IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/127020.html

تاثیر نوسانات نرخ ارز اسمی و چرخه¬های تجاری بر مطالبات شبکه بانکی کشور با تاکید بر تغییرات رژیم و زمان- مقیاس
[Impact of Nominal Foreign Exchange Rate Fluctuations and Business Cycles on Nonperforming Loans with Emphasis on Regime Changes and Time -Scale]

Author

Listed:
  • Roudari, Soheil
  • Homayounifar, Masoud
  • Salimifar, Mostafa

Abstract

In this research, the role of nominal exchange rate volatility and business cycles on the banking nonperforming loans was investigated by using Markov-Switching model during 2005-2018 seasonally.Business cycles were extracted from GDP by using the Hodrick Prescott filter. Also, the wavelet transform model was used to extract nominal exchange rate fluctuations. The results showed that the exchange rate volatility varies in different periods of time and in longer period of time, the foreign exchange rate volatility has a greater negative and significant effect on nonperforming loans of banking network. It shows dependent of government on banking network. Also, the impact of business cycles depends on the nonperforming loans regime. The sustainability of low regime is bigger than high regime of nonperforming loans of banking network. The results also show that the impact of value added of different sectors of economy varies in different regimes of nonperforming loans. These results indicate that banking system should consider the added value of different sectors of economy and nonperforming loans regimes which could decrease nonperforming loans.

