Abdulhamid Khosravi; Hussein marzban; Jafar Ghaderi; Parviz Rostamzadeh
Abstract
INTRODUCTIONVarious variables in the economy are affected by monetary policy, which is a process of particular importance for policy-making. in a real economy, the transfer mechanism describes how monetary policy instruments affect the ultimate goal variables. there are two monetary and credit ...
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INTRODUCTIONVarious variables in the economy are affected by monetary policy, which is a process of particular importance for policy-making. in a real economy, the transfer mechanism describes how monetary policy instruments affect the ultimate goal variables. there are two monetary and credit views on how money transfers. THEORETICAL FRAMEWORKMonetary policy is a tool for influencing economic variables that this influence on the economy is formed as a process that is of particular importance in policy-making. the process by which monetary policy instruments affect the ultimate goal variables in a real economy is called the transfer mechanism. there are two views of money and credit on the mechanism of money transfer.the monetary perspective is based on the interest rate channel, the exchange rate channel, the asset price channel and the expectations channel.the credit view is based on the bank lending channel and the balance sheet channel.in this research, the channels of money transfer mechanism have been studied based on different perspectives. the channels examined are interest rate channel, exchange rate channel, asset price channel, q-tobin channel, wealth effect channel, credit channel, bank lending channel, balance sheet channel and expectations channel. METHODOLOGYThe study uses a stochastic dynamic general equilibrium model based on the new keynesian approach to an open economy. it includes four sections of economic factors including household, domestic and importing firms, foreign trade, and monetary policy. the linearized structural equations include several types of nominal adhesions, and occurs around the steady-state point. on this basis, the money transfer mechanism is determined based on the effect of monetary policy on output. also, taylor's rule (taylor, 1993) used to adjust monetary policy by using the non-covert equity ratio of the interest rate as the reference interest rate (shadow interest rate). in this study, the parameters of the linearized model using the bayesian method, and for the period of 2018 through 2020, the data were used to estimate the seasonal time series. also used MCMC and Metropolis-Hasting’s simulations to verify the results. RESULTS & DISCUSSIONSAccording to the results of the analysis of the variance, following channels affecting Iran's money transfer mechanism were identified:Interest rate channel: as a result of interest rate shock, the rates of change in real interest rate, investment and real production are equal to 44.91%, 0.47% and 6.43%. this channel shows the real impact of monetary policy based on interest rates.q-Tobin channel: the amount of change in q-tobin channel, investment and real output in response to the monetary policy shock is 36.74%, 2.76% and (0.02%), therefore q-tobin channel is an effective channel.expectation channel: the expected inflation rate is 49% and the production impact is 32.8%, so the expectation channel is effective.Wealth channel: as a result of the change in interest rates, q-tobin changed by 36.74%, which affected household consumption by 0.02%. as the result, this channel is effective. exchange rate channels, bank facilities and balance sheets have no effect on this model.Effective channels in order of relative importance in this rule are: expectation channel, interest rate channel, q-tobin channel and wealth channel.In order to analyze the long-term production behavior and the result of an analysis of the variance table, the share of each structural shock on production and its components is as follows:Production is mainly affected by the shock of preferences, which 35.09% of gdp forecast error explains the impact of this shock on production. after that, domestic inflation shock, investment shock, monetary policy shock, government spending shock and wage shock affect production variance.As a result of the internal inflation shock, 65.7% of the inflation fluctuations are explained by this shock. inflation variance is then affected by shadow interest rate shocks, money demand shocks, investment shocks and q-tobin shocks.Most fluctuations in consumption are caused by preference shock and investment shock, which 72.87% of the consumption variance is explained by these 2 shocks. consumption variance is then affected by internal inflation shock, shadow interest rate shock, wage shock and q-tobin shock.Investment variance is then affected by domestic inflation shock, q-Tobin shock, shadow interest rate shock and wage shock.Most net export fluctuations are caused by monetary policy shocks and domestic inflation shocks, which 99.16% of the net export fluctuations variance is explained by these two shocks.next export fluctuations are then affected by preference shocks, wage shocks, investment shocks and q-Tobin shocks. CONCLUSIONS & SUGGESTIONSThe effective channels of Iran's money transfer mechanism are: expectations channels, interest rates, q-tobin and wealth channel, and according to the simulations, increasing interest rated reduce production, consumption, investment and capital utilization rates.
