چکیده:
Financial statements of nineteen mature banks have been patronized to examine the impact of macroeconomic indicators and bank-specific determinants on the NPLs ratio through Quantile and Panel Data regression approaches. The impact of macroeconomic indicators on credit risk is statistically estimated for banking network via two directions. First, different quantiles are econometrically calculated, assessed and compared during 2007-12. Second, the Panel Data estimation is utilized in the same way to verify the outcomes of quanitle regression and to check the robustness. Results indicate that the impact of real money supply on the banks’ NPLs in 25%, 50%, and 75% of data is positive and significant in line with empirical evidence. The coefficients of the other variables (including the ratio of individual banks’ performing loans to total deposits, individual banks’ performing loans to total loans ratio, as well as GDP would be positively significant as well. The real interest rate has negatively-significantly driven NPLs. The banks’ NPLs are generally exacerbated by the impact of higher real money supply over the long run, real interest rate in the money market and upper return in the assets market mainly because of the negative-inflationary transmission effect.
خلاصه ماشینی:
"Empirical findings also underline the positive correlation between output growth and institutional credit risks’ indicators including probability of default, exposure at default, loss given default, loan loss provision, and the NPLs. In this context, Espinoza and Prasad (2010) who apply a dynamic panel model over 80 banks for Gulf Cooperation Council during 1995-2008 find that a spark in the interest rate leads to a reduction in the output growth and consequently a rise in the NPLs. Accordingly, the contraction in the output growth raises the NPLs through melting down the inputs payoff and shrinking the firms' revenue channels.
Ultimately, accelerating broad money growth is expected to stimulate NPLs via a reduction in the real interest rate as a leading indicator to re-allocate financial resources in different financial markets, GDP growth as a key variable to explain business cycle, and individual banks’ performing loans to total assets ratio as moral hazard indicator as well as deposit accumulation as an engine of lending channel and investment.
6. Conclusions Banks’ non-performing loans are technically delineated for 19 Iran’s mature banks including through selective explanatory variables such as real money supply, and real interest rate as monetary policy instruments; individual banks’ performing loans to total deposits ratio, and individual banks’ performing loans to total loans ratio as supervisory vehicles and financial soundness indicator; as well as real GDP as a business cycle index."