Suggested Citation

  • Roudari, Soheil & Homayounifar, Masoud & Salimifar, Mostafa, 2019. "تاثیر نوسانات نرخ ارز اسمی و چرخه¬های تجاری بر مطالبات شبکه بانکی کشور با تاکید بر تغییرات رژیم و زمان- مقیاس [Impact of Nominal Foreign Exchange Rate Fluctuations and Business Cycles on Nonperform," MPRA Paper 127020, University Library of Munich, Germany, revised 07 Jan 2020.
    • Handle: RePEc:pra:mprapa:127020
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/127020/1/MPRA_paper_127020.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Castro, Vítor, 2013. "Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI," Economic Modelling, Elsevier, vol. 31(C), pages 672-683.
    2. Claessens, Stijn & Kose, M. Ayhan & Terrones, Marco E., 2012. "How do business and financial cycles interact?," Journal of International Economics, Elsevier, vol. 87(1), pages 178-190.
    3. Sine KONTBAY BUSUN & Adnan KASMAN, 2015. "A Note on Bank Capital Buffer, Portfolio Risk and Business Cycle," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 15(1), pages 1-7.
    4. Marcucci, Juri & Quagliariello, Mario, 2009. "Asymmetric effects of the business cycle on bank credit risk," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1624-1635, September.
    5. Diamond, Douglas W, 1991. "Monitoring and Reputation: The Choice between Bank Loans and Directly Placed Debt," Journal of Political Economy, University of Chicago Press, vol. 99(4), pages 689-721, August.
    6. Adrian, Tobias & Shin, Hyun Song, 2010. "Liquidity and leverage," Journal of Financial Intermediation, Elsevier, vol. 19(3), pages 418-437, July.
    7. repec:cii:cepiei:2014-q3-139-6 is not listed on IDEAS
    8. Costas Azariadis, 2018. "Credit Cycles and Business Cycles," Review, Federal Reserve Bank of St. Louis, vol. 100(1).
    9. Zied Saadaoui, 2014. "Business cycle, market power and bank behaviour in emerging countries," International Economics, CEPII research center, issue 139, pages 109-132.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Xue, Wenjun & Zhang, Liwen, 2019. "Revisiting the asymmetric effects of bank credit on the business cycle: A panel quantile regression approach," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
    2. Schüler, Yves S. & Hiebert, Paul P. & Peltonen, Tuomas A., 2020. "Financial cycles: Characterisation and real-time measurement," Journal of International Money and Finance, Elsevier, vol. 100(C).
    3. Ashima Goyal & Akhilesh K. Verma & Rajeswari Sengupta, 2022. "External shocks, cross-border flows and macroeconomic risks in emerging market economies," Empirical Economics, Springer, vol. 62(5), pages 2111-2148, May.
    4. Nakashima, Kiyotaka & Takahashi, Koji, 2020. "The time has come for banks to say goodbye: New evidence on bank roles and duration effects in relationship terminations," Journal of Banking & Finance, Elsevier, vol. 115(C).
    5. Adam, Marc C. & Jansson, Walter, 2019. "Credit constraints and the propagation of the Great Depression in Germany," Discussion Papers 2019/12, Free University Berlin, School of Business & Economics.
    6. Ferdaous Bahri & Taher Hamza, 2020. "The Impact of Market Power on Bank Risk-Taking: an Empirical Investigation," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 11(3), pages 1198-1233, September.
    7. Diamond, Douglas W. & Hu, Yunzhi & Rajan, Raghuram G., 2022. "Liquidity, pledgeability, and the nature of lending," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1275-1294.
    8. Kolade Sunday Adesina & John Muteba Mwamba, 2016. "Do Basel III Higher Common Equity Capital Requirements Matter for Bank Risk-taking Behaviour? Lessons from South Africa," African Development Review, African Development Bank, vol. 28(3), pages 319-331, September.
    9. Bolt, Wilko & de Haan, Leo & Hoeberichts, Marco & van Oordt, Maarten R.C. & Swank, Job, 2012. "Bank profitability during recessions," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2552-2564.
    10. Ashima Goyal & Rajeswari Sengupta & Akhilesh Verma, 2019. "External debt financing and macroeconomic instability in emerging market economies," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2019-013, Indira Gandhi Institute of Development Research, Mumbai, India.
    11. Adrian Van Rixtel & Luna Romo González & Jing Yang, 2015. "The determinants of long-term debt issuance by European banks: evidence of two crises," BIS Working Papers 513, Bank for International Settlements.
    12. Gross, Marco & Henry, Jerome & Semmler, Willi, 2018. "Destabilizing Effects Of Bank Overleveraging On Real Activity—An Analysis Based On A Threshold Mcs-Gvar," Macroeconomic Dynamics, Cambridge University Press, vol. 22(7), pages 1750-1768, October.
    13. Lin, Karen Lai Kai, 2020. "The Cyclical Patterns of Capital Buffers: Evidence from Japanese Banks," Hitotsubashi Journal of commerce and management, Hitotsubashi University, vol. 53(1), pages 49-68, February.
    14. Duca, John V., 2016. "How capital regulation and other factors drive the role of shadow banking in funding short-term business credit," Journal of Banking & Finance, Elsevier, vol. 69(S1), pages 10-24.
    15. Mikel Bedayo & Ángel Estrada & Jesús Saurina, 2018. "Bank capital, lending booms, and busts. Evidence from Spain in the last 150 years," Working Papers 1847, Banco de España.
    16. Uwe Vollmer, 2022. "Monetary policy or macroprudential policies: What can tame the cycles?," Journal of Economic Surveys, Wiley Blackwell, vol. 36(5), pages 1510-1538, December.
    17. policy, Work stream on macroprudential & Policy, Monetary & Stability, Financial & Albertazzi, Ugo & Martin, Alberto & Assouan, Emmanuelle & Tristani, Oreste & Galati, Gabriele & Vlassopoulos, Thomas , 2023. "The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area," Occasional Paper Series 272, European Central Bank.
    18. Carvallo Valencia, Oscar & Ortiz Bolaños, Alberto, 2018. "Bank capital buffers around the world: Cyclical patterns and the effect of market power," Journal of Financial Stability, Elsevier, vol. 38(C), pages 119-131.
    19. Nobel Prize Committee, 2022. "Financial Intermediation and the Economy," Nobel Prize in Economics documents 2022-2, Nobel Prize Committee.
    20. Panayiotis P. Athanasoglou & Ioannis Daniilidis, 2011. "Procyclicality in the banking industry: causes, consequences and response," Working Papers 139, Bank of Greece.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:127020. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.