of crisis or bankruptcy on the surface, they can carry hidden crises with them in different forms and these crises have caused the officials of the regulatory and executive institutions of the financial systems to consider the risk management of such financial institutions and the factors affecting their risk level more seriously and expertly than before (Asayesh, 2015). The aim of the current research is to inter temporal relationship between risk, capital and efficiency in Iran's banking system. Methodology To calculate the efficiency of banks as service units, there are two approaches; first, a bank that has a high efficiency can produce more products than other banks with a set of assumed and fixed data. In this definition, there is a discussion on changing the amount of production and it is called product-oriented efficiency. Second, the ratio of the minimum possible cost to the cost realized to provide a certain amount of service or output is considered compared to all the units that exist in that industry, which is called the input-oriented approach. Considering the integration and application of the efficiency variable in an econometric model and the preference of the SFA estimation method in the literature that examines the relationship between capital, risk and efficiency, in this research the stochastic frontier function method has been used to estimate the efficiency levels of the banking system (Emami Meybodi,2000). In this research, inter-temporal relationship means examining the relationship between variables based on time trends. This relationship is examined based on the empirical studies of Kwan and Isenbis in 1995, Jensen in 1986, Williams in 2003 and Michalski in 2007, within the framework of the following system of simultaneous equations: Results the data of Iran's commercial and specialized banks have been collected during the years 2006 to 2019. The results of the model estimation are presented in the following table: The results of estimation of the model EFF CAP RISK P>|z| Coefficient P>|z| Coefficient P>|z| Coefficient Variable 0.07 0.3323 0.00 -0.1125 - - Risk 0.00 1.1096 - - 0.01 -0.3635 Cap 0.08 0.0548 0.98 -0.0001 0.05 0.0081 Size 0.08 -0.2695 0.25 0.0311 0.81 0.0149 Tpbt 0.00 -0.0009 - - - - Obsta - - 0.00 1.4447 - - Roa - - - - 0.1 0.0005 Nlta - - 0.00 0.0494 0.06 0.0429 Eff 0.00 1.1838 0.56 -0.0231 0.17 -0.1117 Cons Source: research findings According to the significance level of the Risk model, it can be seen that only the coefficient of the capital ratio variable has a significant difference from zero at the 5% error level and the cost efficiency variable has a significant difference from zero at the 10% error level. In the estimated model, the capital ratio variable has a coefficient of -0.363, based on which, assuming the stability of other conditions, a one percent increase in the capital ratio has led to a 0.363 percent decrease in the bank's risk. The results of the CAP model show that the coefficient of risk variables, roa and cost efficiency has a significant difference from zero at the 5% error level. In the estimated model, the risk variable has a coefficient of -0.112, based on which, assuming the stability of other conditions, a one percent increase in the bank's risk has led to a decrease of 0.112 percent in the bank's capital. In the EFF model, the results show that the coefficient of capital variables and off-balance sheet items to total assets has a significant difference from zero at the 5% error level, and the risk variable has a significant difference from zero at the 10% error level. The aim of the current research is to inter temporal relationship between risk, capital and efficiency in Iran's banking system. For this purpose, the data of Iran's commercial and specialized banks have been collected during the years 2006 to 2019 and to evaluate the model, In order to measure the model, the efficiency of banks has been estimated using the stochastic frontier model (SFA), Then, the relationship between risk, efficiency and capital is investigated using the seemingly unrelated regression (SUR) approach. In total, the obtained results show the existence of a relationship between capital and efficiency with risk. The results indicated that the increase in the capital ratio, lesds to decrease the risk of banks and also increasing the efficiency leads to risk increasing. also with an increase in the return on assets of banks, the capital ratio increases and Increasing the size of the bank increases efficiency. Ethical Considerations Funding: The authors did not receive any financial resources for the research, writing and publication of this article Authors’ contribution: The present article is taken from the doctoral dissertation of Somayeh Yarifard with Supervisor of Ali Asghar Salem at the University of Allameh Tabataba. Conflict of interest: The authors of the article declare that there is no conflict of interest in publishing the presented article. Acknowledgments: We appreciate all the people and institutions that helped the author in conducting this research. افزایش تمرکز در بخش بانکی همراه با مشکلات بحرآن‌های اقتصادی و مالی اخیر، سبب اهمیت مقررات بانکی در برابر ریسک بالای ناشی از عدم تعادل در ترازنامه بانک‌ها شده است و کارایی بانک‌ها به دلیل نقش کلیدی و اساسی آن‌ها در اقتصاد کشورها، همواره با اهمیت بوده و عملکرد ضعیف نظام بانکی می‌تواند تهدیدی جدی برای ثبات اقتصاد کلان به شمار آید. بانک‌ها با فعالیت‌های عملیاتی و تامین مالی برای بخش‌های مختلف اقتصادی، می‌توانند شرایط مناسبی را برای سرمایه‌گذاری فراهم کنند و باعث افزایش و رشد سرمایه و در نهایت بهبود تولید ملی شوند.هدف تحقیق حاضر بررسی رابطه‌ی بین دوره‌ای ریسک، سرمایه و کارایی در نظام بانکداری ایران است. برای این منظور داده‌های بانک‌های تجاری و تخصصی ایران، طی سال‌های 1398- 1385 جمع‌آوری شده است و برای سنجش مدل ابتدا به برآورد کارایی بانک‌ها با استفاده از مدل مرزی تصادفی (SFA) پرداخته شده‌است، سپس رابطه‌ی بین ریسک، کارایی و سرمایه را با استفاده از رویکرد رگرسیون به ظاهر غیرمرتبط (SUR) مورد بررسی قرار می‌گیرد. در مجموع نتایج بدست آمده وجود رابطه بین سرمایه و کارایی با ریسک را بیان می‌کند. نتایج حاکی از آن بود که با افزایش نسبت سرمایه، ریسک بانک‌ها کاهش می‌یابد و افزایش کارایی سبب افزایش ریسک و افزایش نسبت سرمایه می‌گردد، همچنین با افزایش بازده دارایی بانک‌ها، نسبت سرمایه افزایش می‌یابد و افزایش اندازه بانک، باعث افزایش کارایی می‌شود.

