Analysing the effects of macroeconomic variables on bank's credit risk

اقتصاد پولی مالی

Article 5, Volume 24, Issue 14, October 2017, Pages 175-199   

Document Type: پژوهشی

DOI: 10.22067/pm.v24i13.53757

Authors

Seyed Reza Miraskari^{* 1}; Hamid Hosseini Nesaz²

¹University of Guilan

²K.N. Toosi University of Technology

Abstract

This study aimed to identify the relationship between macroeconomic variables and credit risk of Iran's banks using multiple regression analysis was performed based on panel data. For this purpose, the seasonal data of thirteen banks which were listed in Tehran Stock Exchange market and OTC were examined during 1388-1393.
The sensitivity analysis used to ensure the reliability of the variables. In this way, the economic variables that are expected to have similar effects, replaced with the original model's variables. It also uses a dummy variable for exchange rate jump effect in the model.
The results show that credit risk is significantly influenced by macroeconomic environment, as the increase in GDP and growth of the stock exchange, the bank's credit risk is reduced, but the unemployment rate and the exchange rate (US Dollar) and inflation has inverse relationship with the credit risk of banks.

Keywords

Macroeconomic Variables; Credit risk, Sensitivity analysis; Panel Data; Dummy variable