:: year 2, Issue 4 (summer 2010) ::
JMBR 2010, 2(4): 191-220 Back to browse issues page
Studying the Effect of Macroeconomic Indices on Non-performing Loans
Hadi Heydari *, Zahra Zavarian, Iman Nourbakhsh
Abstract:   (6400 Views)

The situations of macroeconomic and governments and central bank’s intervention in economic accompanied by business cycles consequences which figure out in the economic، can stimulate profitability of borrowers and affect the default in payments of 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 1386 to 1379(Persian calendar). At first، we applied an ARDL model to estimate the variables. Since the exogenous variables of this model have endogenous characteristic as well، we attempt to utilize a VAR model to explain the dynamic behavior of these variables. We use impulse-response function as a stress testing factor to investigate the impulse effects of bad loans to economic shocks. Based on our estimated models، the effects of economic shocks such as inflation، non-oil GDP، liquidity and loans interest rate، which are the results of fiscal and monetary policies، respectively are higher on non-performing loans.

JEL Classification: E44, E51, G21

Keywords: Default Rate, Macroeconomic Indices, ARDL, VAR, Stress Testing
Full-Text [PDF 418 kb]   (3160 Downloads)    
Type of Study: Empirical Study |
Received: 2014/07/26 | Accepted: 2014/07/26 | Published: 2014/07/26

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year 2, Issue 4 (summer 2010) Back to browse issues page