FINANCIAL SHOCKS AND THE ROLE OF MONETARY POLICY IN IRAN'S ECONOMY: INTERBANK MARKET IN DSGE MODEL

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MOHEBBI SAM; SHAHRESTANI HAMID; HOJABR KIANI KAMBIZ

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Journal: Journal of Economic Research and Policies Year:2017 | Volume:25 | Issue:81 Page(s): 123-153

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Title

FINANCIAL SHOCKS AND THE ROLE OF MONETARY POLICY IN IRAN'S ECONOMY: INTERBANK MARKET IN DSGE MODEL

Author(s)

MOHEBBI SAM | SHAHRESTANI HAMID | HOJABR KIANI KAMBIZ | Issue Writer Certificate

Keywords

INTERBANK MARKETQ1

PROBABILITY OF DEFAULTQ2

MONETARY POLICYQ2

CAPITAL ADEQUACYQ1

DSGE MODELQ1

Abstract

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.

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APA: Copy

MOHEBBI, SAM, SHAHRESTANI, HAMID, & HOJABR KIANI, KAMBIZ. (2017). FINANCIAL SHOCKS AND THE ROLE OF MONETARY POLICY IN IRAN'S ECONOMY: INTERBANK MARKET IN DSGE MODEL. JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 25(81), 123-153. SID. https://sid.ir/paper/89588/en

Vancouver: Copy

MOHEBBI SAM, SHAHRESTANI HAMID, HOJABR KIANI KAMBIZ. FINANCIAL SHOCKS AND THE ROLE OF MONETARY POLICY IN IRAN'S ECONOMY: INTERBANK MARKET IN DSGE MODEL. JOURNAL OF ECONOMIC RESEARCH AND POLICIES[Internet]. 2017;25(81):123-153. Available from: https://sid.ir/paper/89588/en

IEEE: Copy

SAM MOHEBBI, HAMID SHAHRESTANI, and KAMBIZ HOJABR KIANI, “FINANCIAL SHOCKS AND THE ROLE OF MONETARY POLICY IN IRAN'S ECONOMY: INTERBANK MARKET IN DSGE MODEL,” JOURNAL OF ECONOMIC RESEARCH AND POLICIES, vol. 25, no. 81, pp. 123–153, 2017, [Online]. Available: https://sid.ir/paper/89588/en

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