Mohammad Feghhi Kashani; Javid Bahrami; Majid Omidi
Abstract
This paper investigates the effects of rule-based prudential policies on the banks competition in the deposit market. Using the imperfect competition structure and focusing on heterogeneous banks, we develop a partial equilibrium model, under which implications of how capital adequacy ratio regulation ...
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This paper investigates the effects of rule-based prudential policies on the banks competition in the deposit market. Using the imperfect competition structure and focusing on heterogeneous banks, we develop a partial equilibrium model, under which implications of how capital adequacy ratio regulation is implemented either discriminatory between banks (micro) or non-discriminatory and uniformly for all banks (macro) will be analyzed. Among the features that are emphasized in this analytical model is the role of self-regulation of bank capital in building confidence in the banking network in a non-linear manner. This, in a range of capital adequacy ratios, has featured the use of that prudential policy tool as a self-defeating one for the policymaker's goal in curbing the portion of high-risk projects in the targeted bank's assets portfolio. Further, a channel to explain the role of monetary policy in establishing stability or fragility of the banking network is introduced. In particular, the role of investors' degree of risk aversion in motivating banks to set their monitoring efforts has been evaluated.
abbas shakeri; Javid Bahrami; Hamidreza Derakhshan
Abstract
This study aims to introduce the microstructure approach to the exchange rate as the 4th generation of exchange rate models and to apply it in a simulation model to study the effects of transparency of macroeconomic data on exchange rate fluctuations. The microstructure approach to the exchange rate ...
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This study aims to introduce the microstructure approach to the exchange rate as the 4th generation of exchange rate models and to apply it in a simulation model to study the effects of transparency of macroeconomic data on exchange rate fluctuations. The microstructure approach to the exchange rate is developed to include decentralized and multi-layer structure of currency markets along with information complexities in this market and the role of trading mechanisms in exchange rate determination. After introducing this approach, we have developed our theoretical model to use it for simulation. In this simulation, we have studied the effects of transparency of macro data release on exchange rate fluctuation. To achieve this goal, we have used two variables of “delay in macro data release” and “error in macro data release”. Our simulation results show that an increase in macro data release delay leads to higher volatility of The exchange rate. This is because of increasing uncertainty for economic agents. In addition, an increase in macro data release delay leads to a farther delay in responsiveness of the exchange rate to movements in its macro fundamental variables. Although we have found a non-linear relationship between the “error in macro data release” variable and exchange rate volatility, the magnitude of this effect is less than the effect of the “delay in macro data release” variable on exchange rate volatility. Based on our results, we recommend that to have lower exchange rate volatility, authorities should increase the transparency of macroeconomic data releases and especially they should lower the delay in macro data releases.
Somayeh Shahhoseini; Javid Bahrami
Abstract
Empirical evidence about recent financial crisis revealed the prominent role of financial sector in transmission of different shocks to the real sector of economy. Due to the importance of banking sector behavior during business cycles and for the purpose of explaining the credit channel of monetary ...
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Empirical evidence about recent financial crisis revealed the prominent role of financial sector in transmission of different shocks to the real sector of economy. Due to the importance of banking sector behavior during business cycles and for the purpose of explaining the credit channel of monetary transmission mechanism in the economic literature, analyzing the role of banking sector during business cycles in Iran can help us to better understand how the shocks can have impacts on the economy. In this paper, we evaluated macroeconomic fluctuations and monetary transmission channels in Iranian economy using a standard New Keynesian dynamic stochastic general equilibrium model that includes banking sector. The results of the study show that inclusion of banking sector in a DSGE model can improve evaluation of macroeconomic fluctuations. Also, the results of simulation show that variables related to banking sector have pro-cyclical movements in Iranian economy and these results provided enough room to explain the role of banks as financial accelerator and monetary transmission channels in Iranian economy.
Javid Bahrami; Ahmad Mohammadi; Reza Taleblu
Volume 12, Issue 44 , April 2012, , Pages 25-45
Abstract
We study the volatility of business cycle of Iranian economy base on the wavelet approach. we found some synchronic business cycles with different power and frequencies (two to four years cycles, and trend that indicates the low frequency) which is contradictory to the traditional approach that highlights ...
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We study the volatility of business cycle of Iranian economy base on the wavelet approach. we found some synchronic business cycles with different power and frequencies (two to four years cycles, and trend that indicates the low frequency) which is contradictory to the traditional approach that highlights classic definition of cycle (with three to eight years cycles).On the other hand, exception to 1971-1981, oil and non-oil cycles are approximately the same which means that the non-oil sector has been affected by the oil sector volatilities and neutralization of this affection by economic policies has been failed. The other point is that oil cycle has completely different asymmetry than the non-oil cycle. We also found that the energy of trend is sharply more than other elements of wavelet which indicates that the concealed long run volatilities is major part of the energy of economic time series. This finding is compatible with other related studies.
Javid Bahrami; Maryam Farshchi
Volume 11, Issue 40 , April 2011, , Pages 185-211
Abstract
This paper examines the incidence of Dutch Disease symptoms in the agriculture sector of Iran, by applying SVAR modeling to quarterly data of twenty years span, from1367-1386 our findings do not reveal any significant relation between oil prices, and value added of agriculture sector, but indicate a ...
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This paper examines the incidence of Dutch Disease symptoms in the agriculture sector of Iran, by applying SVAR modeling to quarterly data of twenty years span, from1367-1386 our findings do not reveal any significant relation between oil prices, and value added of agriculture sector, but indicate a significant negative effect of oil price on the relative price of agricultural products. Therefore, the incidence of Dutch Disease cannot be rejected. Although it seems that protective measures, in some extent, have been succeeded in insulating the production from harmful effects of decrease in the relative prices, but these measures, in no way will ensure the future development of the agriculture sector.
Javid Bahrami; Maryam Farshchi
Volume 10, Issue 37 , July 2010, , Pages 115-138
Abstract
This paper presents a test of the P* model using Iran quarterly data over the period 1988-2005. The basic formulation of the P* model, which is derived from the quantity theory of money, is manipulated to obtain an equation for the price gap and level of output and velocity gaps. So the P-Star model ...
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This paper presents a test of the P* model using Iran quarterly data over the period 1988-2005. The basic formulation of the P* model, which is derived from the quantity theory of money, is manipulated to obtain an equation for the price gap and level of output and velocity gaps. So the P-Star model implies that inflation is determined by the level of output gap and velocity gap. On the other hand real money gap can either be used instead of price gap, as the other approach. Estimation of the dynamic relation between the inflation rate and price gap are significant and price gap’s share is about 50 percent in inflation process.
