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The Impact of Macroeconomic Variables on Banks\' Balance Sheet: An Stress Test Approach (in Persian)

Author

Listed:
  • Heidari, Hadi

    (Iran)

  • Saberian Ranjbar, Sodeh

    (Iran)

  • Nili, Farhad

    (Iran)

Abstract

This paper employs a dynamic system of simultaneous equations to carry out the impact of macroeconomic as well as bank-specific balance sheet variables on a set of Financial Soundness Indicators (FSIs) derived from the balance sheet of an Iranian private bank. Selected FSIs are the ratio of short-term to total liabilities¡ ratio of granted credit to total assets¡ and the share of highly liquid assets. In spite of the low market share of the chosen bank¡ we found that the macroeconomic status has a significant impact on the bank's balance sheet. In particular¡ controlling on bank-specific indicators¡ the value added of industry and services sector in the National Accounts and the indices of consumer and housing prices significantly explain FSIs of the mentioned bank. Using historical data on both macro variables and bank-specific indicators¡ we put the balance sheet of the bank under investigation under some disfavorable but likely macro scenarios and derive thresholds under which some FSIs¡ e.g. ratio of short-term to total liabilities¡ ratio of credit granted to total assets¡ and share of highly liquid assets reveal unhealthy states. JEL classification: Q21, E20

Suggested Citation

  • Heidari, Hadi & Saberian Ranjbar, Sodeh & Nili, Farhad, 2011. "The Impact of Macroeconomic Variables on Banks\' Balance Sheet: An Stress Test Approach (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 3(8), pages 43-86, September.
    • Handle: RePEc:mbr:jmbres:v:3:y:2011:i:8:p:43-86
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    More about this item

    Keywords

    Stress Test; Balance Sheet Indicators; Financial Stability; Historical Scenarios;
    All these keywords.

    JEL classification:

    • Q21 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Demand and Supply; Prices
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)

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