نوع مقاله: مقاله پژوهشی

نویسندگان

1 دانشیار گروه اقتصاد دانشگاه مازندران،مازندران،ایران

2 استاد گروه اقتصاد، دانشگاه تهران، تهران، ایران

3 دانشیار گروه اقتصاد، دانشگاه مفید، قم، ایران

4 استادیار گروه اقتصاد دانشگاه علامه محدث نوری، مازندران، ایران

چکیده

این مقاله در صدد بهینه‏ سازی سطح شفافیت بانک مرکزی است به گونه‏ ای که تلاطم بازارهای مالی در کشورهای منتخب عضو سازمان همکاری های اسلامی (بر اساس حداکثر در دسترس بودن داده ها) طی سال های 2002-2014 حداقل شود. با بکارگیری روش GMM آرلانو-باند و استفاده از شاخص دینسر و ایچنگرین، به عنوان متغیر نماینده شفافیت، حد بهینه شفافیت بانک مرکزی استخراج می‏ شود. نتایج نشان می‏ دهد که افزایش در سطح شفافیت بانک مرکزی تا نقطه خاصی موجب کاهش تلاطم بازارهای مالی می شود و بعد از این نقطه، اطلاعات اضافی از بانک های مرکزی موجب تشدید تلاطم بازارهای مالی می گردد. همچنین تأثیر سایر متغیرها (عمق مالی، پیشینه تورم و نرخ بیکاری) بر تلاطم بازارهای مالی مثبت است. ازاین‌رو، حرکت با احتیاط به‌سوی شفافیت سیاست پولی پیشنهاد می شود زیرا تلاطم بازارهای مالی به طور قابل ملاحظه ای می تواند کاهش یابد که دلالت بر مزایای مهم ثبات مالی دارد.

کلیدواژه‌ها

عنوان مقاله [English]

Derivation of Optimal Central Bank Transparency for Minimizing the Financial Market Volatility: A Case Study of the Selected States of Organization of Islamic Cooperation

نویسندگان [English]

  • MohammadAli Ehsani 1
  • Asadollah Farzinvash 2
  • Nasser Elahi 3
  • Reza Izadi 4

1 Associate Professor in Economics, Mazandaran University, Mazandaran, Iran

2 Professor of Economics, University of Tehran, Iran

3 Associate Professor of Economics, Mofid University, Iran

4 Assistant Professor of Economics, Allameh Mohaddes Nouri University, Iran

چکیده [English]

This paper aims to optimize the central bank transparency level which corresponds to the minimum of financial markets volatility in selected states of the Organization of Islamic Cooperation (based on the maximum data availability) during the period 2004-2014. Applying the Arellano-Bond GMM estimation and using the Dincer and Eichengreen index as a proxy of transparency. includes five aspects covering political, economic, procedural, policy, and operational transparency. This index ranges in numerical value from 0 to 15. The result indicates that an increase in the level of central bank transparency will decrease financial markets volatility up to a certain point, after which additional information from central banks begins to exacerbate it. Also, the effect of other variables (financial depth, past inflation and unemployment rate) on financial markets volatility was found positive. Therefore, moving with caution towards monetary policy transparency is recommended as financial markets volatility can be reduced considerably, implying significant benefits for financial stability.

کلیدواژه‌ها [English]

  • Central Bank Transparency
  • Financial Markets Volatility
  • Optimal transparency level
  • Generalized Method of Moments (GMM)

