Determining the Short-Run and Long-Run Effects of Macroeconomics and Banking Variables on the Volume of Non-performing Loan of Banks Accepted by Tehran Stock Exchange (2007- 2017)

Document Type : Research Article

Authors

1 Master of Economics, Faculty of Administrative Sciences and Economics, University of Isfahan, Isfahan, Iran

2 Associate Professor, Department of Economics, Faculty of Administrative Sciences and Economics, University of Isfahan, Isfahan, Iran

Abstract

Due to the importance of non-performing loan banking in the health of the banking system and the role of banks in financing the country's enterprises in this study was tried to use the study of Abid et al. (2014) in which the effect of economic and banking variables on non-performing loan banking of Tunisia has been studied, To evaluate the effect of macroeconomic variables (GDP, Government dept, exchange rate, and liquidity) and banking (bank size, moral hazard, and bad management) on the volume of non-preforming loans bankings, accepted banks in Tehran stock exchange during the period 1396-1386 to be paid. In this study, the two-step Generalized Method of Moments (GMM) and panel data have been used. Finally, the accuracy of the results was checked by Sargan tests and serial autocorrelation. The statistical population of the study is the banks accepted by tehran stock exchange (Saderat, Mellat, Tejarat, Sina, Sarmayeh, Saman, Parsian, Pasargad, Hekmat Iranian, Ansar, Eghtesad Novin, Dey, Khavaremianeh, Ayandeh, Gardeshgary, Shahr, Karafarin, Post Bank and Tosee Etebari). Macroeconomic variables such as liquidity, government debt and exchange rates have a significant effect on the volume of non-performing loan. The relationship between liquidity and government debt variables and the volume of non-performing loan is positive. The relationship between the exchange rate and the volume of non-performing loan was reported in most negative coefficients. Also, banking variables such as bank size have a negative relationship with the volume of non-performing loan and the relationship between bad management and the volume of non-performing loan is positive.

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References

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Journal of Applied Economics Studies in Iran
Volume 10, Issue 37
April 2021
Pages 201-233

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