اقتصاد و سیاست گذاری مالی

اقتصاد و سیاست گذاری مالی

پویایی‌های درون‌زای ریسک اعتباری و عملکرد بانکی: شواهد مقایسه‌ای از مدل پنل خودرگرسیو برداری(PVAR)

نوع مقاله : مقاله پژوهشی

نویسندگان
1 گروه اقتصاد، پردیس البرز، دانشگاه تهران، تهران، ایران.
2 گروه اقتصاد، دانشکده اقتصاد، دانشگاه تهران، تهران، ایران.
چکیده
این مقاله پویایی‌های درون‌زای ریسک اعتباری و عملکرد بانکی را با تمرکز بر تفاوت‌های ساختاری میان کشورهای توسعه‌یافته و درحال‌توسعه بررسی می‌کند. با توجه به نقش بانک‌ها در واسطه‌گری مالی و انتقال شوک‌های کلان، هدف مقاله شناسایی کانال‌های انتقال شوک و سازوکارهای شکل‌گیری مطالبات غیرجاری در سطوح متفاوت توسعه اقتصادی است. برای این منظور، مدل پنل خودرگرسیو برداری (PVAR) در قالب فرم کاهش‌یافته و با برآوردگر گشتاورهای تعمیم‌یافته (GMM) به‌کار گرفته شد. انتخاب این روش از آن جهت است که روابط میان ریسک اعتباری، سودآوری، سرمایه، رشد اعتبارات، اندازه بانک و ناکارایی عملیاتی ماهیتی پویا، بازخوردی و درون‌زا دارد و در قالب مدل‌های تک‌معادله‌ای به‌طور کامل قابل شناسایی نیست. داده‌های بانک–سال برای دو پنل مجزا از کشورهای توسعه‌یافته و درحال‌توسعه طی دوره ۲۰۱۰–۲۰۲۲ استفاده شده و متغیرهایی نظیر مطالبات غیرجاری، اندازه بانک، سودآوری، نسبت کفایت سرمایه، رشد اعتبارات و ناکارایی عملیاتی، در کنار متغیرهای کلان اقتصادی، در مدل لحاظ شده‌اند. نتایج حاصل از برآورد مدل، آزمون علیت گرنجر، توابع واکنش آنی تعمیم‌یافته و تجزیه واریانس خطای پیش‌بینی نشان می‌دهد که ریسک اعتباری در هر دو گروه از اینرسی بالایی برخوردار است، اما منشأ و کانال‌های انتقال آن متفاوت است. در کشورهای درحال‌توسعه، ناکارایی عملیاتی و سودآوری مهم‌ترین کانال‌های پیش‌بینی و انتقال نوسانات مطالبات غیرجاری‌اند؛ در حالی‌که در کشورهای توسعه‌یافته، نقش اندازه بانک، رشد اعتبارات و سازوکارهای ترازنامه‌ای برجسته‌تر است. یافته‌ها بر ضرورت طراحی سیاست‌های نظارتی و کلان‌احتیاطی متناسب با سطح توسعه مالی و نهادی کشورها تأکید می‌کند.

چکیده تصویری

پویایی‌های درون‌زای ریسک اعتباری و عملکرد بانکی: شواهد مقایسه‌ای از مدل پنل خودرگرسیو برداری(PVAR)
کلیدواژه‌ها

عنوان مقاله English

Endogenous Dynamics of Credit Risk and Bank Performance: Comparative Evidence from a Panel Vector Autoregression (PVAR) Model

نویسندگان English

Niloofar Nateghian 1
Mohsen Mehrara 2
1 Department of Economics, Alborz Campus, University of Tehran, Tehran, Iran.
2 Department of Economics, Faculty of Economics, University of Tehran, Tehran, Iran.
چکیده English

This article examines the endogenous dynamics of credit risk and bank performance, with a focus on structural differences between developed and developing countries. Given the role of banks in financial intermediation and the transmission of macroeconomic shocks, the article aims to identify shock-transmission channels and the mechanisms underlying the formation of non-performing loans across different levels of economic development. To this end, a reduced-form Panel Vector Autoregression (PVAR) model estimated by the Generalized Method of Moments (GMM) is employed. This method is chosen because the relationships among credit risk, profitability, capital, credit growth, bank size, and operational inefficiency are dynamic, feedback-based, and endogenous in nature, and therefore cannot be fully captured by single-equation models. Bank–year data are used for two separate panels of developed and developing countries over the period 2010–2022, and variables such as non-performing loans, bank size, profitability, capital adequacy ratio, credit growth, and operational inefficiency are incorporated into the model alongside macroeconomic variables. The results obtained from model estimation, Granger causality tests, generalized impulse response functions, and forecast error variance decomposition indicate that credit risk exhibits strong persistence in both groups of countries, although its sources and transmission channels differ. In developing countries, operational inefficiency and profitability constitute the main channels for predicting and transmitting fluctuations in non-performing loans; whereas in developed countries, bank size, credit growth, and balance-sheet mechanisms play a more prominent role. The findings highlight the need to design supervisory and macroprudential policies that are consistent with countries’ levels of financial and institutional development.

کلیدواژه‌ها English

Banking System
Credit Risk
Non-Performing Loans
Bank Performance
Macro Financial Dynamics
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