https://sedj.usb.ac.ir/article_7799_19829a8c6f97c625b1ada64795c63837.pdf

دانشگاه سیستان و بلوچستان اقتصاد باثبات 2821-1049 4 2 2023 07 23 Evaluating macroeconomic shocks on banking stability with A Factor-Augmented Vector Autoregressive (FAVAR) Approach (case study: Iran's economy) ارزیابی شوک های اقتصاد کلان بر ثبات بانکی با رویکرد خودتوضیحی برداری عامل تعمیم یافته(FAVAR) (مطالعه موردی: اقتصاد ایران) 34 75 7800 10.22111/sedj.2023.43757.1252 FA ئاسو اسماعیل پور دانشجوی دکتری اقتصاد پولی، گروه اقتصاد، دانشکده مدیریت و اقتصاد، دانشگاه تبریز، تبریز ، ایران جعفر حقیقت استاد گروه اقتصاد، دانشکده مدیریت و اقتصاد، دانشگاه تبریز، تبریز، ایران. زهرا کریمی تکانلو دانشیار، گروه اقتصاد، دانشکده مدیریت و اقتصاد، دانشگاه تبریز، تبریز، ایران Journal Article 2022 10 21 The banking industry is considered one of the most important sectors of the country's economy, which can provide grounds for the growth and prosperity of the economy by organizing and properly managing its resources and expenses. Bank stability is important from different perspectives. Banking stability can indicate the structure of banking resources and the financing of bank assets.According to the literature of banking health and stability, basic capital can help banks to compensate for financial losses, and capital can be a factor that reduces the transmission of shocks and reduces the risk of banks' lending process. Although monetary and credit policies are a tool to stabilize the real sector of the economy and achieve sustainable economic growth, it is approved by the general economists and policy makers. However, macroeconomic shocks also affect the stability of the banking system. In this research, an attempt is made to use A Factor-Augmented Vector Autoregressive (FAVAR) Approach, with a relatively small scale, to evaluate macroeconomic shocks on banking stability. Recent studies indicate an increase in attention to models in which a wide range of economic information is used in their design. This has been made possible by supplementing traditional VAR models by using one or more factors. The impact of macroeconomic shocks on asset return variables, return volatility and bank capital have been investigated from bank stability Indicators. The results obtained, shock Inflation and exchange rate create a wave-like effect in the banking sector, which lasts for about 5 years in the banking sector, and on the other hand, the effect of inflation on this sector is longer and more lasting than the impact of the exchange rate shock. Extended Abstract: Introduction: The banking industry is considered one of the most important sectors of the country's economy, which can provide grounds for the growth and prosperity of the economy by organizing and properly managing its resources and expenses. Bank stability is important from different perspectives. Banking stability can indicate the structure of banking resources and the financing of bank assets. According to the literature of banking health and stability, basic capital can help banks to compensate for financial losses, and capital can be a factor that reduces the transfer of shocks and reduces the risk of banks' lending process (Ven Don Houl, 2021). The stability and stability of the banking system is one of the most important issues that is considered by economists and policymakers to stabilize the growth of an economy in the long term. In addition to destabilizing the financial sector, the instability of a country's banking system will also increase economic fluctuations. Therefore, the stability of the banking system is one of the factors affecting the GDP and economic growth of the country in the long term. The European Central Bank considers financial instability to be a situation where the existing financial system in a country, including financial intermediaries, markets and financial infrastructure, cannot withstand incoming economic shocks and cause disturbances in the functioning and functions of the financial system. . The impact of the instability of the banking system on the gross domestic product is far greater than its effect on the stabilization of the gross domestic product. In other words, it can be stated that the relationship between these two variables is direct and non-linear, that is, a decrease in banking stability will lead to a significant decrease in GDP, while stability and stability are the basis for an increase in GDP, but No, it will be the same. An increase or decrease in the stability of the banking industry affects the performance of banks, and this banking stability and instability can be caused by macroeconomic shocks, and the banking performance of the macroeconomic sectors of the country is also affected. It affects (Nazarian et al., 2016). Esoklarik et al. (2012), by investigating the identification of financial crisis, showed that high level of bank loans and financial leverage increase the probability of financial crisis. Goodhart and Hoffman (2008) presented theories about the two-way causal relationship between bank credit and macroeconomic shocks and showed that bank credit can have a direct theoretical relationship with monetary policies and that monetary policy It can also explain banking stability. With the above explanations, in addition to having an oil export economy, Iran potentially receives different effects from macroeconomic shocks, especially specific policies. The government sells foreign currency from oil exports to the central bank, as a result, when the government spends oil revenues in domestic currency and such revenues affect the reserves of the banking system, and assuming other factors are constant, the supply Money increases and actually starts circulating in the economy through the financial system. Similarly, when the central bank sells foreign currency, money leaves the economy. In contrast, monetary policy measures are not hard to define monetary conditions, which are actually determined by monetary, fiscal and foreign exchange effects (primary money creation). Because under this specific policy framework, macroeconomic shocks can be generated in an unconventional way and have an impact on the decisions of the financial system. Financial stability depends on the monetary conditions of the economy, which is the result of the evolution of the interest rate and the real exchange rate. Especially, the bad financial conditions that increase the interest rate and decrease the value of the national currency are the real factors for instability. In the first stage, these conditions are determined by political shocks that include unexpected financial and foreign exchange measures, as well as the internal response of these policies to other shocks. Macroeconomic shocks include structural shocks (three shocks). Total and two political shocks). Structural shocks are actually shocks that affect the structure of the economy, which affect banking stability (Carvallo et al, 2016). The process of financial stability or instability in the banking sector is not only affected by the decisions taken in the monetary and banking areas, with a direct impact on lenders, borrowers, the amount of savings, cost, profitability, efficiency and bank financial ratios. Accepted, but the macroeconomic shocks are the most important factors affecting the financial instability of the banking sector and ultimately the financial crisis of the countries. In the conditions of recession and prosperity, countries adopt different economic policies, each of which affects banking stability. On the other hand, with the increase in the inflation rate, the cost of money (real interest) has decreased, and this increases the willingness to receive loans, and this affects banking risk and stability in this sector. The increase in the unemployment rate and government budget deficit also causes the government to turn to expansionary policies and borrowing from banks in order to increase employment or reduce the government budget deficit, which can affect banking stability. In countries like Iran that follow the state banking system, banking stability is largely influenced by monetary policies, which are more than anything else influenced by the economic conditions of the country and the government. Usually, when facing a budget deficit, governments use expansionary monetary policy, which can lead to financial instability in the banking sector. Therefore, it is very important to know macroeconomic shocks on banking stability. Therefore, this study intends to examine macroeconomic shocks on banking stability. Method: In this research, the time series data of macroeconomic variables, banking stability from the period 1991 to 2022 have been used. The data used were selected based on the general classification of the study by Bernanke et al. (2005). This classification includes production, inflation, volume of money, oil revenues, exchange rate and bank stability, the data used are all annual and have been prepared through the central bank's