Journal of Monetary and Banking Research
Year:2015 | Volume:8 | Issue:24 |Papers Count:6

The purpose of this paper is to evaluate and measure the central bank independence and its determinants in Iran. To calculate the degree of central bank independence different indices such as Grilli et al (1991), Cukierman et al (1992), Mathew (2006) and Dumiter (2009) have been used. Also, the monetary and banking laws of 1960 and 1972 and their revisions as well as other new laws related to central bank independence during 1960 - 2012 were taken into consideration to measure the trend of the central bank independence in Iran. The paper findings indicate a decreasing trend of the central bank independence in the country based on almost all different indices during the period under consideration. Also, it is shown that the development laws especially after the Islamic revolution has been among important factors affecting the degree of the central bank independence in Iran.

Having evaluated the operational method used for issuing the Musharakah sukuk of the Iranian central bank, this paper tries to shed lights on the Fiqhi (jurisprudential) and economic (financial) challenges of this instrument. For deriving the initial challenges, a desk research is conducted and for finalizing and ranking of challenges, the Delphi method is used in the society of Islamic banking experts in Iran. The results show that because of different shortcomings of the Iranian central bank Musharakah sukuk, the best choice for Iranian central bank is not to issue this kind of Sukuk for sake of open market operation. Instead, the central bank can enter in the secondary market of the governmental Sukuk and, by buying and selling of the sovereign securities, conduct open market operation. However, if the secondary market of the governmental Sukuk is not deep in the short-run and the central bank is obliged to issue its own securities, yet again, the Musharakah Sukuk is not the best choice and it is possible to issue other kinds of Sukuk like Ijarah Sukuk. The characteristics of Ijarah Sukuk are more suitable for open market operation.

Probability of clients' default is the most focal parameter in the credit risk Evaluation based on Basel II Accord. In this research, in order to estimate the probability of default, first, a scoring model applying the Logit Regression Technique using the 1343 clients' personal data, credit history, employment information in one of the country's private banks within 1391-1392 was estimated. Through this study, the clients' credit history was identified as the most important factor influencing the probability of default. The statistic ROC (Receiver Operating Characteristic) of the Model reflected 71.1% implying its high discriminant power. Cluster analysis, using K-means Algorithm, of the scoring estimates of the model lead to 7 rating classes. Next, applying historical default frequency approach, the probability of the default associated with each rating class was estimated. Finally, through the calibration test, the accuracy of the probability of default was confirmed for a sample of 327 credit profiles in 1393. Undoubtedly, compliance with the international agreements on the banking area is inevitable.

In this paper, using a static Financial Computable General Equilibrium (FCGE) model we investigate the effect of oil export decline on GDP, private consumption, investment, government expenditure and production of different sectors in Iran's economy. Zero profit conditions, market clearance, income balances, flexibility of government expenditures, imperfect mobility of labor across sectors, imperfect substitution of domestic and foreign goods, firms and households maximization based on CES functional forms are our main assumptions to set up the model. We calibrate our model based on Iran's Social Accounting Matrix (SAM) provided by central bank, which presents economic transactions data of 47 activities, 112 goods and services, 7 financial assets and 5 institutions. Our simulations shows that 50 percent reduction in oil export results 6.22, 4.9 and 13.63 percent reduction respectively in the level of GDP, private consumption and government expenditure, while in this scenario non-oil export shows 18.49 percent expansion. We also provide sensitivity analysis to support our findings.

Despite the recent attention to the potential impact of monetary policy on bank risk taking incentives, large research typically concentrated on the relationship between monetary policy instance and availability of bank credit and didn’t provide a model that import the bank risk taking incentives. This paper attempts to fill this gap in existing studies. For this purpose, we considered the bank risk taking index along with other indicators (such as size, liquidity and capitalization) that traditionally has been applied in the bank lending channel studies to assess the ability and willingness of banks to supply new loans. Thus, bank lending channel examination of Iran’s banking network through banking risk is the aim of this paper, For this purpose, the index of bank risk taking instance will be used in the common monetary transmission mechanism and the generalized method of moments (GMM) will be used to estimate the model. The results show that bank risks have negative effects on their lending and also the interaction between bank risk index and monetary policy, as expected, is negative.

In this paper the performance of iterated and direct autoregressive models in forecasting Iranian inflation has been evaluated in horizons 1, 2, 3 and 4 steps ahead. The results show that the forecast accuracy of direct method compared to iterated method depends on the information criteria. In forecasting literature, lag selection is done as cumulative. This paper also investigate whether the use of all possible combination of lags, rather than using cumulative lags can lead to improve forecast accuracy. Our findings show that the optimal combination of lags changes depending on forecast horizon, so that the best combination of lags in the horizon 1 and 2 is the first lag, and in the horizon 3 and 4, are the first and fourth lags. Also using IC method to reduce systematic error does not improve forecast accuracy.