نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشجوی دکتری، دانشگاه علامه طباطبایی
2 اســـتادیار، گـــروه مـــالی و بـــانکی، دانشـــکده مـــدیریت و حســـابداری، دانشـــگاه علامـــه طباطبـــائی، تهـــران، ایـــران
3 دانشگاه علامه طباطبایی
چکیده
کلیدواژه‌ها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
This article employs a dynamic stochastic general equilibrium (DSGE) framework to investigate the multifaceted repercussions of macroeconomic shocks on asset and liability management within the banking system. The core objective of this study revolves around a theoretical model that elucidates the dynamics of crucial variables in bank asset and liability management when confronted with four distinct types of shocks: monetary policy, productivity, public expenditures, and investment. Subsequently, this conceptual model is subjected to comprehensive simulations aimed at dissecting the intricate ways in which these shocks influence various facets of the Iranian economic and banking system, encompassing bank capital, loans, deposits, interbank defaults, and interbank rates, both in the short term and the long term. The findings of this research reveal the effect of diverse shocks on the asset and liability management of banks. These effects are exquisitely attuned to the duration and magnitude of the respective shocks. Specifically, a positive productivity shock is observed to engender a long-term surge in loans and deposits, while a positive monetary policy shock engenders a contraction in policy rates and a simultaneous upswing in interbank liquidity. Moreover, a positive shock in public expenditures ushers in an expansionary influence on bank lending, potentially leading to a decrease in interest rates over the long term.These findings illuminate the intricate mechanisms through which macroeconomic shocks permeate the banking system, underscoring their consequential implications for the regulatory and supervisory frameworks governing banks. As such, this study extends a more profound comprehension of the intricate interplay between shocks and asset and liability management within the banking sector, thereby informing policymakers, regulators, and practitioners in their endeavors to craft resilient and adaptive strategies for mitigating the impacts of macroeconomic fluctuations. In sum, the insights gleaned from this research significantly enhance our collective understanding of the complex dynamics within the banking system, facilitating more robust decision-making processes and enhancing financial stability.
کلیدواژه‌ها [English]
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