:: Volume 10, Issue 1 (Winter 2015) ::
J. Mon. Ec. 2015, 10(1): 63-82 Back to browse issues page
The Impact of Macroeconomic Indicators on the Nonperforming Loans (Case of Iran)
Mohammad Valipour Pasha *1, Hossein Bastanzad1
1- Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran
Abstract:   (1473 Views)

Financial statements of nineteen mature banks have been patronized to examine the impact of macroeconomic indicators and bank-specific determinants on the NPLs ratio through Quantile and Panel Data regression approaches. The impact of macroeconomic indicators on credit risk is statistically estimated for banking network via two directions. First, different quantiles are econometrically calculated, assessed and compared during 2007-12. Second, the Panel Data estimation is utilized in the same way to verify the outcomes of quanitle regression and to check the robustness. Results indicate that the impact of real money supply on the banks’ NPLs in 25%, 50%, and 75% of data is positive and significant in line with empirical evidence. The coefficients of the other variables (including the ratio of individual banks’ performing loans to total deposits, individual banks’ performing loans to total loans ratio, as well as GDP would be positively significant as well. The real interest rate has negatively-significantly driven NPLs. The banks’ NPLs are generally exacerbated by the impact of higher real money supply over the long run, real interest rate in the money market and upper return in the assets market mainly because of the negative-inflationary transmission effect.

JEL Classifications: C16, C23, E51, G21

Keywords: Nonperforming loans, Macroeconomic indicators, Quantile regression, Panel data
Full-Text [PDF 913 kb]   (919 Downloads)    
Type of Study: Research | Subject: Macroeconomics
Received: 2016/02/24 | Accepted: 2016/07/6

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Volume 10, Issue 1 (Winter 2015) Back to browse issues page