The Impact of Macroeconomic Variables on Banks' Balance Sheet: An Stress Test Approach

Hadi Heidari, Sodeh Saberian Ranjbar and Farhad Nili

Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2011, vol. 3, issue 8, 43-86

Abstract: This paper employs a dynamic system of simultaneous equations to carry out the impact of macroeconomic as well as bank-specific balance sheet variables on a set of Financial Soundness Indicators (FSIs) derived from the balance sheet of an Iranian private bank. Selected FSIs are the ratio of short-term to total liabilities، ratio

Keywords: Stress Test; Balance Sheet Indicators; Financial Stability; Historical Scenarios (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:mbr:jmbres:v:3:y:2011:i:8:p:43-86

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