پیوندهای مفید
اخبار و اعلانات
آمار
| تعداد نشریات | 25 |
| تعداد شماره‌ها | 941 |
| تعداد مقالات | 7,773 |
| تعداد مشاهده مقاله | 12,854,620 |
| تعداد دریافت فایل اصل مقاله | 9,152,820 |
تأثیرپذیری ثبات بانکی از ریسک‌های نقدینگی و اعتباری در بانک‌های ایران؛ رویکرد رگرسیون انتقال ملایم پانلی | ||
| راهبرد مدیریت مالی | ||
| مقاله 3، دوره 10، شماره 4 - شماره پیاپی 39، دی 1401، صفحه 55-74 اصل مقاله (348.98 K) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22051/jfm.2023.40509.2696 | ||
| نویسندگان | ||
| یزدان گودرزی فراهانی* 1؛ امیدعلی عادلى2؛ مریم احمدی3 | ||
| 1استادیار، دانشکده علوم اقتصادی و اداری، دانشگاه قم | ||
| 2دانشیار، دانشکده علوم اقتصادی و اداری، دانشگاه قم | ||
| 3دانشجوی کارشناسی‌ارشد اقتصاد اسلامی، دانشگاه قم | ||
| چکیده | ||
| بانکها و حجم مبادلات مالی آنها تأثیر مثبتی بر درآمد شرکتها و اقتصاد کشور دارد و لذا، توجه به شرایط ثبات آنها میتواند منجر به عملکرد بهتر این نهادها و همچنین ایجاد ثبات کلی در اقتصاد کشور شود. نظر به اهمیت بحث ورشکستگی و بحرانهای بانکی، هدف محوری پژوهش حاضر بررسی اثرات ریسک نقدینگی و اعتباری بر ثبات بانکی ایران با استفاده از شاخص z-score است. در این راستا اطلاعات مالی 15 بانک منتخب پذیرفته شده در بورس اوراق بهادار تهران طی دوره زمانی 1391- 1399 گردآوری شده است. به منظور تدوین فرضیه های پژوهش و آزمون آنها از رهیافت داده های پانلی و به طور خاص از روش رگرسیون انتقال ملایم پانلی استفاده شده است. یافته های این پژوهش نشان میدهد ریسک نقدینگی و اعتباری به طور معنی داری ابتدا باعث افزایش ثبات بانکی و سپس با گذشت از رژیم اول و ورود به رژیم دوم باعث کاهش ثبات بانکی شده اند، اما در مجموع اثرات این دو ریسک بر ثبات بانکی کاهنده و معنی دار بوده است. باتوجه به نتایج پژوهش به مدیران و صاحبان بانکها پیشنهاد میشود در اعطای تسهیلات به مشتریان با دقت و حساسیت بیشتری عمل کنند. زیرا اعطای تسهیلات بیشتر باعث افزایش ریسک نقدینگی می شود؛ همچنین عدم بازگشت به موقع تسهیلات باعث افزایش ریسک اعتباری و در نتیجه باعث بیثباتی بانکی می شود. | ||
| کلیدواژه‌ها | ||
| ثبات بانکی؛ ریسک نقدینگی؛ ریسک اعتباری؛ سیستم بانکی؛ رگرسیون انتقال ملایم پانلی | ||
| عنوان مقاله [English] | ||
| The Impact of Banking Stability on Liquidity and Credit Risks in Iran; Panel Smooth Transition Regression Approach | ||
| نویسندگان [English] | ||
| Yazdan Gudarzi Farahani1؛ Omid Ali Adeli2؛ Maryam Ahmadi3 | ||
| 1Assistant Professor, Faculty of Economic and Administrative Sciences, Qom University | ||
| 2Associate Professor, Faculty of Economic and Administrative Sciences, Qom University | ||
| 3Master's student in Islamic Economics, Qom University | ||
| چکیده [English] | ||
| Banks and the volume of their financial transactions have a positive effect on the income of companies and the country's economy, and paying attention to their stability conditions can lead to a stability economy. Considering the importance of bankruptcy and banking crises, the main purpose of this study is to investigate the effects of liquidity and credit risk on Iran's banking stability using the z-score index. In this regard, financial information of 15 selected banks listed on the stock exchange during the period 2012-2020 has been collected. In order to achieve the research hypotheses and test them, the combined data approach and, the panel smooth transition regression method have been used. The findings of this study show that liquidity and credit risk have significantly increased bank stability first and then decreased