Hossein Eslami Mofid Abadi; Siavash Golzarianpour; Hamid Aboutalebi
Abstract
The main aim of the present study was to investigate the relationship between liquidity, funds resources, and risk-taking in Iran's banking industry with evidence from banks admitted to the Tehran Stock Exchange. The statistical population studied in this research included banks admitted to the Tehran ...
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The main aim of the present study was to investigate the relationship between liquidity, funds resources, and risk-taking in Iran's banking industry with evidence from banks admitted to the Tehran Stock Exchange. The statistical population studied in this research included banks admitted to the Tehran Stock Exchange from 2010 to 2019, selected and tested using systematic sampling. The statistical sample of the research consisted of 24 banks. The research method was one of survey descriptive. As such, correlation analysis method and multivariate regression model were used to test the hypotheses and estimate the model. Also, Excel and SPSS software were used for the tests related to the research hypotheses and EViews was used for the estimation calculations of the current research models. In general, the results of the first regression model test showed that apart from the variables of loan-to-total-asset ratio, equity-to-total-asset ratio, and deposit-to-total-asset ratio, other independent variables of the model have a significant effect on liquidity creation power. The results of the second regression model test revealed that apart from the variables of deposit-to-total-asset ratio and bank profit margin, other independent variables of the model have a significant effect on the bank's risk-weighted asset ratio. The results of the third regression model test showed that apart from the variables of loan-to-total-asset ratio, equity-to-total-asset ratio and deposit-to-total-asset ratio, other independent variables of the model have a significant effect on the bank's overall risk. The test results of the fourth regression model of the research were not available due to the impossibility of empirical investigation and estimation according to the data collected in the selected time period, and no results have been presented for it. The results of the fifth regression model test also indicated that apart from the variables of GDP growth rate and interbank market operations and the ratio of deposit-to-total assets, other independent variables of the model have a significant effect on the standard deviation of stock returns.
Mahshid Shahchera; Alireza Dehgan Nayyeri
Abstract
Asset and liability management includes a set of specialized tools and techniques to create value for shareholders and control risk. The banking system is the heart of every economic system and its performance is affected by many factors such as liquidity risk. Some of the factors involved in liquidity ...
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Asset and liability management includes a set of specialized tools and techniques to create value for shareholders and control risk. The banking system is the heart of every economic system and its performance is affected by many factors such as liquidity risk. Some of the factors involved in liquidity risk include non-performing loans, capital ratios, and bank size. In this research, we try to examine the relationship between the factors affecting liquidity risk and the indicators of the banking system affecting resource and cost management (equity ratio, return on assets and credit risk). In addition, we have evaluated the impact of macroeconomic variables on bank liquidity risk. Using an econometric model with generalized method of moment (GMM) as an estimation approach, we conclude that there are relationship between these variables (independent variables) and liquidity risk.
Zahra Zamani; Abolfazl Jannaeti; Maryam Ghorbani
Volume 4, Issue 8 , June 2018, , Pages 81-104
Abstract
Nowadays, bank as the most important element of the financial market plays a significant role in the countries' economy especially Iran, which relies on the banking system. So the study of banking system and factors affecting its performance are very important. One of these factors is the exchange rate, ...
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Nowadays, bank as the most important element of the financial market plays a significant role in the countries' economy especially Iran, which relies on the banking system. So the study of banking system and factors affecting its performance are very important. One of these factors is the exchange rate, a key variable in every economy. In recent years, the exchange rate in the Iranian economy has encountered many fluctuations. Exchange rate fluctuations in developing countries like Iran, due to the lack of developed financial markets, expose these countries to financial crises. The exchange rate fluctuations and the volatility of financial markets can have an unfavorable impression on the stability of banks. This is due to the lack of the ability in eliminating the impact of exchange rate fluctuations even by using the risk management techniques; and on the other hand, developing countries do not have the essential tools to deal with these fluctuations. Thus, these countries are more vulnerable, and more likely exposed to financial crisis. Therefore, this study investigates the impact of exchange rate fluctuations on the performance of Iranian banking system using Generalized Method of Moments (GMM) in dynamic panel data context during 2009-2014. To evaluate the banking performance, two criteria of revenue and asset quality have been considered and for evaluating these criteria accordingly, the ratio of return on assets as well as the ratio of outstanding claims to total paid facilities has been applied. The results of this study show that the exchange rate volatility has negative significant impact on the return on assets of banks. The exchange rate fluctuations impose different types of risks on banking system such as transaction risk, conversion risk, credit risk, interest rate risk and due to these risks, the profitability of banks decrease. Similarity, exchange rate fluctuations are an effective and positive factor in clarifying the ratio of outstanding claims to the total payable facilities of banks because they lead to create credit risk, and as a result increase outstanding claims of banks.