منابع

الف) فارسی

  1. 1.        حسنی، لیلا؛ و شاهنوشی­فروشانی، ناصر. (1393)، «بررسی اثر شفافیت اطلاعات بانک مرکزی بر نرخ تورم در ایران»، اولین کنفرانس بین­المللی اقتصاد، مدیریت، حسابداری و علوم اجتماعی، رشت، خرداد.
  2. 2.        رهنمای رودپشتی، فریدون؛ تقوی، مهدی؛ و شاهوردیانی، شادی (1392)، «تعمیق مالی و توسعه نظام مالی»، مجله دانش مالی تحلیل اوراق بهادار، شماره 17، صص 15-28.
  3. 3.        ستاری، امید؛ یاوری، کاظم؛ حیدری، حسن؛ و اعتصامی، منصور. (1395)، «بررسی اثر آزادی پولی و مالی بر شفافیت سیاست پولی در کشورهای کم­درآمد، با درآمد متوسط و پردرآمد»، فصلنامه نظریه‌های کاربردی اقتصاد، شماره 4، صص 153-176.
    1. 4.       Antell, Jan (2004), "Essays on the Linkages Between Financial Markets, and Risk Asymmetries", Publications of Swedish School of Economics and Business Administration, Helsingfors.
    2. 5.       Arellano, Manuel and Bond, Stephen. (1991). “Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations.” The Review of Economic Studies, Vol. 58, No. 2, pp. 277-297.
    3. 6.       Bernanke, Ben and Kuttner, Kenneth. (2005). “What Explains the Stock Market’s Reaction to Federal Reserve Policy?” Journal of Finance. Vol. 60, No. 3, pp. 1221-1257.
    4. 7.       Blinder, Alan. S., Goodhart, Charles, Hildebrand, Philipp M. and Lipton, David (2001). “How Do Central Banks Talk?” Geneva Reports on the World Economy, Center for Economic Policy Research.
    5. 8.       Blinder, Alan. S. (1998). “Central Bank Independence in Theory and Practice.” Cambridge: MIT Press.
    6. 9.       Blundell, Richard, and Bond, Stephen (1998). “Initial Conditions and Moment Restrictions in Dynamic Panel-Data Models.” Journal of Econometrics. Vol. 87, pp. 115-143.
    7. 10.    Born, Benjamin, Ehrmann, Michael, and Fratzscher, Marcel (2010). “Macroprudential Policy and Central Bank Communication.” CEPR Discussion Paper No. DP8094. (November).
    8. 11.    Born, Benjamin, Ehrmann, Michael, and Fratzscher, Marcel (2012). “Communicating About Macroprudential Supervision – A New Challenge for Central Banks.” International Finance, Vol. 15, No. 2, pp. 179-203.
    9. 12.    Born, Benjamin, Ehrmann, Michael, and Fratzscher, Marcel (2014). “Central Bank Communication on Financial Stability.” The Economic Journal, doi: 10.1111/ecoj.12039.
    10. 13.    Brummer, Bernhard, Korn, Olaf, Schlubler, Kristina, Jaghdani, Tinoush Jamali (2013). “Volatility in the after crisis period: A Literature review of recent empirical research” Working Paper, No. 1.
    11. 14.    Cecchetti, Stephen G. and Krause, Stefan (2002). “Central Bank Structure, Policy Efficiency, and Macroeconomic Performance: Exploring Empirical Relationships.” The Federal Reserve Bank of St. Louis. (July/August).
    12. 15.    Demertzis, Maria and Hughes-Hallet, Andrew (2007). “Central bank transparency in theory and practice” Journal of Macroeconomics, 29 (4), 760–789.
    13. 16.    Dincer, Nergiz and Eichengreen, Barry (2014). “Central Bank Transparency and Independence: Updates and New Measures.” International Journal of Central Banking, Vol. 10, No. 1, pp. 189-259.
    14. 17.    Dincer, Nergiz and Eichengreen, Barry (2007). “Central Bank Transparency: Where, Why, and with What Effects?” NBER Working Paper Series, 13003.
    15. 18.    Dotsey, Michael (1987) “Monetary Policy, Secrecy, and Federal Funds Rate Behavior.” Journal of Monetary Economics, Vol. 20, No. 3, (December), pp. 463-474..
    16. 19.    Ehrmann, Michael and Fratzscher, Marcel (2007). “Communication by Central Bank Committee Members: Different Strategies, Same Effectiveness?” Journal of Money, Credit, and Banking. Vol. 39, No. 2-3, (March-April).
