نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشیار دانشگاه علامه طباطبایی

2 دانشجوی دکتری اقتصاد دانشگاه علامه طباطبایی

چکیده

اقتصاد ایران طی سه دهه اخیر با فراز و نشیب‌های بسیاری در فعالیت‌های کلان اقتصادی مواجه بوده است. از جمله آن‌ها، فعالیت‌های بانکی در کشور است. سیستم بانکی کشور طی دهه‌های اخیر با مسایلی از قبیل؛ ملی شدن بانک‌ها، تحمیل سیاست‌های تکلیفی و تبصره‌ای دولت، مدیریت دولتی و کنترل دستوری نرخ سود بانکی روبرو بوده است. بررسی شرایط حاکم بر بانک‌های ایران و مقایسه آن با شرایط کشورهایی که بحران بانکی را تجربه کرده‌اند، به خصوص کشورهای در حال توسعه، بیانگر آن است که اقتصاد ایران شرایط بحران بانکی را تجربه کرده است؛ هرچند که به علت دولتی بودن بانک‌ها و حمایت‌های مالی بانک مرکزی، این شرایط عملاً به بروز بحران آشکار در اقتصاد منجر نشده است. بنابراین، فرضیه مورد آزمون در تحقیق این است که اقتصاد ایران شرایط بحران بانکی را تجربه کرده است. برای شناسایی بحران بانکی در اقتصاد ایران از رهیافت شاخص فشار بازار پول استفاده شد. سپس برای آزمون وقوع بحران بانکی از رهیافت الگوی چرخشی مارکف، استفاده شده است. نتایج برآورد الگو با استفاده از داده‌های ماهانه و طی دوره زمانی (1387-1350)، دلالت بر وقوع شرایط بحران بانکی در ایران است. همچنین نتیاج تحقیق نشان می‌دهد، چنانچه اقتصاد ایران در زمان t در وضعیت آرامش قرار داشته باشد به احتمال 0.77درصد در زمان t+1  هم در آرامش است و اگر در زمان t در وضعیت بحرانی قرار داشته باشد به احتمال 0.52 درصد در زمان t+1  به وضعیت آرامش باز می‌گردد.

کلیدواژه‌ها

عنوان مقاله [English]

Identifying Banking Crisis in Iran

نویسندگان [English]

  • Saeed Moshiri 1
  • Mohammad Nadali 2

1 Associate Professor of Allameh Tabatabaei University

2 PhD student in Economics, Allameh Tabatabaei University

چکیده [English]

The state-owned banks in Iran have been experiencing crisis, but due to nationalization of banking system there has been no bank runs. In this paper, we identify the occasions of banking crisis in Iran using the money market pressure index and the Markov switching method for the period 1971- 2008. The results show that the banking system in Iran has experienced crisis in certain periods. In particular, the money market pressure index has been critical in periods such as the revolution, war with Iraq, after war reconstruction time, and the most recent extreme government control policy of the banks.

کلیدواژه‌ها [English]

  • : Banking Crisis
  • Financial Crisis
  • Markov switching model
  • Iran

منابع

الف- فارسی

1-       عرفانی، علیرضا، بحران پول رایج و اقتصاد ایران: یک سیستم هشدار پیش از وقوع، رساله دکتری، دانشکده علوم انسانی، دانشگاه مازندران، 1385.
2-        گزارش اقتصادی و تراز نامه بانک مرکزی، سال‌های مختلف.
3-       نادری،مرتضی، بررسیتطبیقیآثاربحران‌هایمالیبربخشحقیقی اقتصادها، رساله دکتری، دانشکده اقتصاد، دانشگاه علامه طباطبایی،1382.
4-       نماگرهای اقتصادی بانک مرکزی، شماره‌های مختلف.

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پیوست

جدول(1): نتایج برآورد شاخص فشار پول با روش الگوی ساده چرخشی مارکف

LogL: MARKOVSWITCHING
 
 
 
Method: Maximum Likelihood (Marquardt)
 
Date: 01/22/10   Time: 17:05
 
 
Sample: 1350M02 1387M12
 
 
Included observations: 455
 
 
Evaluation order: By observation
 
 
Estimation settings: tol= 0.00010, derivs=accurate numeric
Convergence achieved after 110 iterations
 
 
 
 
 
 
 
Coefficient
Std. Error
z-Statistic
Prob.
PR(1)
0.960067
0.346120
2.773794
0.0055
PR(2)
2.729704
0.320845
8.507863
0.0000
BETA(1)
1.78E-05
0.034280
0.000519
0.9996
BETA(2)
0.744214
0.482974
1.540898
0.1233
SIGMA(1)
0.603502
0.024420
24.71345
0.0000
SIGMA(2)
2.954647
0.131309
22.50156
0.0000
 
 
 
 
 
Log likelihood
-617.1469
Akaike info criterion
2.739107
Avg. log likelihood
-1.356367
Schwarz criterion
2.793441
Number of Coefs.
6
Hannan-Quinn criter.
2.760512

جدول(2): نتایج برآورد شاخص فشار پول با روش الگوی گارچ چرخشی مارکف

LogL: MARKOVSWITCHING
 
 
 
Method: Maximum Likelihood (Marquardt)
 
Date: 01/22/10   Time: 18:29
 
 
Sample: 1350M03 1387M12
 
 
Included observations: 454
 
 
Evaluation order: By observation
 
 
Estimation settings: tol= 0.00010, derivs=accurate numeric
Convergence achieved after 82 iterations
 
 
 
 
 
 
 
Coefficient
Std. Error
z-Statistic
Prob.
PR(1)
1.213824
1.36E-06
889830.5
0.0000
PR(2)
0.112407
0.001365
82.35698
0.0000
WPSI(1)
-5.583576
355.7464
-0.015695
0.9875
WPSI(2)
10.70267
4826.896
0.002217
0.9982
APSI(1)
1.083549
3.300179
0.328330
0.7427
APSI(2)
2.905017
3.100100
0.937072
0.3487
BPSI(1)
0.954965
0.316488
3.017385
0.0025
BPSI(2)
-4.523723
23.31863
-0.193996
0.8462
ALPHA(1)
0.010065
0.100606
0.100042
0.9203
BETA(1)
-0.072240
0.125442
-0.575882
0.5647
ALPHA(2)
0.111228
0.189831
0.585931
0.5579
BETA(2)
-0.408280
0.177186
-2.304243
0.0212
 
 
 
 
 
Log likelihood
-758.1357
Akaike info criterion
3.392668
Avg. log likelihood
-1.669902
Schwarz criterion
3.501517
Number of Coefs.
12
Hannan-Quinn criter.
3.435554
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