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The Relationship between Monetary Policy, Inflationary Environment and Deposits in Banks of Iran (Panel VAR Analysis) (in Persian)

Author

Listed:
  • Shaliha, Zahra

    (Islamic Azad University)

  • Daghighiasli, Alireza

    (Iran)

  • Mirzaeinejad, Mohammadreza

    (Islamic Azad University)

  • Afsharirad, Majid

    (Islamic Azad University)

Abstract

The relationship between monetary policy shocks and total deposits of banks is one of the main important issues in monetary economics and banking literature and has been considered empirically in recent years. Hence, the main aim of this paper is to evaluate the relationship between these variables by applying the PVAR approach for 23 private and governmental banks during 2008-2018. For achieving this, at first, the inflationary environments have been extracted by Markov- Switching, and then, by utilizing PVAR the short-run relationship between variables has been tested. The results of model estimation indicated that the deposit profit rate has positive and other monetary policy variables such as liquidity growth rate and rule of deposits ratio have a negative impact on the total deposits of Banks. Moreover, the overall effects of shocks on total deposits of banks are damping during the period of the study.

Suggested Citation

  • Shaliha, Zahra & Daghighiasli, Alireza & Mirzaeinejad, Mohammadreza & Afsharirad, Majid, 2020. "The Relationship between Monetary Policy, Inflationary Environment and Deposits in Banks of Iran (Panel VAR Analysis) (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 13(44), pages 189-216, August.
    • Handle: RePEc:mbr:jmbres:v:13:y:2020:i:44:p:189-216
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    More about this item

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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