تعداد نشریات | 38 |
تعداد شمارهها | 1,240 |
تعداد مقالات | 8,994 |
تعداد مشاهده مقاله | 7,848,025 |
تعداد دریافت فایل اصل مقاله | 4,708,168 |
بررسی عوامل مؤثر بر ثبات مالی بانکها: شواهدی از شاخص نسبت خالص تأمین مالی پایدار | ||
پژوهشهای راهبردی بودجه و مالیه | ||
مقاله 1، دوره 5، شماره 2 - شماره پیاپی 18، تیر 1403، صفحه 11-43 اصل مقاله (1.21 M) | ||
نوع مقاله: مقاله پژوهشی | ||
نویسندگان | ||
مصطفی حبیبی1؛ داریوش دموری* 2؛ حبیب انصاری سامانی3 | ||
1دانشجوی دکتری دانشجوی دکتری مالی گرایش مهندسی مالی، دانشکده اقتصاد، مدیریت و حسابداری، دانشگاه یزد، یزد، ایران. | ||
2بخش حسابداری و مالی ، دانشکده اقتصاد ،مدیریت و حسابداری ، دانشگاه یزد ، یزد، ایران | ||
3دانشیار گره اقتصاد، مدیریت و حسابداری، دانشگاه یزد | ||
تاریخ دریافت: 07 اسفند 1402، تاریخ بازنگری: 23 خرداد 1403، تاریخ پذیرش: 06 تیر 1403 | ||
چکیده | ||
در این تحقیق با استفاده از معیار نسبت خالص تأمین مالی پایدار به بررسی عوامل مؤثر بر ثبات مالی بانکها از جمله ریسک نقدینگی، ریسک اعتباری، رشد تسهیلات، اندازه بانک، سودآوری و تنوع درآمدی پرداخته شده است. بنابراین با در نظر گرفتن مشکل درونزایی بالقوه، برای رسیدن به اهداف تحقیق از روش حداقل مربعات دومرحلهای (2SLS) و دادههای پانل 24 بانک خصوصی و دولتی ایران در دوره 1400-1390 استفاده شده است. نتایج نشان میدهد که افزایش ریسک نقدینگی و اعتباری تأثیر منفی و معناداری بر ثبات مالی دارند و اقدامات سیاستگذاران حوزه بانکی زمانی که بهصورت همزمان این دو ریسک افزایش مییابد اگرچه ثبات مالی را تا حدودی بهبود میبخشد اما کافی نیست؛ زیرا تأثیر منفی ریسک نقدینگی همواره غالب است. علاوه بر این نتایج نشان میدهد که افزایش اندازه بانک، سودآوری و رشد تسهیلات تأثیر مثبت و معناداری بر ثبات مالی بانکها دارد، درحالیکه افزایش نسبت درآمدهای غیر بهرهای به درآمدهای بهرهای ثبات مالی بانکها را کاهش می دهد. نتایج تحقیق از تقویت نظارت و مقررات بانکی با تأکید بر کاهش ریسک اعتباری و نقدینگی در بخش بانکداری حمایت میکند، زیرا ریسکهای اعتباری و نقدینگی اثر نامطلوبی بر ثبات بانک دارند. این مطالعه به مدیران پیشنهاد میدهد تا ثبات مالی بانکها را با، حداکثر کردن سود و به حداقل رساندن ریسک متعادل کنند. | ||
کلیدواژهها | ||
ریسک نقدینگی؛ ریسک اعتباری؛ ثبات مالی بانک؛ نسبت خالص تأمین مالی پایدار | ||
عنوان مقاله [English] | ||
Investigating Factors Affecting the Financial Stability of Banks: Evidence from the Net Stable Funding Ratio Index | ||
نویسندگان [English] | ||
Mostafa Habibi1؛ dariush damoori2؛ habib ansari samani3 | ||
1Ph.D. Candidate in finance, Department of Accounting and finance, Faculty of Economic, Management and Accounting, Yazd university, Yazd, Iran. | ||
2Department of Accounting and Finance, Faculty of Economic, Management and Accounting, Yazd University, Yazd, Iran | ||
3yazd university | ||
چکیده [English] | ||
In this research, by using the Net Stable Funding Ratio, the factors influencing the financial stability of banks, including liquidity risk, credit risk, facility growth, bank size, profitability and income diversity, have been investigated. Therefore, considering the potential endogeneity problem, two-stage least squares (2SLS) method and panel data of 24 private and public banks of Iran in the period 1390-1400 have been used to achieve the research objectives. The results show that the increase in liquidity and credit risk has a negative and significant effect on financial stability, and the actions of banking sector policy makers when these two risks increase simultaneously, although it improves financial stability to some extent, it is not enough; Because the negative effect of liquidity risk is always dominant. In addition, the results show that the increase in bank size, profitability and growth of facilities have a positive and significant effect on the financial stability of banks, while increasing the ratio of non-interest income to interest income reduces the financial stability of banks. The research results support the strengthening of banking supervision and regulation with an emphasis on reducing credit and liquidity risk in the banking sector, because credit and liquidity risks have an adverse effect on bank stability. This study suggests managers to balance the financial stability of banks by maximizing profit and minimizing risk. | ||
