Investigating the effects of government debt components to commercial banks on liquidity components in Iran

Abstract

The government's debt to commercial banks can have an effect on the monetary base and liquidity through the effect on the balance sheet of commercial banks and through the balance sheet of the central bank. In Iran's economy, despite the growth of 32.6 and 19.9 percent of public sector debt to commercial banks in 2017 and 2018, which was accompanied by 22.1 and 23.1 percent growth of liquidity, it is formed by examining the components of this hypothesis that the components Government debt to commercial banks can affect liquidity and its components. The data used in this study include the monetary base, liquidity, money, quasi-money, economic growth rate, inflation rate, government debt to commercial banks and government companies and institutions debt to commercial banks, which are from the official statistics of the Central Bank of Iran for the period They were taken in 1998-2020. In this research, it has been tried to investigate and evaluate the effects of government debt to commercial banks on the components of Iran's liquidity by using the method of non-linear regression model with distribution breaks (NARDL). The results show that the shocks of the government's debt to commercial banks in the long and short term have a symmetrical effect on the basis of money, money, liquidity and quasi-money; In addition, the shocks of the government and government institutions' debt to commercial banks also have an asymmetric effect on the dependent variables.

Keywords

• government debts
• liquidity
• non-linear auto-regressive distributed lag (nardl)