STUDYING THE EFFECT OF MACROECONOMIC INDICES ON NON-PERFORMING LOANS

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HEYDARI HADI; ZAVARIAN ZAHRA; NOURBAKHSH IMAN

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Paper Information

Journal: Journal of Monetary and Banking Research Year:2010 | Volume:2 | Issue:4 Page(s): 191-219

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Information Journal Paper

Title

STUDYING THE EFFECT OF MACROECONOMIC INDICES ON NON-PERFORMING LOANS

Author(s)

HEYDARI HADI | ZAVARIAN ZAHRA | NOURBAKHSH IMAN | Issue Writer Certificate

Keywords

DEFAULT RATEQ3

MACROECONOMIC INDICESQ2

ARDLQ2

VARQ2

STRESS TESTINGQ3

Abstract

The situations of macroeconomic and governments and central bank’s intervention in economic accompanied by business cycles consequences which figure out in the economic, can stimulate profitability of borrowers and affect the default in payments of banking systems. In such an atmosphere, having an estimated model helps us to better understand the relations among macroeconomic VARiables, the behavior of bad loans and credit risk.In this paper, we study the influence of macroeconomic shocks on the bad loans from 1386 to 1379 (Persian calendar). At first, we applied an ARDL model to estimate the VARiables. Since the exogenous VARiables of this model have endogenous characteristic as well, we attempt to utilize a VAR model to explain the dynamic behavior of these VARiables. We use impulse-response function as a STRESS TESTING factor to investigate the impulse effects of bad loans to economic shocks. Based on our estimated models, the effects of economic shocks such as inflation, non-oil GDP, liquidity and loans interest rate, which are the results of fiscal and monetary policies, respectively are higher on non-performing loans.

Cites

PATHOLOGY OF NON-PERFORMING LOANS WITH EMPHASIS ON ITS EFFECTIVE FACTORS

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APA: Copy

HEYDARI, HADI, ZAVARIAN, ZAHRA, & NOURBAKHSH, IMAN. (2010). STUDYING THE EFFECT OF MACROECONOMIC INDICES ON NON-PERFORMING LOANS. MONEY AND ECONOMY (PERSIAN), 2(4), 191-219. SID. https://sid.ir/paper/168085/en

Vancouver: Copy

HEYDARI HADI, ZAVARIAN ZAHRA, NOURBAKHSH IMAN. STUDYING THE EFFECT OF MACROECONOMIC INDICES ON NON-PERFORMING LOANS. MONEY AND ECONOMY (PERSIAN)[Internet]. 2010;2(4):191-219. Available from: https://sid.ir/paper/168085/en

IEEE: Copy

HADI HEYDARI, ZAHRA ZAVARIAN, and IMAN NOURBAKHSH, “STUDYING THE EFFECT OF MACROECONOMIC INDICES ON NON-PERFORMING LOANS,” MONEY AND ECONOMY (PERSIAN), vol. 2, no. 4, pp. 191–219, 2010, [Online]. Available: https://sid.ir/paper/168085/en

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