نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد مالی، گروه اقتصاد، دانشکده مدیریت و اقتصاد، دانشگاه صنعتی شریف، تهران، ایران .

2 دانشیار اقتصاد، گروه اقتصاد، دانشکده اقتصاد، مدیریت و حسابداری، دانشگاه یزد، یزد، ایران.

چکیده

نهادهای مالی به ویژه نظام بانکی نقش بی­بدیل و محوری را در نظام اقتصادی ایفا می­کنند؛ از این نظر که عملکرد آنها از یک طرف می­­تواند زمینه­های رشد و توسعه اقتصادی و از طرف دیگر شرایط نابسامانی و سقوط یک نظام اقتصادی را فراهم آورد. لذا وجود یک نظام بانکی کارآ و باثبات ضرورتی انکار ناپذیر است. با توجه به نقش حیاتی این نظام در اقتصاد، دولتمردان غربی با تحریم بانک­ها سعی دارند اقتصاد کشور را همه­جانبه تحت تأثیر قرار دهند. در واقع، تحریم­ به عنوان یک شوک خارجی به طور بالقوه می­تواند دارای اثرات بی­ثبات­کننده بر نظام مالی به­ویژه بخش بانکی و به تبع آن بر وضعیت اقتصاد یک کشور (به لحاظ درآمدی و هزینه­ای) باشد. در مقابل، عده­ای از اقتصاددانان معتقدند تحریم­ها اثری بر نظام بانکی ندارند. به اینصورت که ناکارایی این نظام در رعایت مقررات بین­المللی و نیز بالابودن ریسک اعتباری آن در سطح بین­الملل به خودی خود عاملی شبه تحریم  بوده و باعث عدم تمایل بانک­های خارجی به همکاری با ایران می­شود.
با توجه به عدم توافق در خصوص اثرگذاری تحریم، هدف محوری پژوهش حاضر بررسی اثر تحریم­­ها بر ناپایداری مالی بانک­های کشور با استفاده از شاخص Z-score  است. برای این منظور، یک فرضیه به این صورت تدوین شده است که تحریم بانکی اثر منفی معنی­دار بر ثبات مالی بانک­های ایران دارد. برای آزمون فرضیه پژوهش،  اطلاعات مالی 18 بانک کشور طی دوره زمانی 1385 تا 1395 گردآوری شده و از رهیافت داده­های ترکیبی پویا و به طور خاص روش گشتاورهای تعمیم­یافته سیستمی دو مرحله­ای (SYS-GMM) برای تخمین مدل بهره گرفته شده است تا بتوان با  لحاظ پویایی در مدل نتایج را با خطای کمتری ارائه داد.
یافته­های پژوهش نشان می­دهد فرضیه پژوهش مبنی بر اثر منفی معنی­دار تحریم بر ثبات بانک­های ایران را نمی­توان رد کرد. به­علاوه ناکارایی، ریسک اعتباری و نقدینگی منجر به افت معنی­دار ثبات بانکی شده­اند اما اندازه بانک و ریسک بازار ( شامل سرمایه­گذاری­ها و مشارکت­ها) اثر مثبت و معنی­داری بر پایداری مالی دارند. از میان متغیرهای کلان، تورم و GDP دارای اثر منفی معنی­دار و حساب جاری دارای اثر مثبت معنی­دار بر ثبات بانکی است.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

The effect of sanctions on financial instability of Iranian banks

نویسندگان [English]

  • zohreh asadi 1
  • Kazem Yavari 2

1 Ph.D. Student of Financial Economics, Department of Economics, Faculty of Management and Economics, Sharif University of Technology, Tehran, Iran.

2 Professor of Economics, Department of Economics, Faculty of Economics, Management and Accounting, Yazd University, Yazd, Iran.

چکیده [English]

EXTENDED ABSTRACT
INTRODUCTION
Financial institutions, especially the banking system, play a key role in the economic system; on the one hand, they provide economic growth and development and on the other hand, they may lead to the conditions of disorder and collapse in an economic system. Therefore, the existence of an efficient and stable banking system to prevent or reduce the likelihood of financial and consequently economic crisis is critical. For this reason, Western governments try to affect our economy through financial sanctions. This increases the business risk and costs of the banking system and economic activists, disrupting all international businesses and financial transactions. sanctions as an external shock can potentially have destabilizing effects on the financial system, especially on the banking system and consequently the economy of a country (in terms of revenue and expenditure). In contrast, some economists believe that sanctions do not affect Iran's banking system. In this case, the inefficiency of Iran's banking system regarding international regulations, as well as high credit risk at the international level, is pseudo-sanctioned, causing the unwillingness of foreign banks to cooperate with Iran. Due to this disagreement, the main purpose of this study is to investigate the effect of banking sanctions and their channels on the financial instability of Iran banks using the Z-score index.
 
METHODOLOGY
To obtain the purposes of this research, a hypothesis has been formulated that bank sanctions have a significant negative effect on banks' financial stability. To test the hypothesis, the financial data relating to a sample of 18 Iranian banks are collected for the period 2007-2017. Dynamic panel data approach especially two-stage system-generalized method (SYS-GMM) is used. This can dynamically present the results with less error.
Specifying research model
The model is specified based on Kayaza et al. (2014) as follows:
 




 
 




In this model i: Banks, t: time, α: intercept and b: the coefficients of the explanatory variables, banking stability index: (Z). Dummy Variable Sanctions: (SANC), Credit Risk: (CR), Liquidity Risk: (LR), Market Risk: (MR), Inefficiency: (INEFFI), Bank Size: (size), GDP per capita: (GDP), Inflation rate: (INF), current account (DCA).
 
 
FINDINGS
Sanctions have a significant negative effect on the banking stability of Iran. In addition, inefficiency, credit risk, and liquidity have led to a decline in bank stability but the size of the bank and market risk have a significant positive effect on banking stability. Also, inflation and GDP have significant negative effects and the current account is significantly positively associated with banking stability.
 
CONCLUSION
The research hypothesis, that sanctions have a significant negative effect on the stability of Iranian banks, can not be rejected. It may be interpreted that banking sanctions lead to international invalidity and increase the credit risk, resulting in banking instability due to increasing financial costs through bypassing sanctions and finance at a higher cost. Therefore, the central bank is recommended to adopt policies to reinforce the banking system against sanctions, including the use of a SWIFT's alternative messenger system or new financial technologies, especially Blockchain and digital currencies with decentralized supervision.

کلیدواژه‌ها [English]

  • Banking Instability
  • Z-score Index
  • Sanction
  • System GMM
  • Iran
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