time series database, it should be noted. Since it is necessary to estimate the factors using the generalized factor vector self-explanatory pattern, the variables are stationary, tests such as Dickey-Fuller's generalized unit root test and Phillips Peron's have been performed on the variables. It is necessary to explain, except for a small number of variables, all other variables are first-order accumulation and in most cases, the first-order difference of the logarithm of the variables is used in the model. The modeling of the self-explanatory model of the generalized factor vector is based on the study of Bernanke et al. (2005) and the estimation of the model using the expectation maximization algorithm is based on the study of Demsper et al. (1977) and Shamoy Stauffer (1982). It can also be said that there are several methods for measuring risk factors in the theoretical literature. A number of researchers, such as Butch et al. (2014), used the ratio of overdue loans, while Angiloni and Faia (2009) used Market-based criteria use the Z-score index by default. To measure the banking crisis, the Z-score index and the standard deviation values of asset returns are used. The Z-score measure calculates bank data, returns and fluctuations. Theoretically, Z-scores are inversely related to the probability of default, i.e. the probability of an equal footing for bank failure is sufficiently reduced. Therefore, low Z-score values indicate instability and higher probability of non-payment. The second method for measuring risk factors, cross-sectional standard deviation of asset returns (DEVROA), tries to capture the systematic fluctuations of returns (Lepetit & Strobel, 2019). In this regard, the Z index has been used in this article to measure bank stability: Where z-score is bank stability, RGDP is economic growth, INF is inflation rate, UNP is unemployment rate, EXP is exchange rate, OIL is oil revenues and DEF is government budget deficit (surplus). The second model of this article is based on the study of Bernanke et al. (2005), which evaluates the effect of macroeconomic shocks on banking stability, considering that the purpose of this article is to investigate the impact of macroeconomic shocks on banking stability, so The variables of the vector X_t should be chosen in such a way that they represent these three concepts. The data used are annual and have been prepared through the time series database of the Central Bank. The time range of the data includes the years 1991 to 2022. On the other hand, due to the uncertainty of the research variables, to avoid these problems related to the uncertainty of these variables, their growth rate has been used. In this way, the components of equation can be rewritten in the form of equation as follows: Using the estimation of the above equation, the factors or are estimated. Then the final equation will be estimated, which is actually a combination of factors as well as exogenous policy variables. Based on what was stated in the previous section, the number of factors used will be 3 factors. To estimate the final equation, the variables in the vector must first include the variables that represent macroeconomic shocks. In many studies, two variables of oil revenues and exchange rate are usually used to specify and explain macroeconomic shocks in VAR models. What is considered important is that these two variables are exogenous to the banking sector, while they are determined outside of this sector and mainly by policy makers. Therefore, the vector will include two variables, oil revenues and exchange rate, and the growth rates of these two variables have been used to avoid the problems caused by variable indeterminacy. Where _t and respectively are the inflation rate and exchange rate which actually form the vector and and B respectively are exogenous variables (inflation and exchange rate) and coefficients related to these are the variables. Results: In this article, an attempt was made to estimate a self-explanatory vector model of generalized factor with small scale to evaluate the impact of macroeconomic shocks on banking stability. The small number of variables in conventional and traditional VAR models creates two basic problems in analyzing the effects of shocks on the economy, firstly, the information available in economic statistics is not used efficiently, but only a limited number of variables are used It is used selectively and therefore the evaluation of the effects of shocks on variables in the economy will not be comprehensive and complete. The second is that the selection of variables is based on the taste and choice of researchers. Recently, a lot of attention has been paid to models in which a wider set of economic information is used. This is possible by supplementing the traditional VAR models by using one or more factors. The purpose of this article was to evaluate macroeconomic shocks on banking stability in Iran's economy. In this regard, to estimate the latent variable of banking stability in the banking sector, three indicators of asset return, bank capital and asset return fluctuations have been used, and to analyze the effect of macroeconomic shocks on asset return, asset return fluctuations and bank capital, shock response functions have been used. Using the estimation model of the article, it has been used. According to the results, inflation and exchange rate shocks create a wave-like effect in the banking sector that lasts for about 5 years, and on the other hand, the impact of inflation on this sector is more stable than the impact of exchange rate shocks. The reason for this can be the conversion of the exchange rate shock into an inflation shock after a short period through the mechanism of economic activities in the banking sector, and it becomes effective through the increase in oil revenues and the budget deficit in this sector. The results of the graphs show that the impact of inflation and exchange rate shocks initially increases bank instability, but after about one to two years, the bank enters the instability stage. This situation manifests itself in the form of a decrease in the yield of assets, bank capital and yield fluctuations, which covers the period between 10 and 20 years after the shock. With this assessment, the period of banking instability is relatively longer than the period of banking stability. This issue is compatible with the usual observations of developments in the banking sector in Iran, because according to the usual observations, there is an increase in stability in the banking sector every one to two years, and after that the instability process begins relatively. ; Therefore, it can be suggested to the policymakers to apply policies to neutralize the shocks in the banking sector in case of inflation and exchange rate shocks of the central bank, so that the return on bank assets and capital does not face a decrease and instability. Since during the period under review, exchange rate fluctuations have had the greatest effect on the deviations and instability of short-term interest rates and inflation, it is recommended that monetary policy makers consider better management in the short term. For example, in a situation where the exchange rate increases a lot, the short-term interest rate can be changed in accordance with the efficiency of the real sectors of the economy, and in a way, the speculative demand for money is reduced. Also, by reducing the budget deficit (decreasing borrowing from the central bank) and managing oil revenues through budget amendments or the issuance of corporate bonds of the central bank, he acted to control liquidity and inflation. Due to the impact of macroeconomic variables on banking stability, banks should always monitor macroeconomic variables and consider appropriate policies for economic conditions. It is suggested that economic officials eliminate the atmosphere of uncertainty governing macroeconomic variables by establishing stability in monetary and financial policies. سیاست‌های پولی و اعتباری اگرچه به عنوان ابزاری برای تثبیت بخش واقعی اقتصاد و دستیابی به رشد اقتصادی پایدار مورد تأیید عموم اقتصاددانان و سیاستگذاران است. با این حال شوک‌های اقتصاد کلان نیز به نوبه خود بر ثبات سیستم بانکی اثرگذار می‌باشند. در پژوهش حاضر سعی بر این است تا با استفاده از مدل خودتوضیحی برداری عامل تعمیم یافته(FAVAR)، با مقیاس نسبتاً کوچک برای ارزیابی شوک‌های اقتصاد کلان بر ثبات بانکی استفاده شد. مطالعات اخیر از افزایش توجه به مدل‌هایی که در طراحی آنها طیف گسترده‌ای از اطلاعات اقتصادی مورد استفاده قرار می‌گیرد، حکایت دارد. این امر با تکمیل کردن مدل‌های سنتی VAR با استفاده از یک یا چند عامل امکان پذیر شده است. تأثیر شوک‌های اقتصاد کلان بر متغیرهای بازده دارایی، نوسانات بازده و سرمایه بانک از شاخص‌های ثبات بانکی بررسی شده است.نتایج بدست آمده، شوک‌های تورم و نرخ ارز یک اثر موج مانندی در بخش بانک ایجاد می‌کنند که این اثر حدود 5 سال در بخش بانک ماندگار می‌شود و از طرفی، تأثیر تورم بر این بخش طولانی‌تر و ماندگارتر از تأثیر شوک نرخ ارز است.

