الگو‌سازی توزیع شرطی سودآوری بانک‌ها؛ شواهدی از ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکترای گروه اقتصاد دانشکده مدیریت و اقتصاد واحد علوم و تحقیقات دانشگاه آزاد اسلامی، تهران، ایران

2 استاد گروه اقتصاد دانشکده اقتصاد دانشگاه شهید بهشتی، تهران، ایران

3 دانشیار گروه اقتصاد بازرگانی دانشکده اقتصاد دانشگاه علامه طباطبایی، تهران، ایران

4 استادیار گروه اقتصاد دانشکده اقتصاد و مدیریت دانشگاه آزاد اسلامی، واحد تهران مرکز، تهران، ایران

10.48308/jem.2024.233129.1863

چکیده

یکی از مهترین مسائل بانک‌ها به عنوان بنگاه اقتصادی و تأمین کننده منابع بانکی، سودآوری است. اما سودآوری بانک‌ها همواره متأثر از عوامل خاص، ساختاری و دوره‌های رونق و رکود اقتصادی است. در این راستا، مقاله حاضر با استفاده از روش رگرسیون کوانتایل داده‌های تابلویی به برآورد عوامل سیکلی، ساختاری و خاص مؤثر بر سودآوری 20 بانک و موسسه اعتباری پذیرفته شده در بورس اوراق بهادار تهران (ملت، صادرات، تجارت، گردشگری، کارآفرین، شهر، سینا، سرمایه، سامان، رفاه، رسالت، دی، خاورمیانه، ملل، پست بانک، پاسارگاد، پارسیان، آینده، ایران‌زمین، اقتصادنوین) برای دوره 1401-1388 پرداخته است. نتایج حاکی از آن است که توزیع شرطی سودآوری بانک‌ها تحت تأثیر عوامل سیکلی، ساختاری و خاص بانک‌ها قرار دارد و شوک‌های این عوامل اثرات متفاوت و نامتقارنی بر توزیع شرطی سودآوری دارند و به‌طورکلی نسبت مطالبات غیرجاری (عامل خاص بانکی) بیشترین اثرگذاری را بر توزیع شرطی سودآوری دارد. پس‌ از آن درجه تمرکز (عامل ساختاری) و سپس عوامل سیکلی رشد نقدینگی و رشد اقتصادی در رتبه آخر اثرگذاری بر توزیع شرطی سودآوری بانک‌ها هستند.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Modeling the Conditional Distribution of Profitability of Banks: Evidence from Iran

نویسندگان [English]

  • Vahid Shabani 1
  • Kambiz Hojabr Kiani 2
  • Seyed Shamsedin Hosseini 3
  • Marjan Damankeshideh 4
1 PhD Candidate in Economics, Faculty of Management and Economics, Sciences and Research Branch, Islamic Azad University, Tehran, Iran
2 Professor of Economics, Faculty of Economics and Political Science, Shahid Beheshti University, Tehran, Iran
3 Associate Professor of Economics, Faculty of Economics, Allameh Tabataba'i University, Tehran, Iran
4 Assistant Professor of Economics, Faculty of Management and Economics, South Tehran Branch, Islamic Azad University, Tehran, Iran
چکیده [English]

Profitability has always been a major goal of banks operating as businesses and suppliers of financial resources. However, their probability is constantly affected by specific and structural factors as well as periods of prosperity and recession. Accordingly, the panel data quantile regression method was employed in this study to estimate cyclic, structural, and specific factors affecting profitability at 20 banks and credit institutes listed in the Tehran Stock Exchange (i.e., Bank Mellat, Bank Saderat Iran, Tejarat Bank, Tourism Bank, Karafarin Bank, Shahr Bank, Sina Bank, Sarmayeh Bank, Saman Bank, Refah Bank, Resalat Bank, Bank Day, Middle East Bank, Melal Bank, Post Bank of Iran, Pasargad Bank, Parsian Bank, Ayandeh Bank, Iran Zamin Bank, and Eghtesad Novin Bank) during 2009–2022. The results indicate that the conditional distribution of profitability of banks was affected by cyclic, structural, and specific factors. In fact, the shocks of these factors had symmetric and asymmetric effects on the conditional distribution of profitability. Generally, the ratio of noncurrent liabilities (i.e., a specific banking factor) had the greatest effect on the conditional distribution of profitability at the banks. The second most effective factor was the centralization degree (i.e., a structural factor), whereas liquidity growth and economic growth were the cyclic factors classified as the third and fourth most effective factors, respectively.

کلیدواژه‌ها [English]

  • Bank Profitability
  • Conditional Distribution
  • Economic Cycles
  • Structural Factors

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