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:: Volume 14, Issue 1 (Winter 2019) ::
J. Mon. Ec. 2019, 14(1): 1-25 Back to browse issues page
Profit Rate Stickiness and Bank Specific Characteristics: Empirical Study of Panel Hidden Cointegration
Ali Taiebnia1, Teymur Rahmani1, Hanieh Mohammadali 1
1- Faculty of Economics, University of Tehran, Tehran, Iran
Abstract:   (1078 Views)
Profit rate stickiness means the asymmetric behavior of banking profit rate with respect to positive and negative shocks. Scrutinizing this behavior would suggest a new perspective on policy tools and banking supervision. In this regard, this paper applies hidden panel cointegration, proposed by Hatemi-J (2018), to study profit rate and bank specific characteristics nexus for all banks listed on Tehran Stock Exchange [TSE] during 2008-2017. This approach, in addition to analyzing the long-term relationship between variables, has another important capability for modeling asymmetry between variables. It has been shown that there is a long-run non-linear relationship between cumulative positive and negative components of variables. Then, asymmetric relationships are measured by using Panel DOLS. The results indicate that the main causes of profit rate asymmetry are liquidity and credit risks, and there is a downward direction of profit rate stickiness. Finally, the SCP paradigm is well-supported in Iran’s banking system. It seems Central Bank of Iran [CBI] needs to be mindful of anticompetitive effects of bank mergers firstly; and secondly, require banks to meet more stringent liquidity requirements and force them to stop roll over defaulted loans into new loans to increase the quality of banks’ assets.
Keywords: Banking profit rate, Asymmetric behavior, market concentration
Full-Text [PDF 380 kb]   (618 Downloads)    
Type of Study: Original Research - Empirical | Subject: Economics
Received: 27 Jun 2019 | Accepted: 16 Oct 2019 | Published: 12 Nov 2019
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taiebnia A, rahmani T, Mohammadali H. Profit Rate Stickiness and Bank Specific Characteristics: Empirical Study of Panel Hidden Cointegration. J. Mon. Ec.. 2019; 14 (1) :1-25
URL: http://jme.mbri.ac.ir/article-1-428-en.html


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Volume 14, Issue 1 (Winter 2019) Back to browse issues page
Journal of Money and Economy Journal of Money And Economy
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