Volume 9, Issue 1 (Winter 2014)                   J. Mon. Ec. 2014, 9(1): 57-91 | Back to browse issues page

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Ahmadian A, Shahchera M. A Model of Asset and Liability Management and Monetary Shocks (DSGE Model). J. Mon. Ec.. 2014; 9 (1) :57-91
URL: http://jme.mbri.ac.ir/article-1-182-en.html
Abstract:   (2805 Views)

Asset-liability mismatch in balance sheet of banks shows serious challenges in banks because of the traditional methods of recording assets and liabilities at book value in Iran. The Central Bank of the country motivated and advised banks to take concrete steps in minimizing the mismatch in the asset-liability composition. This paper attempts to suggest a micro funded framework that can evaluate the role of asset and liability management in banking sector in business cycles through a DSGE model. In this paper, we use Bayesian method to estimate parameters and use national account and balance sheet data from 1981 to 2013. Results show that tightening monetary policy decreases the cost of ALM .On the other hand, raising required reserve requirement increases the cost of asset and liability management; technology shock leads to decrease of asset and liability management cost, and the costs of ALM affects interest rate. Then, the increase of the cost of ALM leads to increase of interest rate.

JEL Classification: E31, O42

Full-Text [PDF 909 kb]   (2074 Downloads)    
Type of Study: Original Research - Theoric | Subject: Economics
Received: 22 Oct 2016 | Accepted: 22 Oct 2016 | Published: 22 Oct 2016

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