این سایت در حال حاضر پشتیبانی نمی شود و امکان دارد داده های نشریات بروز نباشند
Money and Economy، جلد ۱۶، شماره ۲، صفحات ۱۸۷-۲۱۲
عنوان فارسی Global Economic Policy Uncertainty and Non-Performing Loans in Iranian Banks: Dynamic Correlation using the DCC-GARCH Approach
چکیده فارسی مقاله The purpose of this article is to investigate the dynamic correlation between Global Economic Policy Uncertainty index (GEPU) and Non-Performing Loans (NPL) in Iran. The relationship among economic uncertainty and banking performance indices is significant because of the systemic importance of banks in every economy. We have tried to assess this effect in this developing country, especially under economic sanctions. In this study, we have used the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) to obtain the return series diagrams and to investigate the relationship between Global Economic Policy Uncertainty and Non-Performing Loans of Iranian banks using the statistics of these two indicators by R and Eviews programing and statistical softwares in the period from 2004 to 2021. Our results show that Non-Performing Loans (NPL) of Iranian banks are rather associated with Global Economic Policy Uncertainty (GEPU) during major global shocks such as the global financial crisis in 2008 or the Covid-19 pandemic. However, despite fluctuations in the correlation between Non-Performing Loans and Global Economic Policy Uncertainty over time, this study also illustrates that these correlations in some periods are generally somewhat low that one of the reasons could be the sanctions imposed on Iran's economy and banking system, imposed loans to banks by government, forced interest rate etc, which led to limited connection among Iranian banks and global banking system. To prove this claim we run the model for some countries with open economy, like Japan, Singapore, USA, Turkey and Spain. The result shows that this correlation is much higher in comparison to Iran.
کلیدواژه‌های فارسی مقاله
عنوان انگلیسی Global Economic Policy Uncertainty (GEPU) and Non-Performing Loans (NPL) in Iran's Banking System: Dynamic Correlation using the DCC-GARCH Approach
چکیده انگلیسی مقاله The aim of this article is to investigate the dynamic correlation between the Global Economic Policy Uncertainty index (GEPU) and Non-Performing Loans (NPL) in Iran. The relationship between economic uncertainty and banking performance indices is significant because of the systemic importance of banks in every economy. We evaluated this relationship in this developing country, especially under economic sanctions. In this study, we used the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) to assess the relationship between Global Economic Policy Uncertainty and Non-Performing Loans of Iranian banks using the statistics of these two indicators by R and Eviews programming and statistical software in the period from 2004 to 2021. Our results show that Iranian banks' Non-Performing Loans (NPL) are rather associated with Global Economic Policy Uncertainty (GEPU) during major global shocks such as the global financial crisis in 2008 or the Covid-19 pandemic. However, despite fluctuations in the correlation between Non-Performing Loans and Global Economic Policy Uncertainty over time, this study also illustrates that these correlations in some periods are generally somewhat low that some of the reasons could be the sanctions imposed on Iran's economy and banking system, imposed loans to banks by the government, forced interest rate, etc., which led to a limited connection among Iranian banks and global banking system. To prove this claim we estimate the model for some countries with an open economy, like Japan, Singapore, the US, Turkey, and Spain. The result shows that this correlation is much higher in comparison to Iran.
کلیدواژه‌های انگلیسی مقاله Global Economic Policy Uncertainty (GEPU), Non-Performing Loans (NPL), DCC-GARCH, Banks.
نویسندگان مقاله محمدهاشم بت شکن | Mohammad Hashem Botshekan
Finance and Banking Department, Management and Accounting Faculty, Allameh Tabataba'i University
دانشیار، گروه مالی و بانکداری، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبائی، تهران، ایران

امیر تکلو | Amir Takaloo
Management and Accounting Faculty, Allameh Tabataba'i University
کارشناسی ارشد، مدیریت کسب و کار، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبائی، تهران، ایران

رضا حسین زاده سوره | Reza H. soureh
Finance and Banking Department, Management and Accounting Faculty, Allameh Tabataba'i University
دانشجوی دکتری مهندسی مالی، گروه مالی و بانکداری، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبائی، تهران، ایران

محمدصادق عبداللهی پور | Mohammad Sadegh Abdollahi Poor
Finance and Banking Department, Management and Accounting Faculty, Allameh Tabataba'i University
دانشجوی دکتری مالی گرایش بانکداری، گروه مالی و بانکداری، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبائی، تهران، ایران

نشانی اینترنتی http://jme.mbri.ac.ir/browse.php?a_code=A-10-513-1&slc_lang=en&sid=1
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نوع مقاله منتشر شده پژوهشی اصیل - کاربردی
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