banking stability by passing the first regime and entering the second regime, but in general, the effects of these two risks on Banking stability have been declining and significant. According to the research results, managers and owners of banks are advised to be more careful and sensitive in providing facilities to customers. Because granting more facilities increases liquidity risk; Failure to return the facility on time also increases credit risk and consequently causes bank instability. | ||
| کلیدواژه‌ها [English] | ||
| Banking Stability, Liquidity Risk, Credit Risk, Banking System, Panel Smooth Transition Regression | ||
|
سایر فایل های مرتبط با مقاله
|
||
| مراجع | ||
|
Acharya, V. Naqvi, H. (2012). “The seeds of a crisis: a theory of bank liquidity and risk taking over the business cycle”. Journal of Financial Economic. 106, 349–366. Ahmadi, Ali, Ahmadi Jashfqani, Hossein Ali, Abolhasani Hastiani, Asghar. (2015). "The effect of credit risk on the performance of Iran's banking system: an interbank study with the PANEL VAR approach". Financial Economics. 10(34), 131-152. (In Persian) Ahmadi, Mohammad Ramadan, Hossein Zadeh, Mohammad Hossein, Rad, Seyed Hossein and Nejad Hosseini, Seyed Mohammad. (2013). "The relationship between asset growth and liquidity with returns in the developed model of Fama and French". Islamic Azad University, Fereydoun branch. accounting group. Esfahan. Iran. (In Persian) Aini, Arash. (2017). "Optimal management of credit risk". Quarterly Journal of Islamic Economics and Banking. 7(25). 97-96. (In Persian) Alawode, A. and Al sadek, M. (2008). “What is Financial Stability?”. Financial Stability Paper. 1, 2-26. Ameni Ghenimi b, Hasna Chaibi b, Mohamed Ali Brahim Omri. (2017). “The effects of liquidity risk and credit risk on bank stability: Evidence from the MENA region”. Northern Border University, College of Business Administration, Saudi Arabia. Asadi, Gholamhossein, Soleimani, Mohammad. (2019). "Examination of the relationship between capital and liquidity indicators with the occurrence of financial crisis in banks". Financial management strategy. 8(30), 147-174. (In Persian) Asadi, Zohra, Yaori, Kazem, Heydari, Hassan. (2019). "Investigating the effects of liquidity and credit risk on banking stability using the Z-score index". Economic Policy Journal. 12(23), 31-2. (In Persian) Bozorg Asl, Musa, Barzideh, Farrokh, Samadi, Mohammad Taghi. (2016). "Investigating the relationship between liquidity risk and credit risk and its effect on financial instability in Iran's banking industry". Quarterly journal of monetary and banking research. 10(33), 531-509. (In Persian) Bozorg Asl, Musa, Barzideh, Farrokh, Samadi, Mohammad Taghi. (2017). "The effect of liquidity risk and credit risk on financial stability in Iran's banking industry: the quantile regression approach". Journal of financial knowledge of securities analysis. 38, 1-13. (In Persian) Cecchetti, S. G., & Schoenholtz, K. L. (2011). “Money, banking, and financial markets (3rd ed.)”. New York: McGraw-Hill Education. Djebali, N., and Zaghdoudi, K., (2020). “Threshold effects of Liquidity Risk and Credit Risk on Bank Stability in the MENA region”, Journal of Policy Modeling, Ferdowsi, Mehdi and Fotros, Mohammad Hassan. (2016). "The effects of credit risk and liquidity risk on the performance of banks". Risk Modeling and Financial Engineering Quarterly. 