کلیدواژهها [English] | ||
Liquidity risk, credit risk, financial stability of the bank, Net Stable Funding Ratio | ||
مراجع | ||
Accornero, M., Cascarino, G., Felici, R., Parlapiano, F., & Sorrentino, A. M. (2018). Credit risk in banks’ exposures to non‐financial firms. European Financial Management, 24(5), 775-791. doi:https://doi.org/10.1111/eufm.12138
Ahmad, I., Salam, S., Ahmad, A., & Abbas, S. (2019). The nexus between credit risk and liquidity risk and their impact on banks financial performance: Evidence from Pakistan. Sarhad Journal of Management Sciences, 5(1), 67-86. doi:https://doi.org/10.31529/sjms.2018.5.1.5
Al Hussaini, A. N. (2019). Credit risk and financial stability under controlling effect of financial sector development: A study from banking sector of GCC members. International Journal of Asian Social Science, 9(1), 122-138. doi:https://doi.org/10.18488/journal.1.2019.91.122.138
Asadi, Z., Yavari, K., & Heydari, H. (2020). The study of the effects of liquidity and credit risk on bank stability in Iran using the Z-score index. The Journal of Economic Policy, 12(23), 1-31. doi:https://doi.org/10.22034/epj.2020.10430.1832 [In Persian]
Ashraf, D., Rizwan, M. S., & L’Huillier, B. (2016). A net stable funding ratio for Islamic banks and its impact on financial stability: An international investigation. Journal of financial stability, 25(16), 47-57. doi:https://doi.org/10.1016/j.jfs.2016.06.010
Ayinuola, T., & Gumel, B. I. (2023). The Nexus between Liquidity and Credit Risks and Their Impact on Bank Stability. Asian Journal of Economics, Business and Accounting, 23(11), 15-27. doi:https://doi.org/10.9734/AJEBA/2023/v23i11975
Azizi, K., Mahmoudzadeh, M., & Esfandiar, K. (2022). Investigating the Effects of Banks Participatory Facilities on the Real Sector of the Economy with the Emphasis on Financial Crises. Scientific Journal of Budget and Finance Strategic Research, 2(4), 43-72. doi:https://doi.org/20.1001.1.27171809.1400.2.4.2.4 [In Persian]
Basel, C. (2013). Net stable funding ratio (NSFR), Bank for International Settlements. In.
Batayneh, K., Al Salamat, W., & Momani, M. Q. (2021). The impact of inflation on the financial sector development: Empirical evidence from Jordan. Cogent economics & finance, 9(1), 1-15. doi:https://doi.org/10.1080/23322039.2021.1970869
Bencharles, K., & Nwankwo, C. (2021). Credit risk management and deposit money banks stability in Nigeria: Does good corporate governance matter. Research Journal of Finance and Accounting, 12(16), 1-14. doi:https://doi.org/10.7176/RJFA/12-16-01
Berger, A. N., & Bouwman, C. H. (2009). Bank liquidity creation. The Review of Financial Studies, 22(9), 3779-3837. doi:https://doi.org/10.1093/rfs/hhn104
Bryant, J. (1980). A model of reserves, bank runs, and deposit insurance. Journal of Banking & Finance, 4(4), 335-344. doi:https://doi.org/10.1016/0378-4266(80)90012-6
Chalermchatvichien, P., Jumreornvong, S., & Jiraporn, P. (2014). Basel III, capital stability, risk-taking, ownership: Evidence from Asia. Journal of Multinational Financial Management, 28(14), 28-46. doi:https://doi.org/10.1016/j.mulfin.2014.09.001
Chavoshi, S. K. (2023). The Impact of Risk Tolerance, Capital Adequacy, Corporate Governance on the Performance of Tse's Banks. Scientific Journal of Budget and Finance Strategic Research, 4(4), 93-114 doi:https://fbarj.ihu.ac.ir/article_208658.html?lang=en [In Persian]
