The effect of political and economic uncertainty on the stability of the banking sector

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Hassani Davoud; Fallahshams Mir Feyz; Zomorodian Golamreza

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Journal Paper

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Journal: JOURNAL OF SECURITIES EXCHANGE Year:2023 | Volume:16 | Issue:63 Page(s): 299-320

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Title

The effect of political and economic uncertainty on the stability of the banking sector

Author(s)

Hassani Davoud | Fallahshams Mir Feyz | Zomorodian Golamreza | Issue Writer Certificate

Keywords

Economic Uncertainty

Policy Uncertainty

Financial Stability

Banking Sector

Zscore Approach

Abstract

The main purpose of this study is to investigate the impact of economic and Policy Uncertainty on the Financial Stability of the Banking Sector. In this regard, firstly, using Generalized AutoRegressive Conditional Heteroskedasticity (GARCH), inflation uncertainty as an indicator of Economic Uncertainty, government tax revenue uncertainty and exchange rate uncertainty as indicators of government Policy Uncertainty are calculated. Then, the impact of these indicators on the Financial Stability of the Banking Sector (calculated using the Zscore Approach) has been examined. In this study, the monthly data of 19 banks including Melli, Sepah, Post Bank, Maskan, Tejarat, Mellat, Karafarin, Eghtesad Novin, Parsian, Pasargad, Mellal, Sina, Ayandeh, Day, Tourism, Shahr, Iran Zamin, Qarz Al-Hasaneh Resalat and the Middle East has been used in the period 2015 to 2020. The results of this study show a negative and significant relationship between inflation uncertainty and exchange rate uncertainty with the Financial Stability of the Banking Sector. However, the coefficient of tax revenues uncertainty is not statistically significant. In addition, the results of the final model indicate a positive relationship between the bank deposit ratio and a negative relationship between the size and ratio of foreign debt with the Financial Stability of the Banking Sector.

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