تاثیر نوسانات نرخ ارز اسمی و چرخه¬های تجاری بر مطالبات شبکه بانکی کشور با تاکید بر تغییرات رژیم و زمان- مقیاس

Impact of Nominal Foreign Exchange Rate Fluctuations and Business Cycles on Nonperforming Loans with Emphasis on Regime Changes and Time -Scale

Soheil Roudari, Masoud Homayounifar and Mostafa Salimifar

MPRA Paper from University Library of Munich, Germany

Abstract: In this research, the role of nominal exchange rate volatility and business cycles on the banking nonperforming loans was investigated by using Markov-Switching model during 2005-2018 seasonally.Business cycles were extracted from GDP by using the Hodrick Prescott filter. Also, the wavelet transform model was used to extract nominal exchange rate fluctuations. The results showed that the exchange rate volatility varies in different periods of time and in longer period of time, the foreign exchange rate volatility has a greater negative and significant effect on nonperforming loans of banking network. It shows dependent of government on banking network. Also, the impact of business cycles depends on the nonperforming loans regime. The sustainability of low regime is bigger than high regime of nonperforming loans of banking network. The results also show that the impact of value added of different sectors of economy varies in different regimes of nonperforming loans. These results indicate that banking system should consider the added value of different sectors of economy and nonperforming loans regimes which could decrease nonperforming loans.

Keywords: Nominal exchange rate volatility; Business cycles; Nonperforming Loans; Markov-Switching model; Wavelet transform (search for similar items in EconPapers)
JEL-codes: C22 C33 F31 G32 (search for similar items in EconPapers)
Date: 2019-07-30, Revised 2020-01-07
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Published in Iranian Journal of Economic Research 85.25(2020): pp. 35-64

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