Čihák, M., & Hesse, H. (2010). Islamic banks and financial stability: An empirical analysis. Journal of Financial Services Research, 38(10), 95-113. doi:https://doi.org/10.1007/s10693-010-0089-0
Diaconu, I.-R., & Oanea, D.-C. (2015). Determinants of Bank's Stability. Evidence from CreditCoop. Procedia Economics and Finance, 32(15), 488-495. doi:https://doi.org/10.1016/S2212-5671(15)01422-7
Diamond, D. W., & Dybvig, P. H. (1983). Bank runs, deposit insurance, and liquidity. Journal of political Economy, 91(3), 401-419. doi:https://doi.org/10.21034/qr.2412
Didigu, C. E., Joshua, N. J., & Okon, J. I. (2022). Monetary Policy and Banking Sector Stability in Nigeria. 13(22), 1-26. doi:https://doi.org/10.33429/Cjas.13122.1/9
Ghafouri, R., Amiri, H., & Jafari, S. N. (2023). The Mutual Impact of Credit Risk and Bank Stability in Iranian and West Asian Banks. qjfep, 10(40), 181-211. doi:https://doi.org/10.52547/qjfep.10.40.181 [In Persian]
Ghenimi, A., Chaibi, H., & Omri, M. A. B. (2017). The effects of liquidity risk and credit risk on bank stability: Evidence from the MENA region. Borsa Istanbul Review, 17(4), 238-248. doi:https://doi.org/10.1016/j.bir.2017.05.002
Gudarzi Farahani, Y., Adeli, O. A., & Ahmadi, M. (2022). The Impact of Banking Stability on Liquidity and Credit Risks in Iran; panel smooth transition regression approach. Financial Management Strategy, 10(4), 55-74. doi: https://doi.org/10.22051/JFM.2023.40509.2696 [In Persian]
Gujiya, A. A. (2019). International Trade and Economic Growth: A Panel Data Analysis of Some Selected Sub-Saharan African Countries. KIU Journal of Social Sciences, 5(3), 99-109.
Hassan, M. K., Khan, A., & Paltrinieri, A. (2019). Liquidity risk, credit risk and stability in Islamic and conventional banks. Research in International Business and Finance, 48(19), 17-31. doi:https://doi.org/10.1016/j.ribaf.2018.10.006
Hong, H., Huang, J.-Z., & Wu, D. (2014). The information content of Basel III liquidity risk measures. Journal of financial stability, 15(14), 91-111. doi:https://doi.org/10.1016/j.jfs.2014.09.003
Ismail, S., & Ahmed, E. (2023). The impact of liquidity risk, credit risk, and operational risk on financial stability in conventional banks in Jordan. Uncertain Supply Chain Management, 11(2), 433-442. doi:https://doi.org/10.5267/j.uscm.2023.3.006
Joshua, O. O., & Oluoch, O. (2018). Effect of credit risk management on the stock market performance of money deposit banks in Nigeria. International Journal of Social Sciences and Information Technology, 4(10), 375-390.
Khan, N., Ramzan, M., Kousar, T., & Shafiq, M. A. (2023). Impact of Bank Specific Factors on Credit Risk: Evidence from Islamic and Conventional Banks of Pakistan. Pakistan Journal of Humanities and Social Sciences, 11(1), 580-592. doi:https://doi.org/10.52131/pjhss.2023.1101.0375
Khawaja, A. H., Shahzad, M., & Sohail, R. (2022). The Impact of Export and Diversification on Firm Performance: Evidence from Pakistan. American Journal of Economics and Business Innovation, 1(3), 44-54. doi:https://doi.org/10.54536/ajebi.v1i3.538
Kumar, M., & Yadav, G. C. (2013). Liquidity risk management in bank: a conceptual framework. AIMA journal of management & research, 7(4), 1-12. doi:https://apps.aima.in/ejournal_new/articlesPDF/Manish-Kumar.pdf
Lachaab, M. (2023). The Cyclical Behavior of Credit and Liquidity Risks on Bank Stability in MENA Countries with a Dual Banking System. International Journal of Empirical Economics, 2(2), 1-22. doi:https://doi.org/10.1142/S2810943023500063
Matey, J. (2021). Bank liquidity risk and bank credit risk: Implication on bank stability in Ghana. International Journal of Scientific Research in Multidisciplinary Studies, 7(4), 01-09 https://papers.ssrn.com/sol03/papers.cfm?abstract_id=3864105.
