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:: year 7, Issue 20 (Summer 2014) ::
JMBR 2014, 7(20): 237-257 Back to browse issues page
The Effect of Macroeconomic Variables on Credit Risk of Banks in Iran
Payam Noroozi
Sharif University of Technology
Abstract:   (2144 Views)

Today, banks play an important role by linking the real and monetary sectors of an economy. Banks, like other businesses, face different risks in which the most important one is credit risk. The purpose of this paper is examining the determinants of credit risk of domestic banks, during 2007-2013, using system Generalized Method of Moments (GMM). The results show that macroeconomic variables influence the credit risk of banks. In particular, real interest rate, inflation, public debt and unemployment rate have a positive correlation, and GDP growth rate has negative correlation with the credit risk. In addition, the bank characteristics such as size and profitability have negative effects, and credit risk of the prior period has positive effect on credit risk.

Full-Text [PDF 560 kb]   (3585 Downloads)    
Type of Study: Empirical Study |
Received: 2014/08/24 | Accepted: 2015/06/24 | Published: 2015/06/24
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year 7, Issue 20 (Summer 2014) Back to browse issues page
فصلنامه پژوهش‌های پولی-بانکی Journal of Monetary & Banking Research
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