تأثیر چرخه‌های تجاری بر شاخص‌های سلامت نظام بانکی (با تأکید بر کیفیت دارایی)

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استاد گروه اقتصاد دانشگاه پیام نور، تهران، ایران

2 دانشیار گروه اقتصاد دانشگاه پیام نور، تهران، ایران

3 استاد مدعو مؤسسه عالی آموزش بانکداری ایران، تهران، ایران

4 دانشجوی دکتری اقتصاد دانشگاه پیام نور، تهران، ایران

10.22084/aes.2021.23303.3221

چکیده

یک نظام بانکی سالم و سودآور، به‌صورت بهتری می‌تواند در مقابل شوک‌های اقتصادی مقاومت کرده و نقش پررنگ‌تری در پایداری و ثبات سیستم مالی ایفاء کند. این نظام بانکی، هنگامی محقق می‌شود که تک‌تک نهادهای مالی فعال در بازار پول آن کشور سالم باشند و از شاخص‌های مالی مناسب برخوردار باشند. تجربۀ وقوع بحران مالی اخیر و آثار مخرب ناشی از انتقال بحران از بخش پولی به بخش واقعی اقتصاد، اهمیت توجه هرچه بیشتر به موضوع سلامت بانکی را آشکار ساخته است؛ لذا در این مقاله، بررسی عوامل مؤثر بر نسبت‌ کیفیت دارایی نظام بانکی کشور، به‌عنوان یکی از شاخص‌های اصلی سلامت نظام بانکی، با تأکید بر چرخه‌های تجاری، متغیرهای کلان اقتصادی و متغیرهای بانکی، طی دورۀ زمانی 1380- 1397، به‌عنوان هدف اصلی مدنظر است. قلمرو تحقیق حاضر، 29 بانک شامل: اقتصاد نوین، انصار، پارسیان، پاسارگاد، پست بانک، آینده، تجارت، توسعه تعاون، توسعه صادرات، دی، رفاه، سامان، سپه، سرمایه، سینا، شهر، صادرات، صنعت و معدن، قرض‌الحسنه مهر ایران، کارآفرین، کشاورزی، مسکن، ملت، ملی، قرض‌الحسنه رسالت، حکمت ایرانیان، گردشگری، خاورمیانه و ایران زمین است. در این مطالعه، جهت رسیدن به اهداف مورد نظر، از الگوی پانل پویا (GMM) استفاده شده است. نتایج حاصل از بررسی‌های صورت گرفته نشان می‌دهد که چرخه‌های تجاری ارتباط منفی و معنی‌داری با کیفیت دارایی نظام بانکی دارد. هم‌چنین، تمامی متغیرهای کلان اقتصادی و بانکی، ارتباط معنی‌داری با نسبت‌ کیفیت دارایی نظام بانکی دارند.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

The Impact of Business Cycles on Banking System Soundness (With emphasis on Asset Quality)

نویسندگان [English]

  • Yeganeh Mousavi Jahromi 1
  • Bita Shaygani 2
  • Peyman Noori Broujerdi 3
  • Mona Ashtiani 4
1 Professor, Department of Economics, Payame Noor University, Tehran, Iran
2 Associate Professor, Department of Economics, Payame Noor University, Tehran, Iran
3 Visiting Professor of Iran Banking Institute Central Bank of Iran, Tehran, Iran.
4 PhD student in Economics, Payame Noor University, Tehran, Iran
چکیده [English]

A healthy and profitable banking system can better withstand economic shocks and play a more effective role in the sustainability and stability of the financial system. The creation of this type of banking system is possible when all financial institutions operating in a country's money market are sound institutions and have appropriate financial indicators. The experience of the recent financial crisis and the devastating effects of transition the crisis from the monetary sector to the real sector of the economy have shown that it is necessary to pay more attention to the issue of banking health. Therefore, the main purpose of this article was to investigate the factors affecting the asset quality ratio of the country's banking system, as one of the main indicators of banking system soundness with the emphasis on business cycles, macroeconomic variables and banking variables in the time period between the years 2001 to 2018. The statistical population in the study was 29 banks operating in Iran. In this research, the dynamic panel model, system Generalized Method of Moments (GMM) has been used to achieve the desired goals. The results show that business cycles have a significant negative correlation with the quality of assets in the banking system. Also, all macroeconomic and banking variables have a significant correlation with the ratio of asset quality in the banking system.

