IDEAS home Printed from https://ideas.repec.org/a/zbw/espost/248644.html
   My bibliography  Save this article

Macro-prudential policies and financial cycle in Iran

Author

Listed:
  • Mirjalili, Seyed Hossein
  • Nafiseh Keshtgar
  • Mosayeb Pahlavani

Abstract

Financial markets are channels for attracting surplus financial resources and allocating them to investment. Macro-prudential policy needs to consider the financial cycle in order to assess the state of the financial sector, predict its developments and justify the need for specific policy tools. we examined the effect of macroprudential policies on the financial cycle of Iran's economy Over the period 2008-2018 using Unobserved Components Structural Time Series Model. We explored the effect of the macroprudential policy index and other variables on the financial cycle. The findings of this study, using the Generalized method of moments (GMM) for the time series data, suggested that the macro-prudential policy index has a negative and significant effect on the financial cycle in the Iranian economy. Also, the probability(likelihood) of a banking crisis, the interbank market loan rate, and the economic growth index have a positive and significant effect on the financial cycle.

Suggested Citation

  • Mirjalili, Seyed Hossein & Nafiseh Keshtgar & Mosayeb Pahlavani, 2021. "Macro-prudential policies and financial cycle in Iran," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 13(1), pages 95-114.
    • Handle: RePEc:zbw:espost:248644
    DOI: 10.22111/ijbds.2021.6582
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/248644/1/Macroprudential-policies-and-financial-cycle-in-Iran.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22111/ijbds.2021.6582?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Enrico Perotti & Javier Suarez, 2011. "A Pigovian Approach to Liquidity Regulation," International Journal of Central Banking, International Journal of Central Banking, vol. 7(4), pages 3-41, December.
    2. Mr. Simon T Gray, 2011. "Central Bank Balances and Reserve Requirements," IMF Working Papers 2011/036, International Monetary Fund.
    3. Agur, Itai & Demertzis, Maria, 2019. "Will macroprudential policy counteract monetary policy’s effects on financial stability?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 65-75.
    4. Lars E. O. Svensson, 2018. "Monetary policy and macroprudential policy: Different and separate?," Canadian Journal of Economics, Canadian Economics Association, vol. 51(3), pages 802-827, August.
    5. Stijn Claessens, 2015. "An Overview of Macroprudential Policy Tools," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 397-422, December.
    6. Ragnar Nymoen & Kari Pedersen & Jon Ivar Sjåberg, 2019. "Estimation of Effects of Recent Macroprudential Policies in a Sample of Advanced Open Economies," IJFS, MDPI, vol. 7(2), pages 1-20, May.
    7. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2011. "Anchoring Countercyclical Capital Buffers: The role of Credit Aggregates," International Journal of Central Banking, International Journal of Central Banking, vol. 7(4), pages 189-240, December.
    8. Freixas, Xavier & Laeven, Luc & Peydró, José-Luis, 2015. "Systemic Risk, Crises, and Macroprudential Regulation," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262028697, December.
    9. Björn Richter & Moritz Schularick & Ilhyock Shim, 2018. "The macroeconomic effects of macroprudential policy," BIS Working Papers 740, Bank for International Settlements.
    10. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-1286, September.
    11. Adrian, Tobias & Song Shin, Hyun, 2010. "Financial Intermediaries and Monetary Economics," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 12, pages 601-650, Elsevier.
    12. Meghana Ayyagari & Thorsten Beck & Maria Soledad Martinez Peria, 2017. "Credit growth and macroprudential policies: preliminary evidence on the firm level," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial systems and the real economy, volume 91, pages 15-34, Bank for International Settlements.
    13. Mr. Bas B. Bakker & Mr. Giovanni Dell'Ariccia & Mr. Luc Laeven & Mr. Jerome Vandenbussche & Ms. Deniz O Igan & Mr. Hui Tong, 2012. "Policies for Macrofinancial Stability: How to Deal with Credit Booms," IMF Staff Discussion Notes 2012/006, International Monetary Fund.
    14. Kaushik Jayaram & Blaise Gadanecz, 2016. "Macroprudential policy frameworks, instruments and indicators: a review," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Combining micro and macro data for financial stability analysis, volume 41, Bank for International Settlements.
    15. Olivier Blanchard & Giovanni Dell'Ariccia & Paolo Mauro, 2014. "Introduction: Rethinking Macro Policy II--Getting Granular," MIT Press Book Chapters, in: What Have We Learned? Macroeconomic Policy After the Crisis, edition 1, volume 1, chapter 0, pages 1-28, The MIT Press.
    16. Carmen M. Reinhart & Kenneth S. Rogoff, 2011. "From Financial Crash to Debt Crisis," American Economic Review, American Economic Association, vol. 101(5), pages 1676-1706, August.
    17. Bank for International Settlements, 2017. "Financial systems and the real economy," BIS Papers, Bank for International Settlements, number 91.
    18. Julia Giese & Henrik Andersen & Oliver Bush & Christian Castro & Marc Farag & Sujit Kapadia, 2014. "The Credit‐To‐Gdp Gap And Complementary Indicators For Macroprudential Policy: Evidence From The Uk," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(1), pages 25-47, January.
    19. Central Bank of Argentina, 2017. "Macroprudential policy framework, implementation and relationships with other policies," BIS Papers chapters, in: Bank for International Settlements (ed.), Macroprudential frameworks, implementation and relationship with other policies, volume 94, pages 65-75, Bank for International Settlements.
