IDEAS home Printed from https://ideas.repec.org/a/mbr/jmbres/v7y2014i20p237-257.html
   My bibliography  Save this article

The Effect of Macroeconomic Variables on Credit Risk of Banks in Iran (in Persian)

Author

Listed:
  • noroozi, payam

    (Sharif University of Technology)

Abstract

Today, banks play an important role by linking the real and monetary sectors of an economy. Banks, like other businesses, face different risks in which the most important one is credit risk. The purpose of this paper is examining the determinants of credit risk of domestic banks, during 2007-2013, using system Generalized Method of Moments (GMM). The results show that macroeconomic variables influence the credit risk of banks. In particular, real interest rate, inflation, public debt and unemployment rate have a positive correlation, and GDP growth rate has negative correlation with the credit risk. In addition, the bank characteristics such as size and profitability have negative effects, and credit risk of the prior period has positive effect on credit risk.

Suggested Citation

  • noroozi, payam, 2014. "The Effect of Macroeconomic Variables on Credit Risk of Banks in Iran (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. 7(20), pages 237-257, July.
    • Handle: RePEc:mbr:jmbres:v:7:y:2014:i:20:p:237-257
    as

    Download full text from publisher

    File URL: http://jmbr.mbri.ac.ir/article-1-140-en.pdf
    Download Restriction: no
    File URL: http://jmbr.mbri.ac.ir/article-1-140-en.html
    Download Restriction: no
    File URL: http://jmbr.mbri.ac.ir/article-1-140-fa.html
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sanatkhani , Mahboobeh & Bazzazan , Fatemeh, 2021. "Stress Testing of Credit Risk in Iran’s Banking System," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(1), pages 93-114, March.

    More about this item

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

    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:mbr:jmbres:v:7:y:2014:i:20:p:237-257. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: M. E. (email available below). General contact details of provider: https://edirc.repec.org/data/mbcbiir.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.