چکیده:
Profit rate stickiness means the asymmetric behavior of banking profit rate with respect to positive and negative shocks. Scrutinizing this behavior would suggest a new perspective on policy tools and banking supervision. In this regard, this paper applies hidden panel cointegration, proposed by Hatemi-J (2018), to study profit rate and bank specific characteristics nexus for all banks listed on Tehran Stock Exchange [TSE] during 2008-2017. This approach, in addition to analyzing the long-term relationship between variables, has another important capability for modeling asymmetry between variables. It has been shown that there is a long-run non-linear relationship between cumulative positive and negative components of variables. Then, asymmetric relationships are measured by using Panel DOLS. The results indicate that the main causes of profit rate asymmetry are liquidity and credit risks, and there is a downward direction of profit rate stickiness. Finally, the SCP paradigm is well-supported in Iran’s banking system. It seems Central Bank of Iran [CBI] needs to be mindful of anticompetitive effects of bank mergers firstly; and secondly, require banks to meet more stringent liquidity requirements and force them to stop roll over defaulted loans into new loans to increase the quality of banks’ assets.
خلاصه ماشینی:
In this regard, this paper applies hidden panel cointegration, proposed by Hatemi-J (2018), to study profit rate and bank-specific characteristics nexus for all banks listed on Tehran Stock Exchange [TSE] during 2008- 2017.
Repullo (2004), Boyd and De Nicoloí (2005), Brewer and Jackson (2006), Giovanni, Laeven & Marquez (2014), Holton and Rodriguez (2018) have focused on how bank risk-taking increases competition for deposits (i.
The new IO accentuates the necessity to endogenize market structure (Uzunidis, 2016) and considers extra profits as an economic return not a return to collusive activities (Demsetz, 1973; Peltzman, 1977; Smirlock, 1985; Chortareas, Garcia, & Girardone, 2009; Seelanatha, 2010).
Several significant papers have tested the relationship between market concentration, banks characteristics and interest rates (Hoffman and Mizen, 2004; Gambacorta, 2008; De Graeve et al.
, 2004; González & Fumás, 2005; Begoev and Petrevski, 2012; Holton and Rodriguez, 2018) and emphasize loan and deposit rates stickiness in different European countries as well as the US (Sastre, 1997; Scholnick, 1999; Barreira et al.
, 1999; Hannan and Liang, 1993 Sellon, 2002; Berstein and Fuentes, 2003; Cottarelli and Kourelis, 1994; Guntner, 2010).
This paper focuses on profit rate asymmetries coming from the selected financial soundness indicators (NPLs and claims on the government, investment, credit, and liquidity positions) of banks listed on TSE as well as market concentration.
5 Estimation Results The suggested test for hidden panel cointegration is applied to investigating the asymmetric effects of bank characteristics on profit rates in 21 banks listed on TSE.
Table 4 shows cointegration vectors between positive and negative components of real profit rate and bank-specific characteristics.