اخبار و اعلانات

 آمار

تعداد نشریات24
تعداد شماره‌ها851
تعداد مقالات7,575
تعداد مشاهده مقاله13,413,808
تعداد دریافت فایل اصل مقاله11,580,478
Afzali, Ali, Taiebnia, Ali, Mehrara, Mohsen. (1399). Measuring Basel Credit Gap in Iran: Assessing Implications in Banking Supervision and Crises Prediction. , 10(1), 173-191. doi: 10.22099/ijes.2021.41318.1772
Ali Afzali; Ali Taiebnia; Mohsen Mehrara. "Measuring Basel Credit Gap in Iran: Assessing Implications in Banking Supervision and Crises Prediction". , 10, 1, 1399, 173-191. doi: 10.22099/ijes.2021.41318.1772
Afzali, Ali, Taiebnia, Ali, Mehrara, Mohsen. (1399). 'Measuring Basel Credit Gap in Iran: Assessing Implications in Banking Supervision and Crises Prediction', , 10(1), pp. 173-191. doi: 10.22099/ijes.2021.41318.1772
Afzali, Ali, Taiebnia, Ali, Mehrara, Mohsen. Measuring Basel Credit Gap in Iran: Assessing Implications in Banking Supervision and Crises Prediction. , 1399; 10(1): 173-191. doi: 10.22099/ijes.2021.41318.1772

Measuring Basel Credit Gap in Iran: Assessing Implications in Banking Supervision and Crises Prediction

Iranian Journal of Economic Studies
مقاله 9، دوره 10، شماره 1 - شماره پیاپی 19، خرداد 2021، صفحه 173-191    اصل مقاله (405.43 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22099/ijes.2021.41318.1772
نویسندگان
Ali Afzali؛ Ali Taiebnia* ؛ Mohsen Mehrara
Faculty of Economics, Tehran University, Tehran, Iran.
چکیده
Credit is the basis for financing and stimulating investments. However, excess credit can be the source of systemic risks and financial crises. In this paper, using Iran’s credit data from 2000 to 2019, the Basel credit gap was calculated as a recommended indicator for measuring excessive credit. We perceive that in the years in which the economy is suffering from currency overvaluation; for example, from 2005 to 2011, excess credit is noticeably visible. Moreover, in periods with a fair exchange rate, for instance, from 2000 to 2004, no excess credit was observed. Using capital buffers is an essential regulatory policy to reduce the risk of excess credit. So, the counter-cyclical capital buffer was calculated for all these periods. We also found that Basel’s credit gap has good power in predicting exchange crises in Iran. It seems that the root cause of excessive credit and foreign currency jumps should be sought in the exchange rate-based stabilization plan in Iran (exchange rate anchor). Nonetheless, policymakers can reduce the probability and severity of crises by strengthening the bank credit sector’s regulatory systems and using the proposed buffers.
کلیدواژه‌ها
excessive credit growth؛ systemic risk؛ countercyclical buffer؛ exchange crisis
مراجع

Aldasoro, I., Borio, C., & Drehmann, M. (2018). Early warning indicators of
banking crises: Expanding the family. Journal of Financial Transformation,
48(March), 142-155.
Ariccia, G. D., Igan, D., Laeven, L., Tong, H., Bakker, B., & Vandenbussche, J.
(2012). Policies for macrofinancial stability: How to deal with credit booms.
IMF Staff Discussion Note.
Baba, C., Erba, S. D., Detragiache, E., & Harrison, O. (2020.). How should credit
gaps be measured ? An Application to European Countries.
BCBS (Basel Committee on Banking Supervision). (2010). Guidance for national
authorities operating the counter-cyclical capital buffer. In Report (Issue
December).
Bernanke, B. S., Gertler, M., & Gilchrist, S. (1999). Chapter 21 the financial
accelerator in a quantitative business cycle framework. Handbook of
Macroeconomics, 1(PART C), 1341-1393.
BIS. (2018). Basel committee charter. Bank for International Settelment.
Borio, C., & Drehmann, M. (2009). Assessing the risk of banking crises –
revisited. BIS Quarterly Review, March, 29-46.
Borio, C., & Lowe, P. (2002). Assessing the risk of banking crises. BIS Quartlerly
Review, December, 43-54.
Caruana, J. (2010). Systemic risk: How to deal with it? BIS Other Publication.
Claessens, S., Kose, M. A., & Terrones, M. E. (2012). How do business and
financial cycles interact? Journal of International Economics, 87(1), 178-
190.
Detken, C., Weeken, O., Alessi, L., Bonfim, D., Boucinha, M. M., Castro, C.,
Frontczak, S., Giordana, G., Giese, J., Jahn, N., Kakes, J., Klaus, B., Lang, J.
H., Puzanova, N., & Welz, P. (2014). Operationalising the countercyclical
capital buffer: Indicator selection, threshold identification and calibration
options. Ssrn, 5.
Drehmann, M. (2013). Total credit as an early warning indicator for systemic
banking crises. BIS Quarterly Review, June, 41-45.
Drehmann, M., Borio, C., Gambacorta, L., Jim\’{e}nez, G., & Trucharte, C.
(2010). Counter-cyclical capital buffers: Exploring options. Bank for
International Settlements, Working Paper No. 317.
Drehmann, M., & Tsatsaronis, K. (2014). The credit-to-GDP gap and
countercyclical capital buffers: Questions and answers. BIS Quarterly
Review, March, 55-73.
Drehmann, M., & Yetman, J. (2018). Why you should use the Hodrick-Prescott
filter - at least to generate credit gaps. BIS Working Paper Series, 744.
Eichengreen, B., & Portes, R. (1987). Anatomy of the financial rand. Investment
Analysts Journal, 16(30), 33-39.
FSB, BIS, & IMF. (2009). Report to the G-20 finance ministers and central bank
governors: Guidance to assess the systemic importance of financial 

آمار
تعداد مشاهده مقاله: 431
تعداد دریافت فایل اصل مقاله: 409


سامانه مدیریت نشریات علمی. قدرت گرفته از سیناوب