The Effect of Macroeconomic Variables on Credit Risk of Banks in Iran (in Persian)

Payam Noroozi ()
Additional contact information
Payam Noroozi: Sharif University of Technology

Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2014, vol. 7, issue 20, 237-257

Abstract: Today, banks play an important role by linking the real and monetary sectors of an economy. Banks, like other businesses, face different risks in which the most important one is credit risk. The purpose of this paper is examining the determinants of credit risk of domestic banks, during 2007-2013, using system Generalized Method of Moments (GMM). The results show that macroeconomic variables influence the credit risk of banks. In particular, real interest rate, inflation, public debt and unemployment rate have a positive correlation, and GDP growth rate has negative correlation with the credit risk. In addition, the bank characteristics such as size and profitability have negative effects, and credit risk of the prior period has positive effect on credit risk.

JEL-codes: C21 G23 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://jmbr.mbri.ac.ir/article-1-140-en.pdf (application/pdf)
http://jmbr.mbri.ac.ir/article-1-140-en.html (text/html)
http://jmbr.mbri.ac.ir/article-1-140-fa.html (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mbr:jmbres:v:7:y:2014:i:20:p:237-257

Access Statistics for this article

More articles in Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی) from Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran Contact information at EDIRC.
Bibliographic data for series maintained by M. E. ().