https://sedj.usb.ac.ir/article_7800_28d92c1931ff6b3e23be1f4d7cc8a83b.pdf

دانشگاه سیستان و بلوچستان اقتصاد باثبات 2821-1049 4 2 2023 07 23 Economic Evaluation of Historical Tourist Attraction and Analysis of Its Affecting Factors using Multilevel Ordered Logistics Method (Case Study: Golan Historical Neighborhood of Hamadan) ارزشگذاری اقتصادی جاذبه تاریخی گردشگری و تحلیل عوامل موثر بر آن با استفاده از روش لجستیک ترتیبی چندسطحی (مورد مطالعه: محله تاریخی جولان شهر همدان) 76 111 7801 10.22111/sedj.2023.45941.1356 FA سعید دهقان خاوری استادیار، گروه اقتصاد، دانشکده علوم انسانی، دانشگاه میبد، میبد، ایران گلنوش جباری دانشجوی دکتری گردشگری ،گروه گردشگری، دانشکده علوم انسانی، دانشگاه علم و هنر ، یزد ، ایران. سید حسین میرجلیلی استاد، گروه اقتصاد، دانشکده اقتصاد، پژوهشگاه علوم انسانی و مطالعات فرهنگی، تهران، ایران Journal Article 2023 06 18 Preservation and revitalization of historical neighborhoods is considered one of the necessities of urban tourism development as a valuable heritage from the past and a part of the historical identity of human societies, which leads to the vitality of the city in the direction of sustainable tourism development. Therefore, the urban tourism approach of historical neighborhoods is effective in preserving and revitalizing the historical context, as well as economic benefits and sustainable incomes. This article deals with determining the economic value of Golan historical neighborhood in Hamadan city. The research method is applied and descriptive-analytical. The statistical population of the research is the tourists of Golan historical quarter, which was randomly surveyed from 347 people in the form of a questionnaire. Also, by using 4 models and multi-level sequential logistic method, the factors and their effect on various types of payment tendencies have been calculated. Due to the tendency to pay at different levels, the use of this method can measure the effective factors with higher accuracy. Also, the error in the stated information, if any, has less effect on the output of the model in this method than normal regression. The results show that the willingness to make a one-time payment is 40 thousand tomans and the willingness to pay annually and also to protect and prevent its destruction in the form of a per capita tax is 24 thousand tomans. Also, interest in visiting historical neighborhoods, education and employment have been identified as the most important influencing factors. The results of the conditional one-time payment model also show that education, interest and the number of annual visits are the factors that influence the approval or rejection of the payment request of the set limit (35,000 Tomans). حفظ و احیای محله‌های تاریخی یکی از ضروریات توسعه گردشگری شهری به‌عنوان میراث گران بهایی از گذشتگان و بخشی از هویت تاریخی جوامع بشری محسوب می‌شود، که منجر به نشاط و سرزندگی شهر در راستای توسعه گردشگری پایدار می‌گردد. لذا رویکرد گردشگری شهری محله‌های تاریخی در جهت حفظ و احیاء بافت تاریخی و همچنین منافع اقتصادی و درآمدهای پایدار تأثیرگذار است. این مقاله به تعیین ارزش اقتصادی محله تاریخی جولان در شهر همدان می‌پردازد. روش پژوهش از نوع کاربردی بوده و به‌صورت توصیفی- تحلیلی است. جامعه آماری پژوهش، گردشگران محله تاریخی جولان می‌باشد که به‌صورت تصادفی از 347 نفر در قالب پرسشنامه، نظرسنجی شده است. همچنین با بهره‌گیری از 4 الگو و روش لجستیک ترتیبی چند سطحی، عوامل و میزان اثرگذاری آن‌ها بر انواع تمایلات پرداخت، محاسبه‌ گردیده است. به دلیل وجود تمایل به پرداخت ها در سطوح مختلف، استفاده از این روش می‌تواند عوامل مؤثر را با دقت بالاتر اندازه‌گیری نماید. همچنین خطا در اطلاعات اظهارشده در صورت وجود، اثر کمتری بر خروجی مدل در این روش نسبت به رگرسیون معمولی دارد. نتایج نشان‌دهنده آن است تمایل به‌یکبار پرداخت اظهارشده 40 هزار تومان و تمایل به پرداخت سالیانه و همچنین جهت حفاظت و نیز جلوگیری از نابودی آن به‌صورت مالیات سرانه 24 هزار تومان است. همچنین علاقه‌مندی به تماشای محله‌های تاریخی، تحصیلات و اشتغال به‌عنوان مهم‌ترین عوامل اثرگذار مشخص‌شده است. نتایج مدل مشروط یک‌بار پرداخت نیز نشان می‌دهد که تحصیلات، علاقه‌مندی و تعداد دفعات بازدید سالانه، عواملی هستند که بر تأیید یا رد درخواست پرداخت مرز تعیین‌شده (35000 تومان) تأثیرگذار هستند.

https://sedj.usb.ac.ir/article_7801_c05edd75c01ec743cdff4b52adf81bc0.pdf

دانشگاه سیستان و بلوچستان اقتصاد باثبات 2821-1049 4 2 2023 07 23 Identifying factors affecting business cycles in Iran's economy: quantile regression approach شناسایی عوامل موثر بر سیکل های تجاری در اقتصاد ایران: رویکرد رگرسیون کوانتایل 112 145 7802 10.22111/sedj.2023.45866.1355 FA بیتا شایگانی دانشیار گروه اقتصاد، دانشگاه پیام‌نور، تهران،ایران علیرضا اقبالی استادیار گروه اقتصاد دانشگاه پیام نور تهران ایران 0000-0002-5184-1833 ابراهیم زرینی دانشجوی دکتری اقتصاد دانشگاه پیا‌م‌نور، تهران،ایران. Journal Article 2023 06 13 One of the most important indicators of macroeconomic performance is the gross domestic product, the lack of proper economic policy aimed at its stabilization and growth, leads to periods of recession in business cycles with wider effects on economic performance, especially Economic growth, unemployment and inflation. Continuous business cycles will lead to an increase in uncertainty in the level of economic activities, which will have negative effects on investment, consumption, savings and economic performance. It is very important and necessary to know the effects of factors affecting business cycles from the aspect of correctly predicting these cycles and making policies in this field. In this study, the factors affecting the business cycles in Iran were investigated with the quantile regression approach for the period 1360-1400 and the results showed that periods of stagnation in the Iranian economy with the intensification and application of new sanctions and the withdrawal of the United States from the JCPOA (Comprehensive Program) joint action) and the emergence of the Corona pandemic in Iran, especially from 2018 to 2020, have become deeper and faster. And the results of applying the ARDL method show the negative effect of labor productivity variables, employment rate and foreign trade on business cycles and the positive effect of final consumption expenditures, oil revenues and sanctions on business cycles (leading to the aggravation of recession have become economic) has been And in general, the effects of these variables on business cycles have been symmetrical. Extended abstract Introduction Gross domestic product (GDP) is one of the most important indicators of macroeconomic performance because it shows the size of a country's economy and its production capacity. The growth and stability of the level of economic activities is one of the main goals of economic policy makers. Business cycles, especially recessionary periods, have wide-ranging effects on economic performance, especially economic growth, unemployment, and inflation (Brodor et al., 2020). Business cycles are a kind of irregular fluctuations in the macroeconomic activities of countries, which are mainly created and organized based on the market economy and the activities of companies (Kanjoy et al., 2021). In other words, business cycles, which are also known as business cycles, refer to the fluctuations of the economy between periods of growth (boom) and recession (Chemingui and Eris, 2017). based on this, the period of prosperity begins almost simultaneously in most economic activities, followed by stagnation and contraction, which slows down and reduces the level of economic activity. after each period of stagnation, recovery occurs and the period of stagnation begins again. These changes are repeated many times, but they do not necessarily have a regular periodic state (Charonopoulos et al., 2021). The conventional literature of business cycles with a general approach are classified into six groups as follows: The first group, which includes economists before Keynes, and some of them consider the direction of fluctuations on the demand side and the other part on the supply side as the cause of the formation of business cycles. The second group was the Keynesians who considered the business cycle as a psychological theory because they saw its basis in economic analysis and forecasts on the optimistic or pessimistic behavior of the majority of people in the