The Impact of Nominal Foreign Exchange Rate Fluctuations and Business Cycles on Nonperforming Loans with an Emphasis on Regime Changes and Time-Scale

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

Roudari Soheil; HOMAYOUNIFAR MASOUD; SALIMIFAR MOSTAFA

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: Iranian Journal of Economic Research Year:2020 | Volume:25 | Issue:85 Page(s): 35-64

Download Full-Text

Persian Verion

View:

167

Download:

Cites:

Information Journal Paper

Title

The Impact of Nominal Foreign Exchange Rate Fluctuations and Business Cycles on Nonperforming Loans with an Emphasis on Regime Changes and Time-Scale

Author(s)

Roudari Soheil | HOMAYOUNIFAR MASOUD | SALIMIFAR MOSTAFA | Issue Writer Certificate

Keywords

Nominal exchange rate volatilityQ1

Business CyclesQ1

Nonperforming LoansQ1

Markov-Switching modelQ2

Wavelet TransformQ1

Abstract

In this research, the role of Nominal exchange rate volatility and Business Cycles on the banking Nonperforming Loans was investigated by using Markov-Switching model during 2005-2018 using seasonal data. Business Cycles were extracted from GDP by using the Hodrick Prescott filter. Also, the Wavelet Transform model was used to extract nominal exchange rate fluctuations. The results showed that the exchange rate volatility varies in different periods of time and in longer period of time, the foreign exchange rate volatility has a greater negative and significant effect on Nonperforming Loans of banking network. It shows a dependence of government on banking network. Also, the impact of Business Cycles depends on the Nonperforming Loans regime. The sustainability of low regime is bigger than high regime. The results also show that the impact of value added of different sectors of economy varies in different regimes of Nonperforming Loans. These results indicate that banking system should take into account the value added of different sectors of economy and Nonperforming Loans regimes which could decrease Nonperforming Loans.

Cites

No record.

References

No record.

Cite

APA: Copy

Roudari, Soheil, HOMAYOUNIFAR, MASOUD, & SALIMIFAR, MOSTAFA. (2020). The Impact of Nominal Foreign Exchange Rate Fluctuations and Business Cycles on Nonperforming Loans with an Emphasis on Regime Changes and Time-Scale. IRANIAN ECONOMIC RESEARCH, 25(85 ), 35-64. SID. https://sid.ir/paper/413663/en

Vancouver: Copy

Roudari Soheil, HOMAYOUNIFAR MASOUD, SALIMIFAR MOSTAFA. The Impact of Nominal Foreign Exchange Rate Fluctuations and Business Cycles on Nonperforming Loans with an Emphasis on Regime Changes and Time-Scale. IRANIAN ECONOMIC RESEARCH[Internet]. 2020;25(85 ):35-64. Available from: https://sid.ir/paper/413663/en

IEEE: Copy

Soheil Roudari, MASOUD HOMAYOUNIFAR, and MOSTAFA SALIMIFAR, “The Impact of Nominal Foreign Exchange Rate Fluctuations and Business Cycles on Nonperforming Loans with an Emphasis on Regime Changes and Time-Scale,” IRANIAN ECONOMIC RESEARCH, vol. 25, no. 85 , pp. 35–64, 2020, [Online]. Available: https://sid.ir/paper/413663/en

Related Journal Papers

No record.

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops