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:: year 4, Issue 9 (fall 2011) ::
JMBR 2011, 4(9): 205-225 Back to browse issues page
Effects of Changes in the Exchange Rates on the Banks' Profitability in Short-Term and Long Term: VECM Approach
Mohammad Babazadeh 1, Farshid Farokhnejad , Mohammad Ebrahim Aghababaei
Abstract:   (2700 Views)

 In consideration of the importance of foreign exchange rate changes in the banks' operations and their profitability، we have attempted to examine the effect of changes in the exchange rates on the bank's operations and their short-term and long-term profitability. In this respect، we have applied Error Correction Model to measure this effect. The related data have also been extracted from exchange rate lists and balance sheets of one of the Iranian commercial banks during 2005-2010. In order to enter and analyze raw data، E-views software has been used.
Test results show that changes in exchange rates have a negative effect on the foreign exchange profitability of banks. While، foreign exchange position has a negative effect on profitability. Also، according to the adjustment coefficient، in presence of shock، the model almost takes about 25 days to reach equilibrium.

JEL Classification: C53, G29, G23, G21

Keywords: Exchange Rate, Foreign Exchange Profitability, Foreign Exchange Position, Foreign Exchange Resources, VECM
Full-Text [PDF 170 kb]   (1873 Downloads)    
Type of Study: Empirical Study |
Received: 2014/08/5 | Accepted: 2014/08/5 | Published: 2014/08/5
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year 4, Issue 9 (fall 2011) Back to browse issues page
فصلنامه پژوهش‌های پولی-بانکی Journal of Monetary & Banking Research
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