ارزیابی شوک های اقتصاد کلان بر ثبات بانکی با رویکرد خودتوضیحی برداری عامل تعمیم یافته(FAVAR) (مطالعه موردی: اقتصاد ایران)

نوع مقاله : پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد پولی، گروه اقتصاد، دانشکده مدیریت و اقتصاد، دانشگاه تبریز، تبریز ، ایران

2 استاد گروه اقتصاد، دانشکده مدیریت و اقتصاد، دانشگاه تبریز، تبریز، ایران.

3 دانشیار، گروه اقتصاد، دانشکده مدیریت و اقتصاد، دانشگاه تبریز، تبریز، ایران

چکیده

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.

کلیدواژه‌ها

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