Nabbavi-nezhad, K., & darvishi, b. (2022). Investigating the Market Power, Efficiency and Welfare Performance of Banks in Iran. Industrial Economics Research Quarterly, 6(19), 1-16. doi:https://doi.org/10.30473/jier.2022.9168 [In Persian]
Naz, S., Sultan, R., Zaman, K., Aldakhil, A. M., Nassani, A. A., & Abro, M. M. Q. (2019). Moderating and mediating role of renewable energy consumption, FDI inflows, and economic growth on carbon dioxide emissions: evidence from robust least square estimator. Environmental Science and Pollution Research, 26(3), 2806-2819. doi:https://doi.org/10.1007/s11356-018-3837-6
Olaniyi, T. A., & Olabisi, O. Y. (2011). Causes and impacts of global financial crisis on the performance of Nigerian banks (a case study of selected banks). Journal of Business Management and Economics, 2(4), 164-170 https://core.ac.uk/download/pdf/9307489.pdf.
Ozili, P. K. (2018). Banking stability determinants in Africa. International Journal of Managerial Finance, 14(4), 462-483. doi:https://doi.org/10.1108/IJMF-01-2018-0007
Pessarossi, P., Thevenon, J.-L., & Weill, L. (2020). Does high profitability improve stability for European banks? Research in International Business and Finance, 53(20), 1-29. doi:https://doi.org/10.1016/j.ribaf.2020.101220
Pratami, A., Afandi, A., Sriyana, J., & Feriyanto, N. (2023). The Role of Financing Models and Credit Risk on Islamic Bank Stability. Cuadernos de economía, 46(131), 43-53. doi:https://doi.org/10.32826/cude.v2i131.110
Rezaei, N., & Garabaghlu Shahabi, A. (2020). The effect of liquidity risk and credit risk on bank stability. qjfep, 8(30), 7-26. doi:https://doi.org/10.52547/qjfep.8.30.7 [In Persian]
Sang Tang My, A. N. Q. (2022). The relationship between credit risk and bank financial stability: The mediating role of bank profitability. Journal of Hunan University Natural Sciences, 49(1), 263-271. doi:https://doi.org/10.55463/issn.1674-2974.49.1.32
Schwerter, S. (2011). Basel III's ability to mitigate systemic risk. Journal of financial regulation and compliance, 19(4), 337-354. doi:https://doi.org/10.1108/13581981111182947
Sepahvand, R., Sayehmiri, A., & Shirkhani, A. (2021). The Impact of Economic Complexity on Environmental Performance in the MENA Countries. 21(3), 177-208. doi:https://doi.org/20.1001.1.17356768.1400.21.3.5.7 [In Persian]
Setiawan, A., Sudarto, S., & Widiastuti, E. (2021). The influence of credit risk and liquidity risk on bank stability. Icore, 5(1), 1169-1177. doi:http://www.jp.feb.unsoed.ac.id/index.php/Icore/article/view/1687
Sidhu, A. V., Rastogi, S., Gupte, R., & Bhimavarapu, V. M. (2022). Impact of liquidity coverage ratio on performance of select indian banks. Journal of Risk and Financial Management, 15(5), 1-17. doi:https://doi.org/10.3390/jrfm15050226
Solgi, M., & Alizadeh, M. (2020). Investigating the impact of monetary policy on systemic risk. Scientific Journal of Budget and Finance Strategic Research, 1(1), 11-40. doi:https://doi.org/20.1001.1.27171809.1399.1.1.1.0 [In Persian]
taheri, m. (2020). The effect of systematic risk on Iranian banks stability. Journal of Iranian Economic Issues, 7(2), 225-241. doi:https://doi.org/10.30465/ce.2020.5977 [In Persian]
Tohidi, m., & fereydooni, m. m. (2022). Designing Manfa'ah Facility in Non-Riba Banking, Based on Imamiah Jurisprudence. Islamic Economics, 21(84), 131-165. doi:https://eghtesad.iict.ac.ir/article_250896.html?lang=en [In Persian]
Werner, R. A. (2016). A lost century in economics: Three theories of banking and the conclusive evidence. International Review of Financial Analysis, 46(16), 361-379. doi:https://doi.org/10.1016/j.irfa.2015.08.014
Yan, M., Hall, M. J., & Turner, P. (2012). A cost–benefit analysis of Basel III: Some evidence from the UK. International Review of Financial Analysis, 25(12), 73-82. doi:https://doi.org/10.1016/j.irfa.2012.06.009
Zaghdoudi, K. (2019). The effects of risks on the stability of Tunisian conventional banks. Asian economic and financial review, 9(3), 389-401. doi:https://doi.org/10.18488/journal.aefr.2019.93.389.401 | ||
آمار تعداد مشاهده مقاله: 310 تعداد دریافت فایل اصل مقاله: 189 |