چکیده:
بازارهای مالی با کاهش هزینه‌های مبادله‌ای و عدم تقارن‌های اطلاعاتی در اقتصاد سبب ارتقای سطح پس‌‌انداز، انباشت سرمایه و رشد اقتصادی می‌شوند. اگرچه رشد بازارهای مالی کارا نقش تعیین‌‌کننده‌ای در رشد اقتصادی دارد، باید توجه داشت که وقوع بحران در بازارهای مالی نیز به نوبۀ خود به تنش مالی و در برخی شرایط به رکود اقتصادی می‌انجامد. هدف این پژوهش برآورد شاخص تنش مالی در بازارهای دارایی و تأمین مالی در اقتصاد ایران از سال ۱۳۸۰ تا ۱۳۹6 است. برای محاسبۀ شاخص تنش مالی ابتدا پنج بخش اصلی مالی کشور شامل بخش پولی و بانکی، ارز، سهام، مستغلات و بازار اعتبارات انتخاب شد. با استفاده از روش تکنیک مؤلفه‌‌های اصلی (PCA)، متغیرهای مربوط به تنش در اجزای نظام مالی کشور تجمیع و شاخص تنش مالی پیشنهادی برای اقتصاد ایران استخراج شده است. نتایج پژوهش از نقش تأثیرگذار تنش در بازار اعتبارات بر تنش مالی در اقتصاد ایران حکایت دارد.
چکیده انگلیسی:
Introduction:
Financial markets promote savings, capital accumulation, and economic growth by reducing transaction costs and information asymmetries in the economy. The growth of efficient financial markets plays a decisive role in economic growth, but it should be noted that the occurrence of a crisis in the financial markets can also lead to economic decline and in some situations to recession. One of the warning signs of a financial crisis is the financial stresses that occur in the financial markets and lead to increased uncertainty and instability in the economy. Tensions in financial markets are defined as the force influencing the behavior of economic agents in the form of uncertainty and changing expectations.
Existence of financial stress in various ways such as reducing the tendency to hold non-cash and risky assets, increasing uncertainty about investor behavior, the fundamental value of assets and future economic conditions, the behavior of agents affects the economy and also hurts economic growth due to increasing information asymmetries. One of the newest indicators used to study financial markets is the financial stress index, which is calculated by combining the performance indicators of different financial markets.
Method and Data:
The purpose of this paper is to estimate the financial stress index at asset markets and financing in Iran’s economy from 2001 to 2017. To calculate the financial stress index, the first five main financial sectors of the country including monetary and banking sectors, currency, stock market, real estate, and credit market were selected. After selecting the parts of the financial system and presenting an index for each sector, it is time to calculate the index for each sector and then combine them to calculate the combined index. For this purpose, the specified data in the previous section for each part of the financial system have been extracted from reputable statistical sources such as the time series database of the Central Bank, the Statistics Center of Iran, and the database of the Ministry of Economy.
Using the principal component analysis (PCA) method, stress-related variables are aggregated in the components of the country's financial system and the proposed financial stress index for Iran’s economy is extracted. To calculate the financial stress index, the first five main financial sectors of the country, including monetary and banking sectors, currency, stock market, real estate, and credit market were selected. For each of the mentioned segments, the sectoral financial stress indices have been calculated using the methodology used in similar foreign samples. Then, using the principal component analysis (PCA) method, stress-related variables are aggregated in the components of the country's financial system and the proposed financial stress index for Iran’s economy is extracted. These tensions can be divided into three categories: (1) from the second quarter of 2007 to the second quarter of 2008, which with the orderly reduction of bank’s interest rates by the government, the number of facilities granted to the private sector entered a downward trend. (2) From the first quarter of 2011 to the third quarter of 2013, when the exchange rate jumped due to international sanctions, the stock market and real estate fluctuated, and the facilities granted and the normal operation of the banking network began to decline. This period was accompanied by rising inflation and a credit crunch. (3) Other periods in which the behavior of the country's economy in terms of financial stress has been fluctuated around the average with relatively high financial stress due to increased private sector debt to banks and chronic inflation, but at the same time has been relatively stable.
Findings:
The results of studies indicate that in the period under study, Iran’s economy has experienced tense periods. During periods of financial turmoil, accompanied by disruption of credit market financing, the value of foreign exchange, real estate, and stock assets increased in the opposite direction of the monetary and credit markets. The same phenomenon can explain the tendency of companies and households to hold foreign exchange assets and stocks, as well as identifying the profits of companies from increasing the value of their land and housing assets in periods of financial stress.
Conclusion and discussion:
The analysis of the results shows that the tension in the credit market has a high and significant correlation (at the level of one percent) with the tension at other financial sectors of the country. In addition to the credit market, the monetary and banking market and the foreign exchange market are other important and sensitive sectors of the country's economy in which tensions are significantly correlated with other markets and affect the entire economy. A high and significant correlation at the level of one percent of tension in the foreign exchange market with the monetary and banking sector of the country indicates the impact of the monetary and banking sector on the tension in the foreign exchange market, which has shown itself many times in recent decades.
خبرنامه
برای ثبت نام در خبرنامه و دریافت خبرنامه ایمیل خود را وارد نمایید.
