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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 | ||
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| مراجع | ||
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