محدودیت وثیقه‌ای و تاثیر آن بر بانکداری کشور و متغیرهای کلان اقتصادی | ||
| سیاست گذاری اقتصادی | ||
| مقاله 12، دوره 13، شماره 25، شهریور 1400، صفحه 375-405 اصل مقاله (947.02 K) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22034/epj.2021.16462.2202 | ||
| نویسندگان | ||
| یزدان گودرزی فراهانی* 1؛ سید هادی عربی2 | ||
| 1استادیار دانشکده اقتصاد، دانشگاه قم | ||
| 2دانشیار دانشکده اقتصاد، دانشگاه قم | ||
| چکیده | ||
| هدف مقاله حاضر بررسی نقش محدودیت وثیقه‌ای در سیستم بانکی و تاثیر آن بر عملکرد سیستم بانکی کشور است. در این مطالعه از مدل تعادل عمومی پویای تصادفی در بازه زمانی 1398-1368 استفاده شده است. در این مطالعه محدودیت وثیقه‌ای در عملکرد بنگاه‌های تولیدی و به تبع آن واکنش سیستم بانکی به این موضوع مورد بررسی قرار گرفته است. نوآوری این مطالعه در لحاظ کردن یک فرآیند واکنشی در عملکرد سیستم بانکی به نحوه عملکرد بنگاه در استفاده از اعتبارات است. در راستای مدل‌سازی محدودیت اعتبارات وثیقه‌ای دو سناریو در نظر گرفته است. در سناریو اول فرض می‌شود که سیستم بانکی هیچ‌گونه عکس‌العملی به عملکرد بنگاه اقتصادی دریافت کننده اعتبارات از خود نشان نمی‌دهد. اما در سناریو دوم در تابع سود بانک بخشی به عنوان تاثیر مشارکت بانک در اعتبارات اعطایی سیستم بانکی و مشارکت واقعی در فعالیت اقتصادی لحاظ شده است. نتایج بدست آمده از شوک اعتبارات وارد شده در مدل و مقایسه سناریوهای مدل نشان دهنده این موضوع بوده است که اگر بانک در اعطای اعتبارات خود را به صورت واقعی در فعالیت بنگاه شریک بداند به مراتب نسبت به حالتی که درآن صرفا به عنوان واسطه مالی عمل کرده و در صورت عدم توانایی بازپرداخت بدهی توسط بنگاه اقدام به اجرای وثیقه کند، سودآوری بالاتری داشته و اثرات آن بر متغیرهای کلان اقتصادی همچون تولید، سرمایه‌گذاری و کاهش هزینه‌های عملیاتی بانکی مناسب‌تر و بهتر بوده است. | ||
| کلیدواژه‌ها | ||
| شوک اعتباری؛ محدودیت وثیقه‌ای؛ معوقات بانکی؛ مدل تعادل عمومی پویای تصادفی | ||
| عنوان مقاله [English] | ||
| The collateral constraint and its impacts on the banking performance and macroeconomic variables | ||
| نویسندگان [English] | ||
| Yazdan Gudarzi Farahani1؛ Seyed Hadi Arabi2 | ||
| 1Assistant Professor, Faculty of Economics and Management, Qom University | ||
| 2Associate Professor, Faculty of Economics and Management, Qom University | ||
| چکیده [English] | ||
| Introduction: Collateral constraints cause an asymmetry in the relationship between the assets of firms and households and economic activities and are a central mechanism to explain the economic volatility. When housing wealth is high, collateral constraints are slack, and the sensitivity of borrowing and spending to changes in house prices is small. Conversely, when housing wealth is low, collateral constraints are tight, and borrowing and spending move with house prices in a more pronounced manner. Collateral constraint leads to a kind of friction in the financial markets and affects the behavior of households and firms as well as the performance of the banking system. The type of mortgage collateral can be one of the limitations of financing for firms in the economy. The Basel II agreement emphasizes the importance of the type and the amount of collateral for lower performing firms. Contrary to the Basel I agreement, which treats firms equally in this regard, the Basel II agreement stipulates that, if a bank engages in a riskier activity, it must invest more of its capital in order to maintain the bank's stability. Increasing the risk of the borrower customer increases the amount of overdue receivables of the bank and increases the amount of storage in the bank's capital. In this case, when the amount of non-current facilities in the bank increases, the only source that the bank can use to return its resources is the relevant documents. Therefore, the bank prefers to enforce some collateral. The purpose of this article is to investigate the role of collateral constraints in the banking system and their impacts on the performance of the banking system. Regarding collateral constraints, the trend of research in the literature following Kiyotaki and Moore (1997) has stressed the importance of the link between the value of borrowers’ collateral and their access to funds in amplifying the economy’s response to shocks. The core of our analysis is a standard monetary DSGE model augmented to include a housing collateral constraint along the line set by Kiyotaki and Moore (ibid), Iacoviello (2005), and Liu et al., (2013). Methodology: We discuss the collateral constraint effect on banking system and macroeconomic variables in two steps. First, we construct a general equilibrium model and estimate it with Bayesian likelihood methods. The estimated model implies that collateral constraints become slack during economic volatility. In this study, a dynamic stochastic general equilibrium model is used for the period of 1990-2020. Different central banks consider different combinations of pricing-based policies, collateral and quantitative restrictions to manage their credit supply. In general, the conditions that justify the use of these options are mainly based on the preferences of central banks regarding credit and systemic risk, liquidity management technologies and the cost of credit documents. In order to model the collateral credit limit, two scenarios have been considered. In the first one, it is assumed that the banking system does not show any reaction to the performance of the credit-receiving enterprise. But, in the second scenario, the corporate profit function is included in order to show the impact of the bank participation in the loans granted by the banking system and the real participation in economic activities. Results and Discussion: The theoretical and empirical results of this research show that changes in the prices of assets can produce asymmetries that are economically and statistically significant. We now consider whether these asymmetries are also important for gauging the effects of policies aimed at the credit market. The results obtained from the credit shock in the model and the comparison of the model scenarios have shown that, if the bank considers itself as a real partner in the credit activity, it is far from the situation in which to act only as a financial intermediary. Also, if the firm is unable to repay its debt, it will be more profitable and its effects on macroeconomic variables such as production, investment and reduction of bank operating costs will be better. Conclusion: In this paper, we provide a theoretical framework for the analysis of banking system performances in the presence of financial frictions and in the form of collateral constraints and a monopolistically competitive banking sector. In our economy, consumers are divided into households and firms who serve respectively as savers and borrowers. The resulting credit flows are intermediated by banks, which have some monopolistic power in the loans market and set optimal lending rates accordingly. The results obtained from the credit shock in the model and the comparison of the model scenarios have shown, if the firm is unable to repay the debt, it will be more profitable and its effects on macroeconomic variables such as production, investment and reduction of banking operating costs will be better. According to the results, it is suggested that the country's banks refrain from applying formal contracts in the form of banking contracts only due to short-term returns; instead, they should implement banking contracts in a real way and participate in the bank's activities in the long run. They will, thus, have a relatively higher profitability. | ||
| کلیدواژه‌ها [English] | ||
| Credit shock, Collateral credit, Bank arrears, Islamic financial instruments, Dynamic Stochastic General Equilibrium model | ||
| مراجع | ||
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