Empirical Investigation of Risk Tacking Channel of Monetary Policy in Iran

Farhad Rahbar and Mostafa Sargolzaei ()
Additional contact information
Farhad Rahbar: Tehran University, Faculty of Economics, Tehran, Iran
Mostafa Sargolzaei: Tehran University, Faculty of Economics, Tehran, Iran

Hyperion Economic Journal, 2014, vol. 2, issue 3, 20-28

Abstract: This study deals with investigation of existence of monetary policy risk channel in the economy of Iran. For the same purpose, the seasonal data of macroeconomic variables are used in such a manner that changes in interest rate as an indicator of monetary policy and bank leverage ratio as an indicator of risk are considered. Using VAR approach and Impulse response functions, the experimental test of channel of monetary policy risk in the economy of Iran was examined. The results showed that an expansionary monetary policy which occurs by decrease in interest rates causes that risk of bank system to be increased. In addition, it should be stated that inflation had positive impacts and economic growth had negative impacts on the risk of bank system.

Keywords: Monetary Policy; Risk Tacking Channel; VAR (search for similar items in EconPapers)
JEL-codes: E31 E52 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hej.hyperion.ro/articles/3(2)_2014/HEJ%20nr3(2)_2014_A3Rahbar.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hyp:journl:v:2:y:2014:i:3:p:20-28

Access Statistics for this article

Hyperion Economic Journal is currently edited by Iulian Panait

More articles in Hyperion Economic Journal from Faculty of Economic Sciences, Hyperion University of Bucharest, Romania Hyperion University, Faculty of Economic Sciences, Calea Calarasilor no. 169, district 3, Bucharest, 030615, Romania. Contact information at EDIRC.
Bibliographic data for series maintained by Iulian Panait ().