Designing And Explaining the Assessment Model of Banks' Risk-taking From the Conditions of Monetary Policy Uncertainty

Subject Areas : Islamic finance

Nafiseh Vatanchi ¹ , Mir Feiz Fallah Shams Lialestani ² , Gholamreza Zomorodian ³

1 - Department Of Financial Management Central Tehran Branch , Islamic Azad University , Tehran , Iran .
2 - Department Of Financial Management Central Tehran Branch , Islamic Azad University , Tehran , Iran .
3 - Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran

Received: 2023-11-20 Accepted : 2024-09-15 Published : 2024-09-15

Keywords: Monetary Policy Uncertainty, Banks Risk Taking, , ,

Abstract :

Purpose: This study aims to design and explain a bank risk taking evaluation model with respect to the monetary policy uncertainty. Method: In this applied study, the research question was analyzed intermittently based on a statistical sample of nine banks listed in the Tehran Stock Exchange within 2011–2021. The exponential generalized autoregressive conditional heteroskedasticity (EGARCH) method was adopted to evaluate the uncertainty of monetary policy indices, and the panel data analysis was employed to estimate the final model. Findings: According to the model estimation results, there was a positive significant relationship between the monetary policy uncertainty and bank risk taking. Authenticity/Scientific Value-Added: Since the 2007–2008 financial crisis, monetary policies have affected real economic activities through a new channel called the risk taking channel of monetary/financial activists, especially banks. Thus, proposing a bank risk taking evaluation model with respect to the monetary policy uncertainty can provide banks and policymakers with proper empirical solutions.