Investigating the effect of shock of macroeconomic variables on the performance of the country's banking system:

Document Type : Original Article

Authors

• zohreh eskandaripour ¹
• marzieh esfandiari ²
• nazar dahmarde ³
• Mohammad Hassan Fotros ⁴

¹ PhD student at Satanist and Baluchistan University

² university

³ Professor of Economics, Sistan and Baluchestan University, Zahedan,

⁴ Professor of Economics, Bu Ali Sina University

https://doi.org/10.22067/mfe.2023.77234.1205

Abstract

Given the dependence of the country's economy on banks as the most important source of financing for companies, it is important to study the factors affecting the performance of the banking system; Therefore, in this study, the effect of exchange rate shocks, crude oil prices, total stock index and government budget on the performance (profitability) of the country's banking system in the form of 12 scenarios based on the profitability response of the banking network to 2%, 5% and 10 Shock% was addressed in the mentioned variables. For this purpose, research data were collected from the SAM matrix of the Majles Research Center in 2011 and the data-output table of the Central Bank in 2016. Also, the dynamic recursive dynamic calculus model (RDCGE) and Math Lab software were used to analyze the data. The results showed that the informal exchange rate and crude oil prices have an inverse effect and the total government stock index and budget have a direct effect on the profitability of the banking network; So that if a positive shock of 2%, 5% and 10% is applied to the informal exchange rate, the profitability of the banking network will decrease to a maximum of 1.73, 2.01 and 2.57%, respectively. Also, if a positive shock of 2%, 5% and 10% is applied to the price of crude oil, the profitability of the banking network will decrease to a maximum of 1.41, 1.63 and 2.03%, respectively. In addition, if a positive shock of 2%, 5% and 10% enters the total stock index, the profitability of the banking network will increase to a maximum of 0.47, 0.97 and 1.52%, respectively. Finally, if a positive shock of 2%, 5% and 10% enters the government budget, the profitability of the banking network will increase to a maximum of 0.38, 0.44 and 0.61%, respectively.

Keywords

• Exchange rate
• crude oil prices
• government budget
• RDCGE model

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