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

Document Type : پژوهشی

Authors

Seyed Reza Miraskari ¹

Hamid Hosseini Nesaz ²

¹ University of Guilan

² K.N. Toosi University of Technology

https://doi.org/10.22067/pm.v24i13.53757

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

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