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Information Journal Paper

Title

Profit Rate Stickiness and Bank Specific Characteristics: Empirical Study of Panel Hidden Cointegration

Pages

  1-25

Abstract

 Profit rate stickiness means the Asymmetric Behavior of the Banking Profit Rate for positive and negative shocks. Scrutinizing this behavior would suggest a new perspective on policy tools and banking supervision. In this regard, this paper applies hidden panel cointegration, proposed by Hatemi-J (2018), to study profit rate and bank-specific characteristics nexus for all banks listed on Tehran Stock Exchange [TSE] during 2008-2017. This approach, in addition to analyzing the long-term relationship between variables, has another important capability for modeling asymmetry between variables. It has been shown that there is a long-run non-linear relationship between cumulative positive and negative components of variables. Then, asymmetric relationships are measured by using Panel DOLS. The results indicate that the leading causes of profit rate asymmetry are liquidity and credit risks, and there is a downward direction of profit rate stickiness. Finally, the SCP paradigm is well-supported in Iran’ s banking system. It seems the Central Bank of Iran [CBI] needs to be mindful of the anticompetitive effects of bank mergers firstly; and secondly, require banks to meet more stringent liquidity requirements and force them to stop roll over defaulted loans into new loans to increase the quality of banks’ assets.

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    APA: Copy

    TAIEBNIA, ALI, RAHMANI, TEYMUR, & Mohammad Ali, Hanieh. (2019). Profit Rate Stickiness and Bank Specific Characteristics: Empirical Study of Panel Hidden Cointegration. MONEY AND ECONOMY (ENGLISH), 14(1), 1-25. SID. https://sid.ir/paper/672426/en

    Vancouver: Copy

    TAIEBNIA ALI, RAHMANI TEYMUR, Mohammad Ali Hanieh. Profit Rate Stickiness and Bank Specific Characteristics: Empirical Study of Panel Hidden Cointegration. MONEY AND ECONOMY (ENGLISH)[Internet]. 2019;14(1):1-25. Available from: https://sid.ir/paper/672426/en

    IEEE: Copy

    ALI TAIEBNIA, TEYMUR RAHMANI, and Hanieh Mohammad Ali, “Profit Rate Stickiness and Bank Specific Characteristics: Empirical Study of Panel Hidden Cointegration,” MONEY AND ECONOMY (ENGLISH), vol. 14, no. 1, pp. 1–25, 2019, [Online]. Available: https://sid.ir/paper/672426/en

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