society and believed that The fragility and vulnerability of investment leads to the formation of business cycles. The third group of economists were from the Chicago school, who showed with the results of experimental tests that the rate of change in the volume of money with a long interval can form business cycles. The fourth group of new classics of the monetary branch, led by Robert Lucas, who believed that the origin of business cycles should be sought in unexpected and unforeseeable monetary policies. The fifth group of new classics in favor of true business cycles, who believe that what causes fluctuations and business cycles are tensions on the supply side, not on the demand side, and the roots of these tensions are derived from technology shocks that lead to a reduction in costs and Productivity and efficiency increase. The sixth group is the new Keynesians, who are divided into two main groups in the rooting of business cycles. The first group considers the origin of fluctuations (periods of prosperity and recession) in the stickiness of prices and wages and the second group believes that even if wages and prices are not sticky, some problems in the economy, including asymmetric information (in financial markets), can explain the roots of recession. Specification of the model In studies where the data is non-normal or not distributed, the use of traditional statistical methods such as mean and standard deviation may provide incorrect results. therefore, despite outlier data, using the quantile method can lead to more accurate results. Also, the quantile method is less sensitive to outliers due to the use of a percentage of the distribution. in many cases, the investigated data are deviated and with a high coverage of values in different ranges. In such a situation, using the quantile method can lead to a more accurate and reliable analysis of the data. because this regression has the possibility to calculate several quantiles for the regression values and calculate the corresponding confidence intervals for the results of each quantile. This advantage allows users of this method to more accurately interpret the results. In general, using the quantile method in the analysis of non-normal and non-distributed data can lead to more accurate results and avoid the problems that exist in traditional statistical methods. The quantile regression form used in this study is the following equation: In the above relation, Conditional quantile is the variable of business cycles calculated by Hodrick-Prescott filter method and It contains the desired information at time t. The variables related to the above equation are defined below and extracted from the Central Bank of Iran website. CYCLE: Business cycles (calculated by Hodrick-Prescott filter method. FORM: Formation of gross fixed capital as a percentage of GDP (percentage). EMP: Employment rate (percentage) PRO: Labor productivity (production per unit of labor) GOV: Final consumption expenditure of the government as a percentage of GDP (percentage) TR: Total import and export divided by GDP (percentage) OIL: Oil revenues SUN: Sanction index In the context of the sanctions index, in this study, the data of the sanctions index used in the study of Iranmanesh et al. (2021) have been adapted. Fuzzy logic method has been used to analyze the data and construct the index of economic sanctions in Iran for the period from 1979 to 2020. In this study, Hodrick and Prescott (1997) filter approach was used to calculate business cycles based on the following equation: In this function and potential production and actual production and T is the observation value which was 42 years in this research. The parameter λ is the weighting factor that determines the smoothness of the process. λ=1600 is used for seasonal data and λ=100 is used for annual data. Findings According to the findings of this study, the hypothesis of non-existence of collinearity among the variables of the model has been rejected. To estimate the long-term relationship between the variables of the model, the modeling approach of Sons and Shin (1999) and the unbounded error correction model (UECM) were used. And the results of the long-term relationship show that the impact of labor productivity on business cycles was negative and significant at the level of 10% error in other words, labor productivity has reduced business cycles in Iran. Also, for the variables of foreign trade, capital formation and employment rate, negative and similar effects have been obtained, that is, these variables have also reduced business cycles in the studied period. On the other hand, government final consumption expenditures and oil revenues have also had a positive and significant impact on business cycles. In other words, with the increase in government final consumption expenditures and government oil revenues, business cycles have increased in Iran. Sanction index has also had a positive and significant impact on business cycles. Economic sanctions by creating restrictions in the fields of finance, trade, financial transfer, oil sales, foreign currency inflow from exports and many other negative effects, lead to increase in fluctuations and as a result of business cycles. The results of the quantile regression show that the sign of the estimated coefficients in the quantile regression is the same as the long-term relationship in the ARDL method. But the size of the coefficients has been different in different quantiles. Based on the estimated results in the upper quantiles of business cycles, the impact of labor productivity on business cycles has decreased in total. For the foreign trade variable, with different results, it shows that in the upper quantiles of business cycles, the impact of foreign trade on business cycles has increased as a whole and the effect of the formation of gross domestic fixed capital in the upper quantiles of business cycles compared to the lower quantiles of business cycles has decreased in total. Results Iran's economy has always been in the condition of inflation stagnation in different periods. In the past decades, Iran's economy has faced problems such as high inflation, economic stagnation, international sanctions, and a drop in oil prices due to internal and external reasons. During these years, various monetary and financial policies have been implemented to reduce inflation and economic prosperity, but each of these policies has not been successful to a large extent for some reasons. In sum, the improvement and control of business cycles in the conditions of inflationary stagnation requires the use of appropriate monetary policies, improvement of the financial system, support of the labor market, reduction of dependence on exports, and increase of investment in infrastructure. Also, creating the right conditions to promote entrepreneurship and encourage investment can also help control business cycles. Finally, achieving these goals requires cooperation between the government, private sector, society and the cen یکی از مهم ترین شاخص‌های عملکرد کلان اقتصادی، تولید ناخالص داخلی است که عدم سیاست‌گذاری صحیح اقتصادی با هدف ثبات‌بخشی و رشد آن، منجر به وقوع دوره‌های رکودی در سیکل‌های تجاری با اثراتی گسترده‌تر بر عملکرد اقتصادی بویژه رشد اقتصادی، بیکاری و تورم می‌شود. چرخه‌های مداوم تجاری منجر به افزایش نااطمینانی در سطح فعالیت‌های اقتصادی خواهد شد که اثرات منفی بر سرمایه‌گذاری، مصرف، پس‌انداز و عملکرد اقتصادی خواهد داشت. آگاهی از اثرات عوامل مؤثر بر سیکل‌های تجاری از جنبه پیش‌بینی صحیح این سیکل‌ها و سیاست‌گذاری در این زمینه، بسیار مهم و ضروری است. در این مطالعه عوامل مؤثر بر سیکل‌های تجاری در ایران با رویکرد رگرسیون کوانتایل برای دوره زمانی 1400-1360 بررسی و نتایج نشان داد دوره‌های رکودی در اقتصاد ایران با تشدید و اعمال تحریم‌های جدید و خروج آمریکا از برجام (برنامه جامع اقدام مشترک) و ظهور پاندمی کرونا در ایران بویژه از سال 2018 تا 2020 عمیق‌تر و سریعتر شده‌اند و نتایج بکارگیری روش ARDL نشان دهنده تأثیر منفی متغیرهای بهره‌وری نیروی کار، نرخ اشتغال و تجارت خارجی بر سیکل‌های تجاری و اثر مثبت مخارج مصرفی نهایی ، درآمدهای نفتی و تحریم‌ها بر سیکل‌های تجاری (منجر به تشدید رکود اقتصادی شده‌اند) بوده است و در مجموع اثرات این متغیرها بر سیکل‌های تجاری متقارن بوده است.

