چکیده:
The real macroeconomic instability and frequent changes in the monetary and banking regulations with financial contagion to the banks’ financial statements in the banking network of Iran cause intensified instabilities in its financial behaviors. In this paper, using statistical analysis and three-dimensional charts, we have analyzed the behavior of the financial statements of consolidated balance sheets covering the banking network of Iran. The paper also uses a non-linear estimation to calculate the threshold value regarding financial statements such as the nonperforming loan ratio. Results indicate that the banking network financial statements must be restructured due to exogenous shocks. Also, in the recession periods of the year 2011 fourth period and 2012 first period, the recession has reached the banking network with lag and banks have been able to change the return on assets ratio regimes neither in the year 2011 nor in the beginning months of the year 2012. Furthermore, the banks have started a contracting policy in providing loans. As time passes, yields and the performing loans depict the fact that yields on assets as profit indicators are increased unless the interest earning and different periods of time changes are also augmented. Going beyond the critical threshold, generating loans will be likely to drive non-performing loans since these loans are not going to be reimbursed. Banks will have to extend their loans to new loan contracts to consider them as performing which will lead to identification of fake profits in their statements.
خلاصه ماشینی:
"Furthermore, results of the statistical bivariate analyses which are implemented by the three dimensional density distribution function, contour line and the bivariate distribution function confirm that the threshold values which are determined in the first period when the values of performing loans, future profits and nonperforming loans are near the values as acquired before and make it certain to simultaneously conclude the regime changes probability in the total behavior of the banking network of the consolidated financial statements’ behavior.
Therefore, the algorithm which is technically considered for this objective is as follows: Determining some of the key financial ratios which seem to be strongly fluctuated by the investigated course of study Analyzing the movement trend and distribution function of these ratios and changes in important headlines if necessary Testing the structural break for the time series (The Hansen and Tsay Nonlinear test1) Estimating the Nonlinear Threshold Autoregressive Models Datelining the Macroeconomic shock effect using the estimated model results Statistical 3-dimentioal analysis of the selected financial statements ratios The rest of the paper is structured as follows: Section two reviews the literature on the impact of macro variable shocks on the banks’ balance sheets; Section three briefly discusses empirical methodology and analytical discussion and the Last Section undermines the concluding remarks.
In this report we try to investigate structural Shock Dating on Iranian Banking Network’s Balance Sheet Heidari, Hadi; Valipour Pasha, Mohammad and Ahmadyan, Azam Abstract The real macroeconomic instability and frequent changes in the monetary and banking regulations with financial contagion to the banks’ financial statements in the banking network of Iran cause intensified instabilities in its financial behaviors."