بررسي رابطه همزمان ريسكهاي نقدينگي و اعتباري و بررسي تاثير آنها بر پايداري مالي بانك ها؛ رهيافت رگرسيون چندك

Investigating the Simultaneous Relationship between Credit and Liquidity Risks and Their Impacts on Financial Stability of Banks; A Quintile Regression Approach

مديريت ريسك فرآيندي است كه قادر است بانك ها را در اندازه گيري و مهار ريسك ها ياري رساند. بحران هاي بانكي اخير و ماهيت فعاليت بانك ها بر اهميت بيش از پيش مديريت ريسك افزوده بگونه اي كه بانك مركزي نيز ايجاد كميته ريسك در بانك ها را الزامي نموده است. ناپايداري مالي نيز يكي ازمسائلي است كه مي تواند منجربه درماندگي و ورشكستگي بانك ها شود. اين تحقيق به بررسي رابطه توأمان ريسك هاي نقدينگي و اعتباري و تاثير آنها بر پايداري مالي در صنعت بانكداري در ايران در طي دوره 1384 تا 1393 به روش پانل ديتا پرداخته است. نتايج رويكرد معادلات همزمان نشان مي دهد كه متغيرهاي ريسك هاي اعتباري و نقدينگي در حالت عادي رابطه مثبت و معني داري را با يكديگر دارند. همچنين نتايج بررسي تاثير ريسك هاي نقدينگي و اعتباري بر پايداري مالي با استفاده از روش رگرسيون چندك نشان دهنده تاثير منفي و معني دار اين دو ريسك بر پايداري مالي در اكثر دهك هاي مورد بررسي است.

Risk management is an integrated procedure which helps banks to measure and control their risks. Due to the recent banking crises and nature of banking activities, central banks have made it compulsory for banks to have independent risk committees. Also, financial instability is another factor which can lead banks to distress and bankruptcy. This study investigates the simultaneous relationship between credit risk and liquidity risk and their impacts on financial stability of Iranian banks over the period of 2005-2014 using panel data approach. Results of the simultaneous equation modeling show that in general, liquidity risk and credit risk have significant positive relationship with each other. In other words, every one unit increase in liquidity risk will cause the credit risk to increase by 0.38 unit and every one unit increase in credit risk leads to 0.51 unit increase in liquidity risk. Moreover, we employ the quantile regression to examine the effect of these two types of risk on the different quantiles of financial stability of commercial banks in Iran. Results show that credit risk and liquidity risk negatively affect the financial stability and increase probability of bankruptcy of the Iranian banks. Moreover, we demonstrate that the magnitude of the negative impact is much higher for the banks in the lower quantiles that have lower financial stability comparing with the banks in upper quantiles having higher financial stability.