کلیدواژه‌ها [English]

  • Iranian Banking System
  • Banking System Soundness Indicators
  • Asset Quality
  • business cycle
  • Dynamic Panel Model (GMM)
Ahmadian, A., (2014), "Evaluation of Banking Soundness Indicators in Iranian Banks (2012-2013)", Working Paper, MBRI 9222, Monetary and Banking Research Institute, Winter, 2014.
Ahmadian, A., Davoodi, A., (2012), "The effect of Bank System Soundness on Reducing NPLs", Journal of Management Accounting, Volume 5, Issue 12, Pp. 117-129.
Aminian, M., (2016), "The Effect of Macroeconomic Indicators on Non-Performing Loans of Banks Separation of Public and Private in Iran", M.Sc. Thesis, Islamic Azad University.
Arrawatia, R., Dawar, V., Maitra, D., Ranjan Dash, S., (2019) "Asset quality determinants of Indian banks: Empirical evidence and policy issues", Journal of Public Affairs, Volume19, Issue 4, November 2019.
Baharvandi, A., (2015), " Investigating how intra-bank variables change and the behavior of major debtors on the amount of non-performing loans", Ph. D. Thesis, Payam-e-Noor University.
Babihuga, R., (2007), "Macroeconomic and Financial Soundness Indicators: An Empirical Investigation", International Monetary Fund.
Beck, R., P. Jakubik and A. Piloiu (2013), “Non-Performing Loans: What Matters in addition to the Economic Cycle”, ECB Working Paper Series, No. 1515.
Ciukaj, R., Kil, K., (2020), "Determinants of the Non-Performing Loan Ratio in the European Union Banking Sectors with a High Level of Impaired Loans”, Economics and Business Review, Volume 6 (20), Number 1, Pp. 22-45.
Esmaeeli, B., (2018), "The role of Occurrence of Business Cycle in the NPL of the Banks, Using Intermediate Filters", Journal of Financial Economics, Volume 44, Pp. 161-188.
Evans, O.; M. Leone, A.; Gill, M. and Hibers, P., (2000), Macroprudential indicators of Financial system Soundness. Wahington D.C: International monetary Fund.
Eynian, M., Barkchian, M., (2014), “Identifying and Dating the Business Cycles of Iran”, Journal of Monetary and Banking Research, Volume 20, Summer 2014, Pp. 161-194.
Eyvazlo, R., Aghamohammad Semsar, M.R., Rameshg, M., (2016), "Determinants of Non-Performing Loans among Iranian Banks", Journal of Risk Modeling and Financial Engineering, Volume 1, Issue 1, Pp. 37-58.
Heydari, H., Zavarian, Z., Noorbakhsh, I., (2011), "Studying the Effect of Macroeconomic Indices on Non-performing Loans", Journal of Monetary and Banking Research, Volume 4, Winter 2010, Pp. 191-220.
Jim, H. Y. (2016). “Impact of Macroeconomics and Bank Specifics on Nonperforming Loans and Banking Sustainability Performance”. International Journal of Innovation and Applied Studies, 18 (4), 972-989.
Koju, L., Abbas, Gh., Wang, Sh., (2018), "Do Macroeconomic Determinants of Non-Performing Loans Vary with the Income Levels of Countries?", Journal of Systems Science and Information, Volume 6, Issue 6.
Lee, J., & Rosenkranz, P., (2019), “Nonperforming Loans in Asia: Determinants and Macrofinancial Linkages”, ADB Economics working paper series, No. 574, March 2019.
Mahdian, D.; Asadi Afshord, A.; (2014), "Mismanagement in banks and financial Institutions (The Study of Causes, Consequences and Solutions)", Kahkeshan-e-Danesh, First Edition.
Mirzaie, H., Falihi, N., Mashadian maleki, M.R., (2012), “The effect of macroeconomic variables uncertainty (exchange rate and inflation) on the credit risk of Tejarat Bank legal clients”, Volume 6, Issue 18, Pp. 113-137.
