بررسی اثرات نامتقارن نوسانات متغیرهای کلان اقتصادی بر ریسک نقدینگی بانک‌ها در ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار گروه اقتصاد اسلامی، دانشکده علوم اقتصادی و اداری، دانشگاه قم، قم

2 دانشیار گروه اقتصاد اسلامی، دانشکده علوم اقتصادی و اداری، دانشگاه قم، قم

3 کارشناسی ارشد اقتصاد گرایش بانکداری اسلامی، دانشکده علوم اقتصادی و اداری، دانشگاه قم، قم

10.22075/jem.2024.33089.1910

چکیده

ریسک نقدینگی یکی از خطرهای مهم موجود برای هر نظام بانکی است، ریسک نقدینگی ناتوانی بانک در پوشش تعهدات مالی خود در سررسید بدون تحمل هزینه است. هدف محققان این است که میزان مناسب متغیرهای ورودی و خروجی سیستم نقدینگی را در حد مطلوب ارائه کنند تا بتوانند نسبت­های مؤثر بر نقدینگی بانک را در حد استاندارد رعایت کنند. نظر به اهمیت بحث ریسک نقدینگی بانک، هدف محوری پژوهش حاضر بررسی اثرات نامتقارن نوسانات متغیرهای کلان اقتصادی بر ریسک نقدینگی بانک‌ها در ایران بوده است. در این راستا اطلاعات مالی سیستم بانکی کشور طی دوره زمانی 1380- 1401 گردآوری شده است. به منظور دستیابی به فرضیه پژوهش و آزمون آنها از روش خودهمبسته با وقفه­های توزیعی غیرخطی (NARDL) استفاده شده است. یافته‌های این مطالعه نشان می‌دهد که متغیرهای نرخ ارز، تورم، تولید ناخالص داخلی و نقدینگی اثرات نامتقارنی بر ریسک نقدینگی در سیستم بانکی کشور داشته است.

کلیدواژه‌ها

عنوان مقاله [English]

Investigating the asymmetric effects of fluctuations of macroeconomic variables on the liquidity risk of banks in Iran

نویسندگان [English]

  • Yazdan Gudarzi Farahani 1
  • Omid Ali Adeli 2
  • Farzane Jafari Ghasemgheshlaghi 3
1 Assistant Professor, Department of Islamic Economics, Faculty of Economic and Administrative Sciences, University of Qom, Qom
2 Associate Professor, Department of Islamic Economics, Faculty of Economic and Administrative Sciences, University of Qom, Qom
3 Master of Economics, Islamic Banking, Faculty of Economic and Administrative Sciences, Qom University, Qom
چکیده [English]

The Liquidity risk is one of the most important risks for any banking system, liquidity risk is the bank's inability to cover its financial obligations on maturity without incurring costs. The goal of the researchers is to present the appropriate amount of input and output variables of the liquidity system at the optimal level so that they can observe the ratios affecting the bank's liquidity at the standard level. Considering the importance of the discussion of bank liquidity risk, the main goal of the current research was to investigate the asymmetric effects of fluctuations of macroeconomic variables on the liquidity risk of banks in Iran. In this regard, the financial information of the country's banking system has been collected during the period of 2011-2022. In order to reach the research hypothesis and test them, the autocorrelation method with Nonlinear Autoregressive Distributed Lags (NARDL) has been used. The findings of this study show that the variables of exchange rate, inflation, GDP and liquidity have asymmetric effects on liquidity risk in the country's banking system.

کلیدواژه‌ها [English]

  • Liquidity risk
  • Banking system
  • Inflation rate
  • Economic growth
  • Nonlinear Autoregressive Distributed Lags (NARDL)

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