بررسی عوامل مؤثر بر ثبات مالی بانک‌ها: شواهدی از شاخص نسبت خالص تأمین مالی پایدار

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری دانشجوی دکتری مالی گرایش مهندسی مالی، دانشکده اقتصاد، مدیریت و حسابداری، دانشگاه یزد، یزد، ایران.

2 بخش حسابداری و مالی ، دانشکده اقتصاد ،مدیریت و حسابداری ، دانشگاه یزد ، یزد، ایران

3 دانشیار گره اقتصاد، مدیریت و حسابداری، دانشگاه یزد

چکیده

در این تحقیق با استفاده از معیار نسبت خالص تأمین مالی پایدار به بررسی عوامل مؤثر بر ثبات مالی بانک‌ها از جمله ریسک نقدینگی، ریسک اعتباری، رشد تسهیلات، اندازه بانک، سودآوری و تنوع درآمدی پرداخته شده است. بنابراین با در نظر گرفتن مشکل درون‌زایی بالقوه، برای رسیدن به اهداف تحقیق از روش حداقل مربعات دومرحله‌ای (2SLS) و داده‌های پانل 24 بانک خصوصی و دولتی ایران در دوره 1400-1390 استفاده ‌شده است. نتایج نشان می‌دهد که افزایش ریسک نقدینگی و اعتباری تأثیر منفی و معناداری بر ثبات مالی دارند و اقدامات سیاست‌گذاران حوزه بانکی زمانی که به‌صورت هم‌زمان این دو ریسک افزایش می‌یابد اگرچه ثبات مالی را تا حدودی بهبود می‌بخشد اما کافی نیست؛ زیرا تأثیر منفی ریسک نقدینگی همواره غالب است. علاوه بر این نتایج نشان می‌دهد که افزایش اندازه بانک، سودآوری و رشد تسهیلات تأثیر مثبت و معناداری بر ثبات مالی بانک‌ها دارد، درحالی‌که افزایش نسبت درآمدهای غیر بهره‌ای به درآمد‌های بهره‌ای ثبات مالی بانک‌ها را کاهش می دهد. نتایج تحقیق از تقویت نظارت و مقررات بانکی با تأکید بر کاهش ریسک اعتباری و نقدینگی در بخش بانکداری حمایت می‌کند، زیرا ریسک‌های اعتباری و نقدینگی اثر نامطلوبی بر ثبات بانک دارند. این مطالعه به مدیران پیشنهاد می‌دهد تا ثبات مالی بانک‌ها را با، حداکثر کردن سود و به حداقل رساندن ریسک متعادل کنند.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Investigating Factors Affecting the Financial Stability of Banks: Evidence from the Net Stable Funding Ratio Index

نویسندگان [English]

  • Mostafa Habibi 1
  • dariush damoori 2
  • habib ansari samani 3
1 Ph.D. Candidate in finance, Department of Accounting and finance, Faculty of Economic, Management and Accounting, Yazd university, Yazd, Iran.
2 Department of Accounting and Finance, Faculty of Economic, Management and Accounting, Yazd University, Yazd, Iran
3 yazd university
چکیده [English]

In this research, by using the Net Stable Funding Ratio, the factors influencing the financial stability of banks, including liquidity risk, credit risk, facility growth, bank size, profitability and income diversity, have been investigated. Therefore, considering the potential endogeneity problem, two-stage least squares (2SLS) method and panel data of 24 private and public banks of Iran in the period 1390-1400 have been used to achieve the research objectives. The results show that the increase in liquidity and credit risk has a negative and significant effect on financial stability, and the actions of banking sector policy makers when these two risks increase simultaneously, although it improves financial stability to some extent, it is not enough; Because the negative effect of liquidity risk is always dominant. In addition, the results show that the increase in bank size, profitability and growth of facilities have a positive and significant effect on the financial stability of banks, while increasing the ratio of non-interest income to interest income reduces the financial stability of banks. The research results support the strengthening of banking supervision and regulation with an emphasis on reducing credit and liquidity risk in the banking sector, because credit and liquidity risks have an adverse effect on bank stability. This study suggests managers to balance the financial stability of banks by maximizing profit and minimizing risk.

کلیدواژه‌ها [English]

  • Liquidity risk
  • credit risk
  • financial stability of the bank
  • Net Stable Funding Ratio

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پژوهش‌های راهبردی بودجه و مالیه
دوره 5، شماره 2 - شماره پیاپی 18
فصلنامه تابستان
تیر 1403
صفحه 11-43

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  • تاریخ دریافت: 07 اسفند 1402
  • تاریخ بازنگری: 23 خرداد 1403
  • تاریخ پذیرش: 06 تیر 1403

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