The Interaction between Non-Performing Loans and Macroeconomic Conditions:A Panel Vector Autoregressive Approach
In this paper we assess the interaction between different macroeconomic variables and the quality of loan portfolio of banks in Iran by using a panel vector autoregressive (PVAR) method that controls for bank-level characteristics. For this purpose, we use a quarterly panel data of banks and some o...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Esmaeil Mirza’i [verfasserIn] Teymour Mohammadi [verfasserIn] Abbas Shakeri [verfasserIn] |
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| Format: |
E-Artikel |
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| Sprache: |
Persisch |
| Erschienen: |
2016 |
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| Schlagwörter: |
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| Übergeordnetes Werk: |
In: Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī - Allameh Tabataba'i University Press, 2017, 16(2016), 60, Seite 183-220 |
|---|---|
| Übergeordnetes Werk: |
volume:16 ; year:2016 ; number:60 ; pages:183-220 |
| Links: |
Link aufrufen |
|---|
| DOI / URN: |
10.22054/joer.2016.4205 |
|---|
| Katalog-ID: |
DOAJ000770981 |
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10.22054/joer.2016.4205 doi (DE-627)DOAJ000770981 (DE-599)DOAJ22ffd15f4bcf41549e6fbff66765a8eb DE-627 ger DE-627 rakwb per HB71-74 Esmaeil Mirza’i verfasserin aut The Interaction between Non-Performing Loans and Macroeconomic Conditions:A Panel Vector Autoregressive Approach 2016 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier In this paper we assess the interaction between different macroeconomic variables and the quality of loan portfolio of banks in Iran by using a panel vector autoregressive (PVAR) method that controls for bank-level characteristics. For this purpose, we use a quarterly panel data of banks and some of the most important macroeconomic variables over the period 2002-2013. Variables of this research are the ratio of non-performing loans (NPLs) to total loans as the index for quality of loan portfolio of banks, GDP growth, real lending interest rate, monetary base and growth rate of banks’ loan. We find that a positive shock to real lending interest rate and loan growth rate improve the quality of loan portfolio of banks. However, printing more money by central bank (a positive shock to monetary base) leads to a drop in portfolio quality, while a positive shock to GDP growth rate doesn’t have a significant effect on NPLs. On the other hand, the feedback effect from NPLs on macroeconomic variables is verified, as a positive shock to NPLs (worsening the quality of loan portfolio) causes to exacerbate economic recession, to increase monetary base, and to decrease loan growth rate significantly, but it doesn’t have any significant effect on real lending interest rate . loan quality banking system macroeconomic shocks panel vector autoregressive non-performing loans iran Economics as a science Teymour Mohammadi verfasserin aut Abbas Shakeri verfasserin aut In Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī Allameh Tabataba'i University Press, 2017 16(2016), 60, Seite 183-220 (DE-627)DOAJ000092614 24766453 nnns volume:16 year:2016 number:60 pages:183-220 https://doi.org/10.22054/joer.2016.4205 kostenfrei https://doaj.org/article/22ffd15f4bcf41549e6fbff66765a8eb kostenfrei https://joer.atu.ac.ir/article_4205_6c1f0b6c253522139f9578cdb027503d.pdf kostenfrei https://doaj.org/toc/1735-210X Journal toc kostenfrei https://doaj.org/toc/2476-6453 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ AR 16 2016 60 183-220 |
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10.22054/joer.2016.4205 doi (DE-627)DOAJ000770981 (DE-599)DOAJ22ffd15f4bcf41549e6fbff66765a8eb DE-627 ger DE-627 rakwb per HB71-74 Esmaeil Mirza’i verfasserin aut The Interaction between Non-Performing Loans and Macroeconomic Conditions:A Panel Vector Autoregressive Approach 2016 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier In this paper we assess the interaction between different macroeconomic variables and the quality of loan portfolio of banks in Iran by using a panel vector autoregressive (PVAR) method that controls for bank-level characteristics. For this purpose, we use a quarterly panel data of banks and some of the most important macroeconomic variables over the period 2002-2013. Variables of this research are the ratio of non-performing loans (NPLs) to total loans as the index for quality of loan portfolio of banks, GDP growth, real lending interest rate, monetary base and growth rate of banks’ loan. We find that a positive shock to real lending interest rate and loan growth rate improve the quality of loan portfolio of banks. However, printing more money by central bank (a positive shock to monetary base) leads to a drop in portfolio quality, while a positive shock to GDP growth rate doesn’t have a significant effect on NPLs. On the other hand, the feedback effect from NPLs on macroeconomic variables is verified, as a positive shock to NPLs (worsening the quality of loan portfolio) causes to exacerbate economic recession, to increase monetary base, and to decrease loan growth rate significantly, but it doesn’t have any significant effect on real lending interest rate . loan quality banking system macroeconomic shocks panel vector autoregressive non-performing loans iran Economics as a science Teymour Mohammadi verfasserin aut Abbas Shakeri verfasserin aut In Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī Allameh Tabataba'i University Press, 2017 16(2016), 60, Seite 183-220 (DE-627)DOAJ000092614 24766453 nnns volume:16 year:2016 number:60 pages:183-220 https://doi.org/10.22054/joer.2016.4205 kostenfrei https://doaj.org/article/22ffd15f4bcf41549e6fbff66765a8eb kostenfrei https://joer.atu.ac.ir/article_4205_6c1f0b6c253522139f9578cdb027503d.pdf kostenfrei https://doaj.org/toc/1735-210X Journal toc kostenfrei https://doaj.org/toc/2476-6453 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ AR 16 2016 60 183-220 |
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10.22054/joer.2016.4205 doi (DE-627)DOAJ000770981 (DE-599)DOAJ22ffd15f4bcf41549e6fbff66765a8eb DE-627 ger DE-627 rakwb per HB71-74 Esmaeil Mirza’i verfasserin aut The Interaction between Non-Performing Loans and Macroeconomic Conditions:A Panel Vector Autoregressive Approach 2016 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier In this paper we assess the interaction between different macroeconomic variables and the quality of loan portfolio of banks in Iran by using a panel vector autoregressive (PVAR) method that controls for bank-level characteristics. For this purpose, we use a quarterly panel data of banks and some of the most important macroeconomic variables over the period 2002-2013. Variables of this research are the ratio of non-performing loans (NPLs) to total loans as the index for quality of loan portfolio of banks, GDP growth, real lending interest rate, monetary base and growth rate of banks’ loan. We find that a positive shock to real lending interest rate and loan growth rate improve the quality of loan portfolio of banks. However, printing more money by central bank (a positive shock to monetary base) leads to a drop in portfolio quality, while a positive shock to GDP growth rate doesn’t have a significant effect on NPLs. On the other hand, the feedback effect from NPLs on macroeconomic variables is verified, as a positive shock to NPLs (worsening the quality of loan portfolio) causes to exacerbate economic recession, to increase monetary base, and to decrease loan growth rate significantly, but it doesn’t have any significant effect on real lending interest rate . loan quality banking system macroeconomic shocks panel vector autoregressive non-performing loans iran Economics as a science Teymour Mohammadi verfasserin aut Abbas Shakeri verfasserin aut In Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī Allameh Tabataba'i University Press, 2017 16(2016), 60, Seite 183-220 (DE-627)DOAJ000092614 24766453 nnns volume:16 year:2016 number:60 pages:183-220 https://doi.org/10.22054/joer.2016.4205 kostenfrei https://doaj.org/article/22ffd15f4bcf41549e6fbff66765a8eb kostenfrei https://joer.atu.ac.ir/article_4205_6c1f0b6c253522139f9578cdb027503d.pdf kostenfrei https://doaj.org/toc/1735-210X Journal toc kostenfrei https://doaj.org/toc/2476-6453 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ AR 16 2016 60 183-220 |
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The Interaction between Non-Performing Loans and Macroeconomic Conditions:A Panel Vector Autoregressive Approach |
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The Interaction between Non-Performing Loans and Macroeconomic Conditions:A Panel Vector Autoregressive Approach |
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Esmaeil Mirza’i |
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Esmaeil Mirza’i Teymour Mohammadi Abbas Shakeri |
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10.22054/joer.2016.4205 |
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interaction between non-performing loans and macroeconomic conditions:a panel vector autoregressive approach |
