Factors Affecting Credit Risk of Commercial Banks of Iran with Emphasis on Banking and Macroeconomic Specific Factors

• Main Authors: Mohammadreza Rostami, Ahmad Nabizade, zahra shahi
• Format: Article
• Language: fas
• Published: University of Isfahan 2018-12-01
• Series: Journal of Asset Management and Financing
• Subjects: credit risk; nonperforming loans (npl); generalized method of moments (gmm)
• Online Access: https://amf.ui.ac.ir/article_23117_e96ddf05799ad56fd426400b9332ecfb.pdf

As banks’credit risk instability has a critical role on monetary and financial system, this study focuses on factors affecting both specific banking factors and macroeconomics factors on the credit risk of commercial banks in Iran. Based on Judgmental sampling method data of 9 independent and dependent variables was analyzed at the level of the commercial banks and the macroeconomics of the country by generalized method of moments (GMM) during the period from March 2009 to March 2016. The results show that the ratio of non-current facilities (NPL) of the past period, and the growth rate of GDP without oil with non-current facilities ratio (NPL) have a positive relationship with credit risk and bank's capital, the growth rate of oil revenue and credit growth, have a significant and negative relationship with credit risk. Also, bank size, inflation rate, and return on assets have a significant relationship with the credit risk criterion (NPL).