    20. Briguglio, Lino, 1995. "Small island developing states and their economic vulnerabilities," World Development, Elsevier, vol. 23(9), pages 1615-1632, September.
    21. Cabral, Inês & Detken, Carsten & Fell, John & Henry, Jérôme & Hiebert, Paul & Kapadia, Sujit & Pires, Fatima & Salleo, Carmelo & Constâncio, Vítor & Nicoletti Altimari, Sergio, 2019. "Macroprudential policy at the ECB: Institutional framework, strategy, analytical tools and policies," Occasional Paper Series 227, European Central Bank.
    22. Renzo G Rossini and Zenón Quispe, 2017. "Implementation of macroprudential policy in Peru," BIS Papers chapters, in: Bank for International Settlements (ed.), Macroprudential policy frameworks, implementation and relationships with other policies, volume 94, pages 257-275, Bank for International Settlements.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Keshtgar, Nafiseh & Pahlavani, Mosayeb & Mirjalili, Seyed Hossein, 2020. "The Impact of Macroprudential Policies on the Vulnerability of the Banking System: Dynamic Panel Model," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 15(4), pages 357-379.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Fendoğlu, Salih, 2017. "Credit cycles and capital flows: Effectiveness of the macroprudential policy framework in emerging market economies," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 110-128.
    2. Epure, Mircea & Mihai, Irina & Minoiu, Camelia & Peydró, José-Luis, 2018. "Household Credit, Global Financial Cycle, and Macroprudential Policies: Credit Register Evidence from an Emerging Country," EconStor Preprints 216800, ZBW - Leibniz Information Centre for Economics.
    3. Mircea Epure & Irina Mihai & Camelia Minoiu & José-Luis Peydró, 2017. "Global financial cycle, household credit, and macroprudential policies," Economics Working Papers 1590, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 2023.
    4. Ionut Mircea, 2015. "Macroprudential policies on banking system," Manager Journal, Faculty of Business and Administration, University of Bucharest, vol. 21(1), pages 86-105, May.
    5. Sylvain Benoit & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2017. "Where the Risks Lie: A Survey on Systemic Risk," Review of Finance, European Finance Association, vol. 21(1), pages 109-152.
    6. policy, Work stream on macroprudential & Albertazzi, Ugo & Martin, Alberto & Assouan, Emmanuelle & Tristani, Oreste & Galati, Gabriele & Vlassopoulos, Thomas, 2021. "The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area," Occasional Paper Series 272, European Central Bank.
    7. Miroslav Plašil & Jakub Seidler & Petr Hlaváč, 2016. "A New Measure of the Financial Cycle: Application to the Czech Republic," Eastern European Economics, Taylor & Francis Journals, vol. 54(4), pages 296-318, July.
    8. Mirzaei, Ali & Samet, Anis, 2022. "Effectiveness of macroprudential policies: Do stringent bank regulation and supervision matter?," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 342-360.
    9. Belkhir, Mohamed & Naceur, Sami Ben & Candelon, Bertrand & Wijnandts, Jean-Charles, 2022. "Macroprudential policies, economic growth and banking crises," Emerging Markets Review, Elsevier, vol. 53(C).
    10. Borio, Claudio, 2014. "The financial cycle and macroeconomics: What have we learnt?," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 182-198.
    11. Miroslav Plasil & Tomas Konecny & Jakub Seidler & Petr Hlavac, 2015. "In the Quest of Measuring the Financial Cycle," Working Papers 2015/05, Czech National Bank.
    12. Maria Kasselaki & Athanasios Tagkalakis, 2014. "Financial soundness indicators and financial crisis episodes," Annals of Finance, Springer, vol. 10(4), pages 623-669, November.
    13. Lombardi, Domenico & Siklos, Pierre L., 2016. "Benchmarking macroprudential policies: An initial assessment," Journal of Financial Stability, Elsevier, vol. 27(C), pages 35-49.
    14. Bluwstein, Kristina & Buckmann, Marcus & Joseph, Andreas & Kang, Miao & Kapadia, Sujit & Simsek, Özgür, 2020. "Credit growth, the yield curve and financial crisis prediction: evidence from a machine learning approach," Bank of England working papers 848, Bank of England.
    15. Cerutti, Eugenio & Claessens, Stijn & Laeven, Luc, 2017. "The use and effectiveness of macroprudential policies: New evidence," Journal of Financial Stability, Elsevier, vol. 28(C), pages 203-224.
    16. Torsten Wezel, 2019. "Conceptual Issues in Calibrating the Basel III Countercyclical Capital Buffer," IMF Working Papers 2019/086, International Monetary Fund.
    17. Gabriele Galati & Richhild Moessner, 2018. "What Do We Know About the Effects of Macroprudential Policy?," Economica, London School of Economics and Political Science, vol. 85(340), pages 735-770, October.
    18. Aikman, David & Bridges, Jonathan & Burgess, Stephen & Galletly, Richard & Levina, Iren & O'Neill, Cian & Varadi, Alexandra, 2018. "Measuring risks to UK financial stability," Bank of England working papers 738, Bank of England.
    19. R. Barrell & D. Karim & C. Macchiarelli, 2020. "Towards an understanding of credit cycles: do all credit booms cause crises?," The European Journal of Finance, Taylor & Francis Journals, vol. 26(10), pages 978-993, July.
    20. Jérôme Vandenbussche & Piyabha Kongsamut & Dilyana Dimova, 2018. "Macroprudential Policy Effectiveness: Lessons from Southeastern Europe," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(9), pages 60-102, May.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:espost:248644. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/zbwkide.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.