    17. 20.    Eijffinger, Sylvester C.W. and Geraats, Petra M. (2002). “How Transparent are Central Banks?” CEPR Discussion Paper 3188.
    18. 21.    Eijffinger, Sylvester C.W. and Geraats, Petra M. (2006). “How Transparent are Central Banks?” European Journal of Political Economy, Vol. 22, No. 1, pp. 1-21.
    19. 22.    Franses, Philip Hans and van Dijk, Dick (2003). “Non-Linear time series models in empirical finance” Cambridge University Press: Cambridge.
    20. 23.    Geraats, Petra M. (2002). “Central Bank Transparency.” The Economic Journal, (November), F532-F565.
    21. 24.    Haldane, Andrew George and Read, Vicky (2000). “Monetary policy surprises and the yield curve.” Bank of England Working Paper 106.
    22. 25.    Hosseini, Safdar, Salami, HabibAllah, and Nikookar, Afsaneh (2007). “The pattern of price transmission in the broiler market of Iran” Journal of Economic and Agriculture, 1(2), 1-21.
    23. 26.    Muller, Philippe and Zelmer, Mark (1999). “Greater Transparency in Monetary Policy: Impact on Financial Markets.” Technical Report 86, Bank of Canada.
    24. 27.    Murdzhev, Aleksandar and Tomljanovich, Marc (2006). “What Color Is Alan Greenspan’s Tie? How Central Bank Policy Announcements Have Changed Financial Markets.” Eastern Economic Journal, fall, pp. 571-593.
    25. 28.    Neuenkirch, Matthias (2012). “Managing Financial Market Expectations: The Role of Central Bank Transparency and Central Bank Communication.” European Journal of Political Economy, Vol 28, Issue 1, (March), pp 1-13.
    26. 29.    Neumann, Manfred (2002). “Transparency in monetary policy.” Atlantic Economic Journal, Vol. 30, Issue. 4, (December), pp. 353–365.
    27. 30.    Papadamou, Stephanos, Sidiropoulos, Moïse and Spyromitros, Eleftherios (2014). “Does central bank transparency affect stock market volatility?” Journal of International Financial Markets, Institutions & Money, Vol 31 (July), pp 362–377.
    28. 31.    Papadamou, Stephanos, Sidiropoulos, Moïse and Tzeremes, Nickolaos (2017). “Investigating the Relationship Between Central Bank Transparency and Stock Market Volatility in a Nonparametric Framework” Credit and Capital Markets – Kredit und Kapital, Vol 50, No. 1, pp 63–83.
    29. 32.    Peek, Joe, Rosengren, Eric S. and Tootell, Geoffrey M. B. (1999). “Is Bank Supervision Central to Central Banking?” Quarterly Journal of Economics, Vol. 114, No. 2, pp. 629-653.
    30. 33.    Romer, Christina D. and Romer, David H. (2000). “Federal Reserve Information and the Behavior of Interest Rates.” American Economic Review, Vol. 90, No. 3, pp. 429-457.
    31. 34.    Rogoff, Kenneth (1985). “The optimal degree of commitment to a monetary target.” Quarterly Journal of Economics, Vol. 100, No. 4, 1169–1190.
    32. 35.    Rudin, Jeremy R. (1988). “Central Bank Secrecy, ‘Fed Watching,’ and the Predictability of Interest Rates.” Journal of Monetary Economics, (September), pp. 317-334.
    33. 36.    Siklos, Pierre L. (2000). “Monetary Policy Transparency, Public Commentary and Market Perceptions about Monetary Policy in Canada.” Bundesbank Discussion Paper 08/00.
    34. 37.    Tabellini, Guido. (1987). “Secrecy of Monetary Policy and the Variability of Interest Rates.” Journal of Money, Credit, and Banking, Vol. 19, No. 4, (November), pp. 425-36.
    35. 38.    Vishwanath, Tara and Kaufmann, Daniel (2001). “Toward Transparency: New Approaches and Their Application to Financial Markets.” The World Bank Research Observer, Vol. 16, No. 1, (spring), pp. 41-57.
    36. 39.    Zavodny, Madeline and Ginther, Donna K. (2005). “Does the Beige Book Move Financial Markets?” Southern Economic Journal. Vol. 72, No. 1. (July), pp. 138-151.

ب) لاتین