https://sedj.usb.ac.ir/article_7802_a52157d4cc1f20cf1742a611c296a4bf.pdf

دانشگاه سیستان و بلوچستان اقتصاد باثبات 2821-1049 4 2 2023 07 23 Investigating the asymmetric effect of foreign direct investment and government health expenditure on population health in Iran بررسی اثر نامتقارن سرمایه‌گذاری مستقیم خارجی و مخارج بهداشتی دولت بر سلامت جمعیت در ایران 146 173 7803 10.22111/sedj.2023.45946.1357 FA زهرا احسانی کارشناسی ارشد اقتصاد دانشگاه بجنورد، ایران. مجید دشتبان فاروجی استادیار گروه اقتصاد دانشگاه بجنورد، ایران عبداله خوشنودی استادیار، استادیار گروه اقتصاد دانشگاه بجنورد، ایران سحر دشتبان فاروجی دکترای اقتصاد، گروه اقتصاد دانشگاه بجنورد، ایران Journal Article 2023 06 19 Improvement in human capital is considered as a critical catalyst to economic growth and development in the macroeconomic literature. Specifically, the neoclassical endogenous growth model posits that, growth in human capital impacts positively on output per worker in the long run. Hence, we have presented an empirical model to test the asymmetric effect of foreign direct investment and government health expenditure on population health in Iran using the non-linear autoregressive distributed lag (NARDL) model over the period of 1974-2021. The results of estimation of long-term coefficients for positive and negative changes in foreign direct investment and government health expenditure on population health showed that both long-term coefficients are asymmetric, positive and significant. At the same time, there is a positive and significant relationship between trade openness and population health in the long run. Also, the results showed that there is no significant relationship between the relevant variables and the health of the population in the short run. Hence, we have presented an empirical model to test the asymmetric effect of foreign direct investment and government health expenditure on population health in Iran using the non-linear autoregressive distributed lag (NARDL) model over the period of 1974-2021. The results of estimation of long-term coefficients for positive and negative changes in foreign direct investment and government health expenditure on population health showed that both long-term coefficients are asymmetric, positive and significant. At the same time, there is a positive and significant relationship between trade openness and population health in the long run. Also, the results showed that there is no significant relationship between the relevant variables and the health of the population in the short run. Extended abstract Introduction Foreign direct investment, as a key factor for globalization and technology diffusion, can play an important role in accelerating structural transformations and human capital accumulation. It is a general belief that economic growth leads to the improvement of human development; It means that foreign direct investment has a major impact on human development due to its relationship with economic development (Gökmenoğlu et al., 2018). Also, Kutluer (2021) believed that foreign direct investment can improve the health status of society when it can bring the effects of economic development such as improving income distribution, increasing the level of knowledge, reducing environmental problems, and increasing the social and cultural well-being of the labor. Government health expenditure is also considered an essential factor in improving health status and even resource distribution. Health expenditure is one of the important factors affecting economic growth and human development, which can, along with other factors, cause the development and improvement of labor performance. Therefore, this paper examines the effect of foreign direct investment and government health expenditures on the health of the population in Iran. Theoretical Framework Studies conducted in the past decades show conflicting evidence and views about the effects of foreign direct investment and government health expenditures on the health of the population. Regarding foreign direct investment, Rodrik et al. (2004) and Kaulihowa & Adjasi (2019) believed that foreign direct investment affects the life expectancy of workers by expanding business opportunities and providing working conditions. Foreign direct investment increases people's income and purchasing power by creating job opportunities in the target country. As a result, their standard of living increases with the improvement of food quality and better health facilities, so foreign direct investment has a very close relationship with human health (Alsan et al., 2006). But Kutluer (2021) showed that the flow of foreign direct investment leads to a decrease in life expectancy. Kumari & Sharma (2018) found that foreign direct investment and GDP do not have a significant effect on population health. Regarding government health expenditures, Nixon & Ulmann (2006), Anyanwu & Erhijakpor (2009), and Kamiya (2010), reported the positive impact of health expenditures on health outcomes. Kim & Lane (2013) showed that there is a positive relationship between public health expenditures and life expectancy. Musgrove (1996) and Fayissa & Gutema (2005) found that an increase in health expenditure has a robust negative effect on life expectancy at birth. Also, Sede & Ohemeng (2015) observed that the impact of government health expenditure on life expectancy is weak. Methodology Following Rahman et al. (2022) we have presented an empirical model to test the asymmetric effects of foreign direct investment and government health expenditure on population health in Iran using the Non-Linear Autoregressive Distributed Lag (NARDL) model for 1974-2021. Results & Discussion The results of the estimation of long-term coefficients of positive and negative changes in foreign direct investment and government health expenditures on life expectancy showed that all long-term coefficients are asymmetric, positive, and significant. The results indicated that there is a positive and significant relationship between trade openness and life expectancy in the long term. Also, there is a positive and significant relationship between the positive changes in foreign direct investment and government health expenditures with life expectancy in the short term, but no significant relationship was seen for the negative changes of the mentioned variables with life expectancy. Conclusions & Suggestions The results showed that foreign direct investment and government health expenditures have a positive and significant effect on the health of the population in the long term. Foreign direct investment increases economic growth and leads to the allocation of more resources to education, health care, and infrastructure. Also, more public health services can increase life expectancy. Healthcare expenditure is an essential input for health production performance. Also, the openness of trade plays a significant role in improving national production and population health. In general, the health of the population is an important factor in increasing the productivity of a country, because healthy labor can make a significant contribution to the production and growth of national production. Therefore, the health of citizens is essential, and providing adequate health should be one of the primary goals of governments to achieve economic growth. توسعه سرمایه انسانی به منزله یک کاتالیزور حیاتی برای رشد و توسعه اقتصادی در ادبیات اقتصاد کلان محسوب می‌شود. به ویژه آن‌که بنا به مدل رشد درون‌زای نئوکلاسیکی، رشد سرمایه انسانی در بلندمدت اثر مثبتی بر تولید هر کارگر دارد. شواهد روزافزونی نشان داده‌اند که سلامت جزء لاینفک سرمایه انسانی است که بهره‌وری کارگران را افزایش می‌دهد و رشد اقتصادی را تحریک می‌کند. هر گونه مخارج عمومی برای سلامت می‌تواند به عنوان نوعی سرمایه‌گذاری در وضعیت سلامت کلی یک کشور در نظر گرفته شود. در واقع، تأمین بهداشت و سلامت در میان افراد و گروه‌های مختلف جامعه موجب افزایش امنیت و رشد اقتصادی می‌شود. سطوح بالای سرمایه انسانی در نیروی کار با وجود مساوی بودن سایر موارد، یک کشور را برای سرمایه‌گذاران خارجی جذاب‌تر می‌کند. سرمایه‌گذاری مستقیم با افزایش رفاه نیروی کار می‌تواند موجب بهبود وضعیت سلامت جامعه شود. هدف مقاله حاضر بررسی اثر سرمایه‌گذاری مستقیم خارجی و مخارج بهداشتی دولت بر سلامت جمعیت در ایران است. از این رو، با ارائه یک مدل تجربی، اثرات نامتقارن سرمایه‌گذاری مستقیم خارجی و مخارج بهداشتی دولت بر سلامت جمعیت در ایران با استفاده از الگوی خودتوضیحی با وقفه‌های توزیعی غیرخطی (NARDL) در بازه زمانی 1353-1400 بررسی گردید. نتایج حاصل از برآورد ضرایب بلندمدت تغییرات مثبت و منفی سرمایه‌گذاری مستقیم خارجی و مخارج بهداشتی دولت بر سلامت جمعیت نشان می‌دهد که هر دو ضریب بلندمدت نامتقارن، مثبت و معنی‌دار هستند. درعین‌حال، رابطه مثبت و معنی‌داری بین باز بودن تجارت و سلامت جمعیت در بلندمدت وجود دارد. همچنین، نتایح حاکی از آن است که در کوتاه‌مدت رابطه معنی‌داری بین متغیرهای موردنظر و سلامت جمعیت وجود ندارد.

