MODELING BANKING CRISIS WITH THE DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODEL

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AHMADYAN AZAM

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Journal Paper

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Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2016 | Volume:4 | Issue:3 (14) Page(s): 91-108

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Title

MODELING BANKING CRISIS WITH THE DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODEL

Author(s)

AHMADYAN AZAM | Issue Writer Certificate

Keywords

DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM METHODQ1

NONPERFORMING LOANQ1

CREDIT TO OTHER BANKSQ1

Abstract

Banking industry, as one of the important financial intermediation industries in Iran’s economy, faces the critical challenge of delayed loans. The existence of delayed loans decreases banks liquidity resources and their lending power. As a result, in recent years, Iranian banks have tired to change their asset portfolio from business loans to interbank loans to confront with their credit risk. Because of the strong relation between banking industry and other economic sectors in Iran, I try to analyze the reaction of macroeconomic variables (such as production and inflation) and banking variables to the shocks of delayed loans. To do so, I use annual statistics of the economic variables between 1981 to 2013 as well as calibration and Bayesian model to extract the value of dynamic stochastic general equilibrium (DSGE) parameters. Results show that the theoretic model is compatible with the economic realities.In the other, words investment and production decrease and inflation increases as delayed loans increase. Alternatively, investment and production increase and inflation decreases by increasing interbank loans.

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APA: Copy

AHMADYAN, AZAM. (2016). MODELING BANKING CRISIS WITH THE DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODEL. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 4(3 (14) ), 91-108. SID. https://sid.ir/paper/245586/en

Vancouver: Copy

AHMADYAN AZAM. MODELING BANKING CRISIS WITH THE DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODEL. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2016;4(3 (14) ):91-108. Available from: https://sid.ir/paper/245586/en

IEEE: Copy

AZAM AHMADYAN, “MODELING BANKING CRISIS WITH THE DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODEL,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 4, no. 3 (14) , pp. 91–108, 2016, [Online]. Available: https://sid.ir/paper/245586/en

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