Volume 11, Issue 1 (2011)
QJER 2011, 11(1): 43-65 |
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Heydari H, Zavarian Z, Noorbakhsh I. The Effect of Macroeconomic Indices on Non-performing Loans. QJER 2011; 11 (1) :43-65
URL: http://ecor.modares.ac.ir/article-18-8494-en.html
URL: http://ecor.modares.ac.ir/article-18-8494-en.html
1- M.A. in Economic Systems, sharif University
2- M.A. in Economic Planning and Development, azzahra University
3- Department of Risk Management, Karafarin Bank
2- M.A. in Economic Planning and Development, azzahra University
3- Department of Risk Management, Karafarin Bank
Abstract: (14553 Views)
The macroeconomic situation, government and central bank intervention in economy accompanied by business cycle consequences resulted from world economy, can stimulate profitability of borrowers and cause high default rates of payments for 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 2000 to 2007. At first, we apply an ARDL model, since the exogenous variables of this model have endogenous characteristics as well; we attempt to utilize a VAR model to explain the dynamic behavior of these variables. Impulse-response function is also used as a stress testing factor to investigate the impulse effects of bad loans to economic shocks. Based on estimated models, we study the effects of economic shocks such as loans interest rate, government expenditures, oil price and liquidity on non-performing loans.
Keywords: ARDL, ARDL, VAR, VAR, Default rate, Macroeconomic indices, Stress testing
JEL Classifications: E44, E51, G21
Received: 2009/10/3 | Accepted: 2010/11/7 | Published: 2011/04/30
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