School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran.
Department of Finance and Banking, Faculty of Management and Accounting, Allameh Tabataba'i University, Tehran, Iran.
PLoS One. 2023 Oct 5;18(10):e0291934. doi: 10.1371/journal.pone.0291934. eCollection 2023.
Investigating the credit channel and monetary policy risk channel in Iran's economy is the aim of this article. According to empirical studies, expansionary monetary policy increases the risk of banks, and on the other hand, the risk of banks affects economic activities and price levels. In order to investigate the mechanism of the credit channel and the risk channel (as a new channel), the effect of monetary policy on real variables and price levels in Iran's economy, the Dynamic Stochastic General Equilibrium (DSGE) model has been used by entering the information of the banking system and considering moral hazard and adverse choices. The obtained results show that there is a credit channel and a monetary policy risk channel for Iran's economy, and the expansionary monetary policy shock causes output, inflation, private sector consumption, investment, net worth in the economy and lending to increase. Also, when a credit shock occurs, with the increase in banks' lending power, production, private sector consumption, investment, net worth and total lending increase and the inflation level decreases. Also, by applying the risk shock caused by the increase in inflation and the decrease in consumption and investment, the volume of lending increases and the level of production does not change much.
本文旨在研究伊朗经济中的信贷渠道和货币政策风险渠道。根据实证研究，扩张性货币政策会增加银行的风险，而另一方面，银行的风险会影响经济活动和物价水平。为了研究信贷渠道和风险渠道（作为一个新渠道）的机制，本文利用动态随机一般均衡（DSGE）模型，通过引入银行体系的信息，并考虑道德风险和逆向选择，考察了货币政策对伊朗经济实际变量和物价水平的影响。研究结果表明，伊朗经济存在信贷渠道和货币政策风险渠道，扩张性货币政策冲击会导致产出、通货膨胀、私人部门消费、投资、经济中的净值和贷款增加。此外，当发生信贷冲击时，随着银行放贷能力的提高，生产、私人部门消费、投资、净值和总贷款增加，通货膨胀水平下降。此外，通过应用由通货膨胀上升和消费、投资下降引起的风险冲击，贷款量增加，而产量变化不大。
