Determinants of Non-Performing Loans among Iranian Banks

Document Type : applied

Authors

1 Assistant Prof., Faculty of Management, University of Tehran, Iran

2 PhD Candidate, Finance, Faculty of Management, University of Tehran, Iran

3 MSc., Finance, Faculty of Management, University of Tehran, Iran

Abstract

Non-Performing Loans (NPLs) is considered as an index to assess asset quality of depository institutions and mostly is related with financial crisis and failures. An Increase in NPLs resulted risk enhancement in banks and expose them to credit risk and liquidity risk seriously which could lead to bank failure. This paper distinguished interbank and macroeconomic factors affecting NPLs among Iranian banks. This research uses GMM panel data to study sample banks between 2006 and 2014 results show that there is a significant relationship between bank specific factors and macroeconomic factors with non performing loans among Iranian Banks.
JEL: C61, G11
How to cite this paper: Eyvazloo, R., Aghamohammad Semsar, M., & Rameshg, M. (2016). Determinants of Non-Performing Loans among Iranian Banks. Quarterly Journal of Risk Modeling and Financial Engineering, 1(1), 37–57. (In Persian)

Keywords

Main Subjects

References

Arellano, M., & Bond, S. (1991). Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations. Review of Economic Studies, 58(2), 277-297.
Al-Jarrah, I. M., (2012). Evaluating the Riskiness of the Banking Sector of Jordan. European Journal of Economics, Finance and Administrative Sciences, 48, 86-95.
Assets Clasification Regulation. (2006). Central Bank of Islamic Republic of Iran. (In Persian)
Barseghyan, L. (2012). Non-Performing Loans, Prospective Bailouts, and Japan’s Slowdown. Journal of Monetary Economics, 57(7), 873-890.
Bercoff, J., Julian, G., & Franque, G. (2002). Argentinean Banks, Credit Growth and the Tequila Crisis: A Duration Analysis. Unpublished.
Boudriga, A., Neila, T., & Sana, J. (2009). Bank Specific, Business and Institutional Environment Determinants of Nonperforming Loans: Evidence from MENA Countries. Paper Presented at Economic Research Forum 16th Annual. Cairo.
Cotugno, M., Valeria, S., & Guiseppe, T. (2011). Bank Intermediation Models and Portfolio Default Rates: What’s the Relation? Paper Presented at 23rd Australasian Finance and Banking Conference. Sydney.
De Bock, R., & Demyanets, A. (2012). Bank Asset Quality in Emerging Markets: Determinants and Spillovers. International Monetary Fund Working Papet,WP/12/71.
Dermirgue, k., & Huizing, A. (1997). Determinations of Commercial Bank Interest Margins and Profitability: Some Internatinal Evidence. Working Paper, Development Research Group, Word Bank.
Espinoza, R. A., & Ananthakrishnan, P. (2010). Nonperforming Loans in the GCC Banking System and Their Macroeconomic Effects. International Monetary Fund Working Paper,WP/10/224
Fernandez, D. L., Santiago, J. M., & Jesus, S. (2000). Credit Growth, Problem Loans and Credit Risk Provisioning in Spain. Banco de Espana Working Paper 18.
Fofack, H. (2005). Non-Performing Loans in Sub-Saharan Africa: Causal Analysis and Macroeconomic Implications. World Bank Policy Research Working Paper, 3769.
Keeton, W. R., Morris, Charles S. (1987). Why Do Banks Loan Losses Differ?. Economic Review- Federal Reserve Bank of Kansas City, 72(5), 3-21.
Keeton, W. R. (1999). Does Faster Loan Growth Lead to Higher Loan Losses? Federal Reserve Bank of Kansas City Economic Review, 84(2), 57-75.
Louzis, D., Aggelos, T. V., & Vasilios, L. M. (2010). Macroeconomic and Bank-Specific Determinants of Non-Performing Loans in Greece: A Comparative Study of Mortgage, Business and Consumer Loan Portfolios .Bank of Greece Working Paper, 118.
McGoven, J. (1993). Why Bad Loans Happen to Good Banks? The Journal of Commercial Lending, 75(6), 44-51.
Nkusu, M. (2011). Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies. International Monetry Fund Working Paper, 11/116.
Raei, R., Eyvazlu, R., & Khosravi, A. R. (2013). Financial Institution. Tehran, University of Tehran press (UTP). (In Persian)
Seyed shohri, KH., & Garosi, S. (2015). Factors Affect of Non Performacing Loan in Iran, Journal Management System, 9(31), 95-118. (In Persian)
Sheri, S., & Naderi, M. (2010). Determining the Relationship between Macro Economic Factors & Bank Credit Risk. Journal Management System, 9(12), 97-118.
Shavalpoor, S., & Ashtari, A. (2013). Determining the Relationship between Credit Risk & Profitability in Iranian Banks. Journal of financial research, 15(2), 229-246. (In Persian)
Zeng, Sh. (2011). Bank Non-Performing Loans (NPLS): A Dynamic Model and Analysis in China. Modern Economy, 3(1), 100-110.
Journal of Risk modeling and Financial Engineering
Volume 1, Issue 1 - Serial Number 1
September 2016
Pages 37-57

Files

Share

How to cite

Statistics