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The Effect of Macroeconomic Variables on Credit Default Cycles in the Country\'s Monetary Market (in Persian)

Author

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  • Zangane, Ehsan
  • Zamanian, Gholamreza
  • Shahiki, Mohamadnabi
  • Cheshomi, Ali

Abstract

The main challenge facing the countrychr('39')s banking system is credit default or the possibility of defaulting borrowers from fulfilling their obligations to the banking system, known as credit risk. Therefore to control credit risk, the factors influencing this type of risk must be identified. Several factors affect credit default in the non-government sector. This study examines the asymmetric effects of macroeconomic factors using Markov-switching and ARDL methods in the quarterly period of 2000 to 2017 on credit default. The results show that inflation, exchange rate, unemployment rate, and credit growth rate in Wilsonchr('39')s linear model have a negative effect on the default rate and the economic growth rate does not have a significant effect on the default rate. According to the nonlinear model, during the recession, rising economic growth rate, inflation rate, and unemployment rate reduce the credit default rate and increase the exchange rate and credit growth rate on the default rate, while during inflation, economic growth rate and inflation rate. It has no significant effect on the default rate, and the exchange rate and the growth rate of reverse communication credits and the unemployment rate are directly related to the default rate during inflation.

Suggested Citation

  • Zangane, Ehsan & Zamanian, Gholamreza & Shahiki, Mohamadnabi & Cheshomi, Ali, 2019. "The Effect of Macroeconomic Variables on Credit Default Cycles in the Country\'s Monetary Market (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. 12(41), pages 443-484, December.
    • Handle: RePEc:mbr:jmbres:v:12:y:2019:i:41:p:443-484
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    More about this item

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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