https://sedj.usb.ac.ir/article_7803_328bf1c10b68f13a8da3ee6921565f86.pdf

دانشگاه سیستان و بلوچستان اقتصاد باثبات 2821-1049 4 2 2023 07 23 Analysis the effects of monetary policy in Iran's economy with the existence of shadow banking, using dynamic stochastic general equilibrium method تحلیل اثرات سیاست پولی در اقتصاد ایران با وجود بانکداری سایه، رویکرد تعادل عمومی پویای تصادفی 174 206 7804 10.22111/sedj.2023.45577.1341 FA اشکان مکی پور دانشجوی دوره دکترا،گروه اقتصاد دانشگاه شهید چمران اهواز، اهواز، ایران احمد صلاح منش گروه اقتصاد، دانشکده اقتصاد و علوم اجتماعی. دانشگاه شهید چمران اهواز، خوزستان. ایران ابراهیم انواری گروه اقتصاد دانشگاه شهید چمران اهواز، اهواز، ایران. 0000-0002-6050-8645 ابراهیم بهرامی نیا استادیار گروه اقتصاد، دانشگاه پیام نور، تهران، ایران . Journal Article 2023 05 07 Since the financial crisis in 2007, shadow banking has been recognized as the cause of the crisis in the world. This article empirically analysis the relationship between shadow banking and the implementation of monetary policy in Iran by using the dynamic stochastic general equilibrium method. This study shows that shadow banking is growing rapidly in Iran, and due to lack of activity within the framework of Central Bank regulations, it can reduce the effectiveness of monetary policies. In order to investigate the role of shadow banking, the effects of monetary policy shock have been investigated in two different scenarios. In both cases of expansionary monetary policy or contraction monetary policy, with the scenario of considering shadow banking in the economy, disruptive effects on growth and inflation variables were observed. So that with the application of expansionary monetary policy, the production changes after a period become negative, and with the application of contraction monetary policy, taking shadow banking into account, the amount of reduction in production and the general level of prices occurs to a lesser extent, and in fact The effects of the contraction policy have been reduced. In the model after tightening monetary policy, regular banks reduce the amount of loans on their balance sheet while shadow banks increase lending. This reduces the real effects of the shock, but at the same time shadow banks amplify the reaction of key variables to real shocks and can make the financial sector and the whole economy more unstable and take the economy out of the path of stability and development Extended Abstract Introduction At the forefront of macroeconomic research on the causes of the Great Financial Crisis (GFC) was and still is the usage of dynamic stochastic general equilibrium (DSGE) models. To capture the nonlinearities of the GFC, these models were enriched with a variety of financial frictions. This paper focuses on a special subset of these frictions, the shadow banking system. We provide a structured review of the strand of literature that considers shadow banking in DSGE setups and draw particular attention to the modeling approach as well as impact of shadow banking. Our analysis allows the following conclusions: firstly, models featuring shadow banking are better able to simulate realistic movements in the business cycle that are of comparable magnitude to the GFC. Secondly, the models consider amplification channels between the financial sector and the real economy that proved to be of importance during the crisis. Thirdly, the models display a good explanatory power of financial stability measures in the light of shadow banking There is a long-standing concern that financial innovation may undermine monetary control of the central bank. Such concern has intensified in recent years as the shadow banking sector has grown outside the traditional commercial banking sector. Has the rise of the shadow banking system affected the effectiveness of monetary policy? To answer this question, I simulate a counterfactual economy without shadow banks and compare it with the actual data In this paper I will answer the following questions: How does the monetary transmission channel via shadow banks work and how can it be modeled? How does the resulting credit intermediation of shadow banks affect the reaction of aggregate loan supply to monetary policy? In addition, if the inclusion of shadow banks changes the propagation of shocks, what has been its contribution to macroeconomic uctuations in recent years? To answer these questions. I develop a structural model that distinguishes between banks and shadow banks based on their ability to create credit. I use the monetary DSGE model with financial intermediaries by Gertler and Karadi (2011), (GK11 from here on) to describe bank behavior and credit creation, and I extend it with a shadow banking sector. In this model, banks create credit endogeneously in the sense of "inside money" as in Kiyotaki and Moore (2004). Shadow banks need to raise funds from households to satisfy _rm loan demand. I model fund raising by shadow banks as a search in the funding market for previously created deposits, which are held by the household sector. In GK11, an increase in the monetary policy rate leads to an increase in the external finance premium for borrowers, prompting a decrease in the value of their collateral, thereby decreasing the willingness of banks to lend. The resulting deleveraging results in a credit squeeze for the real sector, disinvestment and a fall in output. Simultaneously, increased deposit rates discourage households from current consumption and instead encourage savings. In this paper, savings in the form of deposit holdings constitute available funds for the shadow banking sector. After an increase in the monetary policy rate, this increase in available funds for shadow banks results in a higher share of savings owing into the shadow banking sector. Shadow banks lend out these additional funds and thereby alleviate the credit squeeze, mitigating the fall in investments and any consequent recession. Method The DSGE models that are currently the benchmark macroeconomic models resulted from the fusion of the real business-cycle models of the 1980s with the New Keynesian sticky-price models of the early 1990s. Some current versions still feature frictionless financial markets and a passive role for financial intermediaries, thus being utterly unsuitable for the analysis of financial booms and busts. This is the case of DSGE models currently used for monetary policy analysis at the main central banks—e.g., the SIGMA model at the Federal Reserve (Erceg, Guerrieri, and Gust 2006), the Smets and Wouters model at the European Central Bank (Smets and Wouters 2003), and the Bank of England’s Quarterly Model (Harrison et al. 2005). Dynamic stochastic general equilibrium (DSGE) is a macroeconomic model that facilitates macroeconomic analysis and policy making in central banks, as well as government and nongovernmental organizations (NGOs). DSGE models, such as the European Central Bank’s Smets-Wouters framework, perform time-based macroeconomic general equilibrium analysis of interactions between economic variables. DSGE models aim to describe the behavior of the economy in an equilibrium steady-state stemming from optimal microeconomic decisions associated with several representative agents (households, firms, governments, central banks, etc.). These decisions are based on the intertemporal optimizing the behavior of representative agents, with the first-order conditions of the optimization problem linearized around a constant steady-state using a first-order Taylor