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:: Volume 25, Number 81 (quartery journal of Economic Research and Policies 2017) ::
3 2017, 25(81): 123-153 Back to browse issues page
Financial Shocks and the Role of Monetary Policy in Iran's Economy: Interbank Market in DSGE Model
Mr Sam Mohebbi *, Mr Hamid Shahrestani2, Mr Kambiz Hojabr Kiani2
PHD Student Olum Tahghighat azad University Tehran, No 2584 Valiasr Ave ,Tehran , iran , sam.mohebbi@gmail.com
2- Olum Tahghighat azad University Tehran
Abstract:   (134 Views)

Banking sector as one of the most important sectors in Iran’s economy plays a major role in general equilibrium and transmission of various shocks in the society. In this paper, to address the role of the banking system in the transmission of shocks, we design a DSGE Model with introducing interbank market and considering endogeneity of the default probability in banking sector and firms. Analyzing the effects of productivity and stock market shocks on real variables indicates that the adopted model is well-matched with theoretical expectations and Iran’s economic facts. The results of the model support the importance of the banking sector in the transmission of shocks and also confirm that central bank plays a critical role to mitigate the effects of the shock through injecting liquidity into the interbank market.

Keywords: Interbank Market, Probability of Default, Monetary Policy, Capital Adequacy, DSGE Model.
Full-Text [PDF 1133 kb]   (85 Downloads)    
Type of Study: Research | Subject: Special
Received: 2016/09/11 | Accepted: 2017/07/12 | Published: 2017/07/12
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Mohebbi S, Shahrestani H, Hojabr Kiani K. Financial Shocks and the Role of Monetary Policy in Iran's Economy: Interbank Market in DSGE Model. 3. 2017; 25 (81) :123-153
URL: http://qjerp.ir/article-1-1570-en.html
Volume 25, Number 81 (quartery journal of Economic Research and Policies 2017) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
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