2(3), 41-22. (In Persian) Ghenimi, A., Chaibi, H., Brahim Omri, M.A. (2017). “The effects of liquidity risk and credit risk on bank stability: Evidence from the MENA region”, Borsa _Istanbul Review. 17-4, 238-245. Golizadeh, Hamid, Bagherzadeh, Mohammad Reza, Mehrara, Esdaleh, Qolipour Kanani, Youssef, Shahchera, Mahshid. (1400). "Identifying factors affecting bank resources and presenting a comparative model". Financial Economics. 15(55), 133-154. (In Persian) Hong, H. Huang, J.Z. Wu, D. (2014). “The information content of Basel III liquidity risk measures”. Journal of Financial Stability. 15, 91–111. Hugonnier, J., Morellec, E. (2016). “Bank Capital, Liquid Reserves, and Insolvency Risk”. Journal of Financial Economics, 14-70 Imbierowicz, B., & Rauch, C. (2012). “The Relationship between Liquidity Risk and Credit Risk in Banks”. Journal of Banking and Finance, 40, 242–256. Mehrara, Mohsen, Bahlolvand, Elaha. (2015). "Factors affecting the credit risk of banks in Iran". Economic studies and policies. 11(2), 27-26. (In Persian) Mir Bagheri Heer, Mirnaser, Nahidi Amirkhaiz, Mohammad Reza and Shakohi Fard, Siamak. (2015). "Evaluating the financial stability and explaining the factors affecting the financial stability of the country's banks". Financial and Economic Policy Quarterly. 4(15), 42-23. (In Persian) Pojohan, Azam. (2016). "Investigating the effect of liquidity risk management on banks' profitability (Study case: branches of National Bank of Kermanshah)". Master's thesis in the field of business management. Payam Noor University of Kermanshah. (In Persian) Qalich, Wahab Taqvi, Mehdi, Khodabakhsh, Mohsen. (2013). "The effect of debt obligations on the fragility of the banking system (the experience of Islamic banks in the recent crisis"). Monetary and Banking Research Quarterly. 3(8), 154-121. (In Persian) Radfar, Hadi, Shahchera, Mahshid, Sabouri, Behnaz. (2018). "Simultaneous effect of liquidity risk and credit risk on the stability of banks admitted to the Tehran Stock Exchange". Financial and Economic Policy Quarterly. 7(27), 214-191. (In Persian) Rahimian, Nizamuddin, Ebrahimi, Seyyed Ali Haji. (1390). "Getting to know risk: its concept and new approaches". Auditor bimonthly. 13(56), 68. (In Persian) Rezaei, Nader, Qarabaghlu Shahabi, Alireza. (2019). "The effect of liquidity risk and credit risk on banking stability". Financial and Economic Policy Quarterly. 8(30), 26-7. (In Persian) Shahchera, Mahshid, Jozdani, Nasim. (2011). "The effect of capital ratio on the profitability of public and private banks in Iran (1380-1388)". Monetary and banking researches. 12, 29-39. (In Persian) Shahchera, Mahshid, Jozdani, Nasim. (2015). "Diversity of incomes and profitability in the country's banking network". Financial and Economic Policy Quarterly. 4(14), 52-33. (In Persian) Shahchera, Mahshid, Meshaal, Ahmadreza. (2017). "Crediting quality in the country's banking network". Financial and Economic Policy Quarterly. 6(22), 122-93. (In Persian) Van Greuning, H. & Iqbal, Z. (2008). “Risk Analysis for Islamic Banks”. World Bank Publications. Wagner, W. (2007). “The liquidity of bank assets and banking stability”. Journal of Banking Finance. 31, 121–139.
| ||
|
آمار تعداد مشاهده مقاله: 735 تعداد دریافت فایل اصل مقاله: 423 |
||