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HB71-74 |
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The Interaction between Non-Performing Loans and Macroeconomic Conditions:A Panel Vector Autoregressive Approach |
| abstract |
In this paper we assess the interaction between different macroeconomic variables and the quality of loan portfolio of banks in Iran by using a panel vector autoregressive (PVAR) method that controls for bank-level characteristics. For this purpose, we use a quarterly panel data of banks and some of the most important macroeconomic variables over the period 2002-2013. Variables of this research are the ratio of non-performing loans (NPLs) to total loans as the index for quality of loan portfolio of banks, GDP growth, real lending interest rate, monetary base and growth rate of banks’ loan. We find that a positive shock to real lending interest rate and loan growth rate improve the quality of loan portfolio of banks. However, printing more money by central bank (a positive shock to monetary base) leads to a drop in portfolio quality, while a positive shock to GDP growth rate doesn’t have a significant effect on NPLs. On the other hand, the feedback effect from NPLs on macroeconomic variables is verified, as a positive shock to NPLs (worsening the quality of loan portfolio) causes to exacerbate economic recession, to increase monetary base, and to decrease loan growth rate significantly, but it doesn’t have any significant effect on real lending interest rate . |
| abstractGer |
In this paper we assess the interaction between different macroeconomic variables and the quality of loan portfolio of banks in Iran by using a panel vector autoregressive (PVAR) method that controls for bank-level characteristics. For this purpose, we use a quarterly panel data of banks and some of the most important macroeconomic variables over the period 2002-2013. Variables of this research are the ratio of non-performing loans (NPLs) to total loans as the index for quality of loan portfolio of banks, GDP growth, real lending interest rate, monetary base and growth rate of banks’ loan. We find that a positive shock to real lending interest rate and loan growth rate improve the quality of loan portfolio of banks. However, printing more money by central bank (a positive shock to monetary base) leads to a drop in portfolio quality, while a positive shock to GDP growth rate doesn’t have a significant effect on NPLs. On the other hand, the feedback effect from NPLs on macroeconomic variables is verified, as a positive shock to NPLs (worsening the quality of loan portfolio) causes to exacerbate economic recession, to increase monetary base, and to decrease loan growth rate significantly, but it doesn’t have any significant effect on real lending interest rate . |
| abstract_unstemmed |
In this paper we assess the interaction between different macroeconomic variables and the quality of loan portfolio of banks in Iran by using a panel vector autoregressive (PVAR) method that controls for bank-level characteristics. For this purpose, we use a quarterly panel data of banks and some of the most important macroeconomic variables over the period 2002-2013. Variables of this research are the ratio of non-performing loans (NPLs) to total loans as the index for quality of loan portfolio of banks, GDP growth, real lending interest rate, monetary base and growth rate of banks’ loan. We find that a positive shock to real lending interest rate and loan growth rate improve the quality of loan portfolio of banks. However, printing more money by central bank (a positive shock to monetary base) leads to a drop in portfolio quality, while a positive shock to GDP growth rate doesn’t have a significant effect on NPLs. On the other hand, the feedback effect from NPLs on macroeconomic variables is verified, as a positive shock to NPLs (worsening the quality of loan portfolio) causes to exacerbate economic recession, to increase monetary base, and to decrease loan growth rate significantly, but it doesn’t have any significant effect on real lending interest rate . |
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The Interaction between Non-Performing Loans and Macroeconomic Conditions:A Panel Vector Autoregressive Approach |
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https://doi.org/10.22054/joer.2016.4205 https://doaj.org/article/22ffd15f4bcf41549e6fbff66765a8eb https://joer.atu.ac.ir/article_4205_6c1f0b6c253522139f9578cdb027503d.pdf https://doaj.org/toc/1735-210X https://doaj.org/toc/2476-6453 |
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