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Journal of Money & Economy


(رتبه علمی-پژوهشی)

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:: year 13, Issue 45 (11-2020) ::
JMBR 2020, 13(45): 393-434 Back to browse issues page
Evaluate Simple and Dynamic Probit Panel Models in Forecasting Banking Crises
Mohammad javad Abolhasani * 1, Saeed Samadi2
1- M.Sc, Faculty Administrative Sciences and Economics, University of Isfahan
2- Associate Professor of Economics, Faculty Administrative Sciences and Economics
Abstract:   (1147 Views)
Empirical evidence shows that the banking crisis is one of the leading causes of economic crises. The occurrence of a banking crisis due to the interconnectedness of the banking network with countries' economies makes it very difficult to study and predict them. The research method in this research is applied. The statistical population of the research includes Saderat, Mellat, Te jarat, Eghtesad Novin, Parsian, Pasargad, Sina, Sarmayeh, Karafarin, Hekmat Iranian, Ansar, Shahr, Gardeshgari, Tose Etebari, Saman, Dey is the Khavaremianeh, and Postbank and the research period is from 2007 to 2017.This research has evaluated the banking crisis prediction by simple and dynamic probit panel method in two periods when the first period includes the first and second lags and the second period includes the third and fourth lags. For this purpose, the variables of total stock index, land price index, credit to GDP ratio, leverage, profit, and the capital ratio of each bank, which indicates the state of the country's economy and banks, are used. According to the results, the correct prediction rate in dynamic probit is higher than the simple probit prediction rate, and dynamic probit is more capable of predicting banking crises. On the other hand, the ratio of loans granted by banks to the private sector to GDP and the ratio of leverage have a significant and effective relationship with the probability of a banking crisis in Iran.
Full-Text [PDF 1713 kb]   (672 Downloads)    
Type of Study: Theoretical Article | Subject: Monetary Policy, Central Banking, and the Supply of Money and Credit (E5)
Received: 2020/05/27 | Accepted: 2020/12/6 | Published: 2015/01/15
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year 13, Issue 45 (11-2020) Back to browse issues page
فصلنامه پژوهش‌های پولی-بانکی Journal of Monetary & Banking Research
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