THE EFFECT OF MACROECONOMIC INDICES ON NON-PERFORMING LOANS

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HEYDARI HADI; ZAVARIAN ZAHRA; NOORBAKHSH IMAN

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Journal: JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH) Year:2011 | Volume:11 | Issue:1 Page(s): 43-65

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Title

THE EFFECT OF MACROECONOMIC INDICES ON NON-PERFORMING LOANS

Author(s)

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

Keywords

DEFAULT RATE; MACROECONOMIC INDICES; ARDL; VAR; STRESS TESTINGQ3

Abstract

The macroeconomic situation, government and central bank intervention in economy accompanied by business cycle consequences resulted from world economy, can stimulate profitability of borrowers and cause high default rates of payments for 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 2000 to 2007. At first, we apply an ARDL model, since the exogenous variables of this model have endogenous characteristics as well; we attempt to utilize a VAR model to explain the dynamic behavior of these variables. Impulse-response function is also used as a stress testing factor to investigate the impulse effects of bad loans to economic shocks. Based on estimated models, we study the effects of economic shocks such as loans interest rate, government expenditures, oil price and liquidity on non-performing loans.

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APA: Copy

HEYDARI, HADI, ZAVARIAN, ZAHRA, & NOORBAKHSH, IMAN. (2011). THE EFFECT OF MACROECONOMIC INDICES ON NON-PERFORMING LOANS. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), 11(1), 43-65. SID. https://sid.ir/paper/86614/en

Vancouver: Copy

HEYDARI HADI, ZAVARIAN ZAHRA, NOORBAKHSH IMAN. THE EFFECT OF MACROECONOMIC INDICES ON NON-PERFORMING LOANS. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH)[Internet]. 2011;11(1):43-65. Available from: https://sid.ir/paper/86614/en

IEEE: Copy

HADI HEYDARI, ZAHRA ZAVARIAN, and IMAN NOORBAKHSH, “THE EFFECT OF MACROECONOMIC INDICES ON NON-PERFORMING LOANS,” JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), vol. 11, no. 1, pp. 43–65, 2011, [Online]. Available: https://sid.ir/paper/86614/en

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