approximation; 2nd order terms raise problems beyond the scope of the present paper. This section lays out the basic model. It is the monetary DSGE model with financial intermediaries by Gertler and Karadi (2011) (GK11 from here on). I add a second financial intermediation sector, called the non-bank financial or shadow banking sector, that issues loans to firms. Shadow banks first need to raise funds from households in the form of deposits to engage in firm lending. Irrespective of whether shadow banks lend to the real sector directly, or whether they buy securitized credit claims of previously originated loans, shadow banks become the effective intermediary, and banks' balance sheets are freed up. In this model the economy is populated by six types of agents: households, banks, shadow banks, non-financial goods producers that demand loans, capital producers, and monopolistically competitive retailers. A central bank conducting monetary policy is the source of monetary disturbances and completes the model. The setup is equivalent to GK11 with the addition of shadow banks and an additional household savings technology. Results The relationship between the monetary and the real sector in both developed and developing countries is still one of the topics of interest among economists, according to some studies, credit shocks can even leave more severe effects than productivity shocks in the real sector of the economy (Jerman and Vincenzo, 2012). This article, paying special attention to the shadow banking sector in Iran and considering the credit channel as the most important monetary policy transmission channel in Iran, has investigated and analyzed the effects of the presence of shadow banking in Iran's economy using the DSGE method. The counterfactual analysis offers insights on how shadow banks affect the transmission of monetary policy. In an economy without shadow banks, when yield-sensitive depositors. Become unsatisfied with the low rates offered by commercial banks, they flow out of the banking system in periods of monetary tightening, leading to a reduction in money supply and credit supply. In contrast, in an economy with shadow banks, yield-sensitive depositors can switch within the banking system from commercial banks to shadow banks. With more deposit inflow, shadow banks are able to increase their lending, which buffers the decline in commercial bank lending and dampens the impact of monetary tightening. The results of the model processing show that the proposed model with the presence of shadow banking has better processing capabilities than the model without the presence of shadow banking, and with the occurrence of a positive monetary shock, the mean and standard deviation of the variables in the second scenario and with the presence of shadow banking in explaining the key variables of the economy, including the inflation rate, production and money volume, has a higher explanatory power and is closer to the reality of Iran's economy. Table 1. Comparing the actual values of the mean and standard deviation with the estimated values based on the model Standard deviation of simulated data Average of simulated data The standard deviation of the actual data Actual average variable (gap) scenario 0/0613 0/066 0/069 0/63 Production Scenario (1) No shadow banking 0/074 0/10 0/096 0/13 inflation 0/0655 0/64 0/069 0/63 Production Scenario (2) With shadow banking 0/083 0/16 0/096 0/13 inflation With special attention to the shadow banking sector in Iran and considering the credit channel as the most important channel of monetary policy transmission in Iran, this article has investigated and analyzed the effects of the presence of shadow banking in Iran's economy using the DSGE method. In order to investigate shadow banking in Iran's economy, while planning two different scenarios including the presence and absence of shadow banking, the existential effects of shadow banking in the economy were discussed separately. The current research examines the effect of expansionary and contractionary monetary policy under the two scenarios on inflation and production variables through the credit channel. The results of solving the model, while confirming the assumptions of the article about the disruptive effects of the presence of shadow banks in the economy, show that shadow banking can reduce the effectiveness of monetary policies due to the lack of supervision by the central bank. The following table briefly shows the results of expansionary and contractionary monetary policies under the two scenarios introduced for better comparison. Table 2. Comparison of monetary policy in the form of two scenarios mentioned in the article policy Scenario (1) No shadow banking Scenario (2) With shadow banking Production inflation Production inflation Expansionary monetary policy Increasing production and reaching the long-term level after seven periods Positive inflationary effect The increasing effect on production is neutralized after a period and then production decreases Inflationary effect more than scenario 1 Contractionary monetary policy Decrease in production level A decrease in the level of prices and a negative inflationary effect Decrease at a lower rate of scenario 1 and then increase production Decreasing inflation at a higher rate than scenario 1 Ethical Considerations Compliance with ethical guidelines: All ethical principles have been observed in this article. All sources used in this article are mentioned. Regarding the method of collecting statistics and data used in the article, sources are also mentioned. In this article, due to being the leader in the issues related to shadow banking in Iran, we encountered many problems, including the lack of Persian articles and the lack of necessary statistics and information. Funding: This research received no external funding. Authors’ contribution: Conceptualization, methodology, validation, formal analysis, resources, Writing original draft preparation, writing review and editing; all authors. Conflict of interest: The authors declare no conflict of interest. Acknowledgments: We are grateful, without implication, to an anonymous referee for helpful comments بانکداری سایه از زمان بحران مالی در سال 2007 به عنوان عامل بحران در جهان شناخته شد. این مقاله به طور تجربی رابطه بین بانکداری سایه و اجرای سیاست پولی در ایران را با استفاده از روش تعادل عمومی پویای تصادفی تحلیل می‌کند. مطالعه ما نشان می‌دهد که بانکداری سایه در ایران به سرعت در حال رشد است و به دلیل عدم فعالیت در چارچوب مقررات بانک مرکزی می‌تواند از کارآیی سیاست‌های پولی بکاهد. به منظور بررسی نقش بانکداری سایه، اثرات شوک سیاست پولی در دو سناریوی مختلف بررسی شده است. در هر دو حالت سیاست انبساطی پولی و یا سیاست انقباضی پولی، با سناریوی در نظر گرفتن بانکداری سایه در اقتصاد، اثرات اخلالی در متغیرهای رشد و تورم مشاهده گردید، به طوری که با اعمال سیاست پولی انبساطی تغییرات در تولید پس از یک دوره منفی شده و با اعمال سیاست انقباضی پولی نیز با در نظر گرفتن بانکداری سایه، میزان کاهش در تولید و سطح عمومی قیمت‌ها به مقدار کمتری رخ می‌دهد و در واقع از اثرات سیاست انقباضی کاسته شده است. در مدل پس از تشدید سیاست‌های پولی، بانک‌های عادی میزان وام‌های موجود در ترازنامه خود را کاهش می‌دهند در حالی که بانک‌های سایه وام‌دهی را افزایش می‌دهند. این امر اثرات واقعی شوک را کاهش می‌دهد، اما در عین حال بانک‌های سایه واکنش متغیرهای کلیدی به شوک‌های واقعی را تشدید می‌کنند و می‌توانند بخش مالی و کل اقتصاد را بی‌ثبات‌تر کنند و اقتصاد را از مسیر ثبات و توسعه خارج نمایند.

https://sedj.usb.ac.ir/article_7804_8a328ad44a3afa22f9ac486e4870e0f5.pdf