اقتصاد و سیاست گذاری مالی

اقتصاد و سیاست گذاری مالی

تحول دیجیتال و ریسک نقدینگی بانک‌ها در ایران: شواهدی از داده‌های تابلویی پویا

نوع مقاله : مقاله پژوهشی

نویسندگان
گروه اقتصاد، دانشکده اقتصاد و حسابداری، دانشگاه رازی، کرمانشاه، ایران.
چکیده
تحول دیجیتال در نظام بانکی طی سال‌های اخیر ساختار سنتی واسطه‌گری مالی و شیوه مدیریت ترازنامه بانک‌ها را دگرگون کرده است. هدف این پژوهش بررسی تأثیر دیجیتالی‌شدن خدمات بانکی بر ریسک نقدینگی در نظام بانکی ایران است. برای این منظور، یک شاخص ترکیبی دیجیتالی‌سازی با استفاده از تحلیل مؤلفه‌های اصلی بر پایه چهار شاخص بانک‌محور (تعداد کاربران بانکداری اینترنتی و موبایلی، نسبت تراکنش‌های الکترونیکی، سهم هزینه‌های فناوری اطلاعات از هزینه‌های عملیاتی و تعداد دستگاه‌های خودپرداز و پایانه فروش) برای ۱۷ بانک دولتی و خصوصی ایران طی دوره ۱۳۹۲ تا ۱۴۰۲ ساخته شد. ریسک نقدینگی با نسبت تسهیلات به سپرده‌ها اندازه‌گیری شده و با بهره‌گیری از روش گشتاورهای تعمیم‌یافته سیستمی دومرحله‌ای در چارچوب داده‌های تابلویی پویا، اثر دیجیتالی‌سازی در کنترل متغیرهای اندازه بانک، کفایت سرمایه، بازده دارایی‌ها و نسبت تسهیلات غیرجاری برآورد شد. نتایج تجربی نشان می‌دهد که ریسک نقدینگی ماهیتی پویا دارد و شاخص دیجیتالی‌سازی اثری منفی و معنادار بر ریسک نقدینگی بر جای می‌گذارد. این یافته حاکی از آن است که بانک‌های با سطح دیجیتالی‌سازی بالاتر، ریسک نقدینگی پایین‌تری را تجربه می‌کنند. همچنین نسبت تسهیلات غیرجاری اثر مثبت و معنادار و بازده دارایی‌ها اثر منفی و معنادار بر ریسک نقدینگی دارند. تحلیل‌های استحکام شامل معیارهای جایگزین، شاخص‌های تفکیکی و برآوردگرهای متفاوت، پایداری این نتایج را تأیید می‌کنند. این یافته‌ها بر ضرورت تلفیق سیاست‌های توسعه بانکداری دیجیتال با چارچوب‌های نظارتی جامع به‌منظور تقویت ثبات مالی دلالت دارد.

چکیده تصویری

تحول دیجیتال و ریسک نقدینگی بانک‌ها در ایران: شواهدی از داده‌های تابلویی پویا
کلیدواژه‌ها
موضوعات

عنوان مقاله English

Digital Transformation and Bank Liquidity Risk in Iran: Evidence from Dynamic Panel Data

نویسندگان English

Morteza Sahab Khodamoradi
Hamid Akbari
Faculty of Economics and Accounting, Razi University, Kermanshah, Iran.
چکیده English

This study examines the impact of banking digitalization on liquidity risk in the Iranian banking system. A composite digitalization index is constructed using principal component analysis (PCA) based on four bank-level indicators: the number of internet and mobile banking users, the share of electronic transactions, the ratio of IT expenditure to operating costs, and the number of ATMs and point-of-sale terminals. The sample consists of 17 public and private banks over the period 2013–2023. Liquidity risk is measured by the loan-to-deposit ratio, and the relationship is estimated using the two-step System Generalized Method of Moments (System GMM) within a dynamic panel-data framework. The model controls for bank size, capital adequacy, return on assets, and the ratio of non-performing loans. The findings show that liquidity risk is persistent over time and that digitalization has a negative and statistically significant effect on liquidity risk. This suggests that banks with higher levels of digitalization tend to face lower liquidity risk. The results also indicate that non-performing loans increase liquidity risk, whereas return on assets reduces it. Robustness checks using alternative measures, disaggregated indicators, and different estimators confirm the stability of the results. Overall, the findings underscore the importance of aligning digital banking development with comprehensive regulatory policies to enhance financial stability.

کلیدواژه‌ها English

Liquidity Risk
Iranian Banking System
Digital Banking
GMM
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