بررسی تاثیر سیاست‌های پولی بر ترکیب بهینه سبد دارایی بانک مرکزی

Purpose: This study aims to investigate the impact of monetary policies on the optimal composition of the asset portfolio of the Central Bank of Iran (CBI) over the period from 1971 to 2023. Monetary policies, as key instruments for managing the financial system and influencing macroeconomic outcomes, shape the allocation of the CBI’s assets, including foreign currency reserves, gold, debt securities, and other financial instruments, through mechanisms such as interest rate adjustments, liquidity management, and inflation control. Given Iran’s unique economic context, characterized by chronic inflation, significant currency fluctuations, and international sanctions, this research seeks to identify how these policies influence the asset portfolio of the CBI and to propose strategies for optimizing asset allocation so as to enhance monetary policy effectiveness and economic stability. By analyzing the economic data spanning over five decades, the study addresses how changes in interest rates, liquidity, and inflation affect the asset composition of the CBI. Additionally, by comparing Iran’s asset portfolio with global trends, the research aims to identify approaches to mitigate geo-economic risks, such as currency volatility due to sanctions or shifts in global trade, and to strengthen the resilience of the CBI balance sheet. The ultimate objective is to provide policy recommendations to improve asset portfolio management, support macroeconomic goals such as preserving the national currency value, managing economic crises, and fostering public confidence in Iran’s financial system.
 
Methodology: This study employs an optimal control model to analyze the impact of monetary policies on the asset portfolio of the CBI, utilizing the Particle Swarm Optimization (PSO) algorithm implemented in the Spyder environment, a Python-based integrated development platform. The PSO algorithm, inspired by collective behaviors in biological systems, optimizes asset allocation by maximizing expected returns while minimizing risk and transaction costs. The data covering 1971 to 2023 were derived from reputable institutions, including the Central Bank of Iran, the Statistical Center of Iran, the International Monetary Fund (IMF), and the World Bank. According to the CBI balance sheet report (2022), the financial components of Iran’s national balance sheet include monetary gold, special drawing rights, currency in circulation, demand deposits, debt securities, and other financial items. The asset portfolio is defined as a combination of gold, currency, foreign reserves, and debt securities, based on variable structures and prior studies. The research adopts the generalized Markowitz (1952) model, which defines an efficient portfolio as the optimal combination of assets that minimizes variance for a given return (max-min or min-max criteria). The key variables include interest rates, inflation rates, liquidity imbalances (misalignment of money supply and demand), and asset categories such as gold, foreign currencies (USD, EUR, CHF), and debt securities. Transaction and shortage costs are modeled as functions of monetary policies, including interest rates, monetary imbalances, and inflation. The data were normalized, and cross-validation (70% training, 30% testing) yielded a mean squared error (MSE) of 0.012. Sensitivity analyses examined the policy variables within a normalized range of 0.5 (highly contractionary) to 1.5 (highly expansionary).
 
Findings and Discussion: The results indicate that monetary policies significantly influence the CBI’s asset portfolio composition. Expansionary policies, marked by reduced interest rates, increase the share of debt securities by approximately 15% while decreasing foreign currency reserves, particularly USD and EUR, by about 10%, reflecting the CBI dependence on domestic instruments for liquidity management. Rising inflation drives the CBI toward safe-haven assets like gold and the Swiss Franc (CHF), with the share of gold rising by up to 20% during high-inflation periods, aligning with IMF (2024) reports confirming increased gold demand in inflationary conditions. Liquidity fluctuations, particularly during monetary imbalances, prompt portfolio adjustments, with gold and debt securities shares increasing by up to 25% in unstable scenarios. Compared to global central banks, Iran’s portfolio exhibits higher dependence on USD and EUR (59% USD, 21% EUR, 10% gold globally), rendering it vulnerable to geo-economic risks. Countries like China and Russia have mitigated such risks through reserve diversification. The model aligns with the CBI balance sheet data (2023) and IMF reports, validating the accuracy of PSO algorithm’s accuracy. These findings underscore the need to reassess the asset allocation strategies to reduce economic vulnerabilities, particularly given Iran’s exposure to sanctions and currency fluctuations. The observed trends highlight the CBI adaptive responses to monetary policy shifts and the importance of balancing risk and return in portfolio management to enhance economic resilience.
 
Conclusions and Policy Implications: This study demonstrates that monetary policies, through interest rates, inflation, and liquidity imbalances, significantly shape the asset portfolio of the CBI. Expansionary policies increase debt securities and reduce foreign currency holdings, while high inflation boosts demand for safe-haven assets like gold and CHF. Iran’s heavy dependence on USD and EUR, compared to global benchmarks, heightens its exposure to geo-economic risks. To optimize the asset portfolio and enhance economic stability, the following policy recommendations are proposed:
- Diversification of foreign reserves: The CBI should reduce dependence on USD and EUR by incorporating currencies like the Chinese Yuan, despite trade constraints due to sanctions.
- Increasing gold reserves: Gradual increases in gold reserves during stable periods are recommended to hedge against inflation and currency depreciation risks.
- Liquidity management with debt securities: Targeted issuance of debt securities with competitive interest rates is advised to control liquidity and inflation, particularly in contractionary policy phases.
Gradual interest rate reforms: Phased adjustments to real interest rates are essential to balance inflation control and investment stimulation, addressing Iran’s history of financial repression.
These recommendations consider Iran’s structural constraints, such as sanctions and oil dependency, while aligning with global best practices. Future research could incorporate diversification indices to refine allocation strategies. By implementing these policies, the CBI can strengthen its balance sheet, enhance economic stability, and improve resilience against external shocks, supporting Iran’s macroeconomic objectives effectively.