Mostafapour, M., (2016), “Prudential Supervision on Financial Markets”, Economic Journal, No. 11 & 12, Pp. 119-138.
Muneer, S., Ishtiaq, M., Shahid Tufail, M., Sarwar, S. (2017), “Determinants of Bank Asset Quality and Profitability”. Journal of Managerial Sciences, Vol. XI, Number 3.
Nadim, Z., Mohaghegh Nia, M. J., Moharram Oghli, O., (2019), "The Impact of Liquidity and Efficiency on Credit Risk in Development Banks", Journal of Fiscal and Economic Policy, Volume 26, Summer 2019, Pp. 105-133.
Najafi Chaleshtari, J., (2019), "Investigating the effect of business cycle and government budget deficit NPLs in banks listed on the Tehran Stock Currency", 3rd National Conference on Modern Management and Accounting Studies in Iran.
Nezafat, M., (2016), "An Investigation on Factors Increases Selective Banks Non-Performing loans (NPLs) in Iran", M.Sc. Thesis, University of Kharazmi.
Ombaba, M. K. B. (2013). “Assessing the Factors Contributing to non–Performance Loans in Kenyan Banks”. European Journal of Business and Management, 5(32), 155–62.
Podpiera, R., 2004, “Does Compliance with Basel Core Principles Bring Any Measurable Benefits?”, IMF Working Paper 04/204, (Washington: International Monetary Fund).
Rafiei Shamsabadi, P. and Karimkhani, A.A., (2011), "Investigating the optimal size of the bank from an economic point of view (Case study of Sepah Bank)", Office of Research and Risk Control of Sepah Bank.
Ramezani, N., 2016, "An Investigation on the soundness of Iranian banking system and its determinants", M.Sc. Thesis, Alzahra University.
Rivai, Aswin and Wahyuni, Ersa (2018), “Impacts of Business Cycle and Macroeconomics Factors on non-Performing Bank Loan in Indonesia”, International Journal of Impacts of Business Cycle an Economic Researchd Macroeconomics Factors on Non-Performing Bank Loan in Indonesia, Vol. 15, No. 2, pp.557-570.
Rostamzadeh, P., Shahnazi, R., Neisani, M. S., (2018), "Identification of Factors Affecting on Credit Risk in the Iran Banking Industry of Iran Using Stress Test", Journal of Economic Modeling Research, Volume 32, Summer 2018.
Sargzai, N.; (2015), "The effect of NPL on the performance of the banking system in Iran", M.Sc. Thesis, Al Zahra University.
Shahchera, M., (2013), “The Basel Core Principles for Effective Banking Supervision”, Journal of Monetary and Banking Research, 6th year, No. 18, Winter 2013, Pp. 109-129.
Shahchera, M., Abolfathi, F., (2016), "Examining the Factors Influencing Asset Quality in the Iranian Banking Network", Journal of Economic Development Policy, Volume 4, Issue 3, Pp. 151-181.
Sharif Moghadasi, A. R., (2017), "Firm Ownership in the Iranian Banking System and Its Macroeconomic Impacts Based on Monetary and Macroprudential Policies", Ph.D. Thesis, Payam-e-Noor University.
Sile, N. K., Olweny, T., Sakwa, M., (2019), “Asset Quality as A Determinant of Commercial Banks Financial Performance in Kenya”, International Journal of Economics, Commerce and Management United Kingdom, Vol. VII, Issue 2, pp.413-424.
Soyemi, K.A.; Akinpelu, L. and Ogunleye, J.O. (2013), “The Determinant of Profitability Among DMBs in Nigeria Post Consolidation”, Global Advanced Research Journal of Economics, Accounting and Finance Vol. 2. No.5, PP: 93-103.