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Showing 5 results for Macroeconomic Variables
Identification of Factors Affecting on Credit Risk in the Iran Banking Industry of Iran Using Stress Test
Parviz Rostamzadeh, Ruhollah Shahnazi, Mogammad Sadeq Neisani,
Volume 9, Issue 32 (7-2018)
Abstract
Credit risk is due to that recipients of the facility, deliberately or involuntarily, don’t have ability to repay their debts to the banking system that this risk is critical in Iran compared to the global. Therefore, the purpose of this study was to investigate the effect of macroeconomic variables on credit risk of Iranian banking industry during the 2006-2016 years and also simulation and prediction of credit risk situation in 2017 under different stress scenarios, bu using stress test. Data used in this research is time series and seasonal. In order to implement a stress test and achieve the purpose of the research, first, the effective macroeconomic variables and the rate of each one's influence on the credit risk are determined using Auto-Regressive Distributed Lags (ARDL). Accordingly, the inflation rate, exchange rate, unemployment rate and housing index in total have a positive effect and variables GDP, the interest rate of bank facilities and the volume of concessional facilities to both government and non-governmental sectors, have a negative impact on credit risk. In the following, using the stress test, simulation of critical situations and prediction of credit risk values in 2017. This was done in three scenarios with titles of mild stress, extreme stress, and hyperstress that in each scenario, different shocks are applied to the variables affecting credit risk. The results of the stress test and scenarios show that the compulsory reduction of interest rates on bank facilities in all three scenarios, initially in the second quarter of  2017, leads to a reduction in credit risk, but rising exchange rates, rising inflation, falling economic growth, as well as accumulation of past values of credit risk, has led to a rapid increase in credit risk and also in scenarios with more severs shocks, has led to catastrophic increase of credit risk in later periods in all scenarios.

The Effect of Minimum Wage on Iran's Macroeconomic Variables in The Framework of a Dynamic Stochastic General Equilibrium Model
Mehdi Sajedi, Abbas Amini Fard, Masoud Nunezhad , Ali Haghighat,
Volume 10, Issue 37 (10-2019)
Abstract
In this paper ,in order to investigate the economic effects of the minimum wage policy on macroeconomic variables in the framework of the new Keynesian theory, a dynamic stochastic equilibrium general (DSGE) model has been simulated and estimated for an open and small oil exporter economy conforming with the structure of Iran's economy in the range from 1370 to 1395 .In the above mentioned model, nominal rigidity (wages and prices) and consumer habits are considered to be in line with the economic condition  of the country, the labor market is classified in to sectors of unskilled and skilled labor. The main purpose of this study is to find an answer determining the annual minimum wage based on the CPI mechanism, in which the economy is exposed to supply demand shocks and monetary and financial policies, impacts on the macroeconomic variables, namely GDP, inflation, employment and total wage growth. The results of the simulation and estimation of this model, which show that the simulated data torques are consistent with real-world are based data based on calibration, show that by an increase in the minimum wage can contribute to not only a rise in inflation and total wage level, but also a fall in GPD, consumption &investment in the short time.

The Asymmetric Effect of Macroeconomic Variables on Stock Price Index: Quantile ARDL Approach
Roozbeh Balounejad Nouri, Amirali Farhang,
Volume 12, Issue 45 (11-2021)
Abstract
This paper aims at investigating the asymmetric impact of long-term and short-term macroeconomic variables on the capital market prices of Iran.Macroeconomic variables are inflation, exchange rate, non-oil trade balance and crude oil prices. In order to investigate these relationships, the quantile autoregressive distributed lag (QARDL) method introduced by Cho et al. (2015) has been used. For this purpose, monthly data related to Iran's economy in the period 2008: M9-2021: M6, have been used. Findings show that in the short run, the macro variables used except the trade balance and oil prices have an asymmetric effect on the capital market price index. In the long run, all variables except oil price have an asymmetric effect on the stock price index and the effect of oil price is symmetrical and significant. This conclusion shows that in situations where the stock market price index is in a state of prosperity, recession or normal, except for oil prices, the effect of research variables on this index is not the same and even this effect is different in the short and long term.

Determining the Optimal Minimum Wage in the Framework of a Stochastic Dynamic General Equilibrium Model (Case Study of Iran)
Mehdi Sajedi, Abbas Amini Fard, Masoud Nunezhad, Ali Haghighat,
Volume 13, Issue 47 (5-2022)
Abstract
In this paper, in order to determine the optimal minimum wage policy in Iran, in the framework of the new Keynesian theory, a Dynamic Stochastic General Equilibrium (DSGE) model was estimated for a small and open oil-exporting economy, according to the structure of Iran's economy in the time range of 1190 to 2019. In this model, the nominal rigidity and work habits in the supply and demand sectors are considered, and in order to simulation the economic conditions of the country, meanwhile classify the labor market in two parts; the skilled  (whose maximizes its wage based on its utility) and  unskilled labor, the model has  considered to four parts. The main purpose of this study is to answer the question of determining and adjusting the annual minimum wage based on which of the indicators of inflation, the growth of the total wage and a combination of inflation indicators and productivity of production factors, in a situation where the economy is exposed to markup of wages and prices shocks, supply and the demand of the economy and monetary and financial policies, was optimal and it causes the least negative fluctuation (deviation) on macroeconomic variables including inflation, employment, production, consumption and investment. Based on this study, three scenarios were designed and the effect of minimum wage on economic variables was analyzed. The results of the simulation and estimation of this model, which indicate the matching of the moments of the simulated data with the real world data and based on calibration in all three scenarios, it shows that the selection sum of inflation growth  and the productivity indexes to adjust the minimum wage policy, although it has cyclical effects on inflation, in comparison to other scenarios, it has the least negative deviation on economic variables and can be used as an optimal indicator for choosing the minimum wage in the Supreme Labor Council of the country.

Investigating the effects of financing the public sector budget deficit from the banking system: Evidence from the dynamic stochastic general equilibrium model (DSGE)
Dr Hossein Samsami Mazrae Akhoond, Mr Ahmad Bakhtiyari,
Volume 13, Issue 49 (12-2022)
Abstract
The unmanaged control of liquidity growth has always been the concern of policymakers due to its negative consequences. Recently, policymakers have focused on the needing to control the liquidity growth. One of the liquidity drivers is the government borrowing from the central bank. In this regard, governments have concerned for the issue of not borrowing from the central bank since the 2000s onwards. Although governments are limiting themselves for this borrowing, they force banks and financial institutions to borrow from that source. For this purpose, this study designs a macroeconomic model by including the net debt of the public sector to the central bank as well as to banks and financial institutions via the government's financial balance channel. This model shows the relationships of economic variables in the framework of a stochastic dynamic general equilibrium (DSGE) model, considering nominal and real frictions. The results confirm the reliability of the model for simulating the economy of Iran after determining the input values and calibrating the parameters of the model using the Iran's economy data during 2000-2020.  The findings from the research data show that the net increase in government sector debt to banks and non-banking credit institutions has a positive effect on investment, in such a way that new liquidity by the government obtained from institutions and banks It has been produced in the form of new deposits at the disposal of the department. The net impulse of public sector debt to the central bank causes an increase in consumption in the utility function and the total consumption of a combination of public goods and services provided by the government as well as private consumption goods and services. Also, the net impulse of public sector debt to the central bank causes an increase in inflation and a slight growth of production, and the net impulse of public sector debt to banks and credit institutions increases inflation and stimulates production.

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