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The Banking Crisis and Macroprudential Policy: Evidence from Iran | ||
| Journal of Mathematics and Modeling in Finance | ||
| مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 31 فروردین 1405 اصل مقاله (434.12 K) | ||
| نوع مقاله: Original Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2026.89408.1235 | ||
| نویسندگان | ||
| Nafiseh Keshtgar* 1؛ Seyed Hossein Mirjalili2 | ||
| 1Assistant Professor of Economics, Faculty of Literature and Humanities, University of Birjand, Birjand, Iran | ||
| 2Professor of Economics, Institute for Humanities and Cultural Studies | ||
| چکیده | ||
| This study aims to identify the macroeconomic factors influencing the likelihood of a banking crisis in Iran, with a particular focus on macroprudential policy. We employed a discrete econometric model (Logit/Probit) using data from 2011 to 2023. The independent variables include the loan-to-deposit ratio (LTD) as a proxy for macroprudential policy, the interbank interest rate as a proxy for monetary policy, as well as the inflation rate and exchange rate volatility as indicators of macroeconomic instability. The positive and significant coefficient of LTD confirms that liquidity risk arising from excessive credit expansion is the main domestic factor increasing the probability of a crisis. The strong and positive coefficients for inflation and exchange rate volatility suggest that macroeconomic and currency shocks threaten financial stability by deteriorating asset quality and increasing loan defaults. The coefficient for the interbank rate implies the dominance of the disciplinary and supervisory effects of monetary policy over liquidity risk, meaning that a targeted increase in the policy rate by the central bank effectively reduces the probability of a crisis by imposing higher costs on riskier banks. Overall, the findings indicate that financial stability in Iran is influenced by short-term liquidity management and macroeconomic shocks, and that macroprudential policy plays an effective role in curbing risk-taking behavior. | ||
| کلیدواژهها | ||
| Banking crisis؛ macroprudential policy؛ Loan to Deposit ratio؛ Exchange Rate Volatility؛ Systemic risk | ||
| مراجع | ||
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