طراحی و تبیین مدل ارزیابی ریسک‌پذیری بانک‌ها از شرایط عدم اطمینان سیاست پولی
الموضوعات :نفیسه وطن‌چی 1 , میرفیض فلاح شمس لیالستانی 2 , غلامرضا زمردیان 3
1 - گروه مدیریت مالی، واحد تهران مرکزی، دانشگاه آزاد اسلامی، تهران، ایران.
2 - گروه مدیریت مالی، واحد تهران مرکزی، دانشگاه آزاد اسلامی، تهران، ایران.
3 - گروه مدیریت مالی واحد تهران مرکزی، دانشگاه آزاد اسلامی، تهران، ایران.
الکلمات المفتاحية: ریسک‌پذیری بانک‌ها, عدم قطعیت سیاست پولی,
ملخص المقالة :
هدف: هدف کلی این مطالعه طراحی و تبیین مدل ارزیابی ریسک‌پذیری بانک‌ها از شرایط عدم اطمینان سیاست پولی میباشد.
روش‌شناسی پژوهش: این پژوهش بر اساس هدف، کاربردی است. به این منظور، سؤال پژوهش بر مبنای یک نمونة آماری متشکل از 9 بانک فعال در بورس اوراق بهادار تهران در بازه زمانی سالهای 1390 الی 1399 به‌صورت میان‌دوره‌ای مورد تحلیل و بررسی قرارگرفته است. نااطمینانی شاخصهای سیاست پولی با استفاده از روش واریانس شرطی خود رگرسیون تعمیم‌یافته نمایی و مدل نهایی با استفاده از روش پنل دیتا برآورد گردیده است.
یافته‌ها: نتایج حاصل از برآورد مدل بیانگر آن است که نااطمینانی سیاست پولی رابطه مثبت و معنادار با ریسک‌پذیری بانک‌های موردمطالعه دارد.
اصالت / ارزش‌افزوده علمی: باتوجه‌به اینکه در چند سال اخیر پس از بحران مالی سال 2008، سیاستهای پولی از طریق کانال جدیدی به نام کانال ریسک‌پذیری فعالان بخش پولی و مالی به‌ویژه بانک‌ها، بر فعالیت‌های واقعی اقتصاد مؤثر بوده است، لذا ارائه‌ی مدلی مبتنی بر ارزیابی ریسک‌پذیری بانک‌ها از شرایط عدم اطمینان سیاست پولی میتواند منجر به ارائه راهکارهای تجربی مناسب برای بانک‌ها و سیاست‌گذاران کشور گردد.
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