اعظم احمدیان

In this paper Basel regulation is modeled in Dynamic Stochastic General Equilibrium (DSGE) framework. For this purpose, using data from 1981-2017 for Iran, capital adequacy as an importance regulation is modeled. Results show Basel regulation has procyclical effect. According to the results of the model and according to the realities of economy and banking system of Iran, in recession, lending and credit risk increase and repayment probability decrease. Despite these conditions, capital adequacy does not increase. This confirms that risks are less relevant in determining capital. If elasticity of repayment probability with respect to capital loan ratio is zero, Basel II is more procyclical than Basel I. If elasticity of repayment probability with respect to capital loan ratio is 0.5, Basel II is less procyclical than Basel I.

This paper seeks to investigate the determinants of banking network profitability in Iran from 2007 to 2012. The results of our study indicate that both bank-specific factors and macroeconomic factors influence banks’ profitability in Iran. Results confirm that bank profitability is significantly influenced by investment to total assets ratio, non-performing loans to total assets ratio, and time deposit to total assets ratio. Among external factors, it turns out that economic growth rate has a significant positive impact on bank profitability. JEL Classifications: C23, G21, M20

Added over the period 2006-2018. We focused on different proxies of corporate governance indicators, such as the Directors' Effectiveness, the Transparency and the Disclosure, Responsibility. Basel Principles have been used to make corporate governance indicators and Stern & Stewart and Chew (1995) method have been used to make banking economic value added. We used the PCA method to choose important indicators. The results of PCA estimation identified ten important variables affecting banks' economic value added. Due to the importance of banks' age in creating economic value-added, banks are divided into two classes according to age. The GMM method is used to estimate the models. Eight models were designed to examine the impact of different corporate governance measures on the banking economic value added. The results indicated that corporate governance indicators were significant in explaining changes in the Iranian banking economic value added. The result also shows that according to the banks' age, the effectiveness of the board structure is greater than others. This illustrates the importance of board structure more than other criteria.

COVID affects various sectors of the economy, including energy. Measuring these effects on the energy sector can help policymakers adopt appropriate protectionist policies. In this paper, the effect of COVID shock on energy and non-energy sectors has been investigated using the DSGE model. For this purpose, two shocks of preferences and shocks of labor supply have been used. This article adds COVID to the model as well as adding energy to the New Keynesian model. The effect of COVID on the energy and non-energy sectors of the two channels of labor supply and consumer preferences has been investigated. The results of the study indicate that consumption, investment, and production in the energy sector have increased under the influence of both shocks. But consumption, investment and production in non-energy sector have declined. Prices and production costs have increased in both sectors. Also, the negative effects of the preferences shock were greater than the negative effects of the labor supply shock.

As a mechanism to enhance financial system stability and a process that allows banks to change their role from traditional lenders to originators and distributors of loans, securitization reduces the dependence on customer deposits. Also, it expands lending capacity, manages banks credit risk, and transforms illiquid assets into saleable securities. In this research, GMM method in three formats is used for the 16 selected Iranian banks. Results show that real sector growth positively and significantly increase financial stability in the Iranian economy. This is because of the economic scale augmentation and its impact on creating new financial resources. Meanwhile, the non-performing loans ratio significantly diminishes banking stability as well as it lowers banks' capacity to generate revenues from intermediary activities. Moreover, return is affected by the inflationary conditions which heightens revenue making and equity factors in banks' balance sheets. In order to generate higher revenues and gain upper profits, banking resources are occasionally withdrawn to enter other financial markets. Loans to deposits ratio, representing the credit risk in banking systems, denotes that higher risk in credit areas exacerbates financial stability due to the higher probability of risk appetite in generating loans to the general public. Also, security size highlights that although it is expected that securitization augments the financial stability in the banking system, other indicators would also be influential on financial stability. In other words, the higher the security size, the bigger its impact on banking stability. Furthermore, Lending capacity augments as a result of risk management and transforming illiquid assets into saleable securities.

The merger of banks is one of the methods for reforming the structure of banks, which has attracted Iranian banking policymakers in recent years. In the process of merging, paying attention to its effects can help to integrate banks. In Iran's banking network, financing of production is one of the main concerns of banking policymakers. Therefore, it is important to study the effect of banks' integration on financing. In this paper, considering the importance of this issue, using the financial statements of banks in the period 2006-2018, and the Panel Data method, the effect of the merger of banks on financing has been investigated. The static method has been used to integrate banks. For this reason, banks have been considered in terms of size and health. The results of the survey indicate that the combination of small banks with large bank and combination of healthy banks, as compared to other options, have more positive effect on the supply of facilities.

Innovations in electronic banking in Iran have led to the development in capacities such as payment instruments and transactions by cards, which are known as electronic payment equipment in the Iranian banking network. Financial supervision is required to be increasingly based on reporting and regulatory processes to efficiently and proactively monitor risk and compliance at banks and financial institutions. Besides, the banking system needs relevant information and instruments on strategy, assessments, and policy decisions in line with the required procedure to enhance transparency. Designing a new criterion in banking innovations by combining the Electronic banking instruments, considering the Electronic banking capacity proper and scaled to the banks’ assets, equity and resources as well as distinguishing the impact of banks’ profitability and capital are attributed as the key contributions in this paper rather than other similar researches. Results indicate that Electronic Banking capacities including the pin-pad, ATM, online branches, card services, and P.O.S volumes have positively and significantly influenced transparency since scales of these innovative capacities have expanded relative to the banks' assets and capital due to their contributions in the velocity and disclosure of data collection and analysis potentials. Results also denote that the state-owned banks in Iran are less transparent than private banks and the size of the bank hurts transparency. The return on equity in the form of bank ownership is multiplied as well as results also indicate that the productivity of equity returns has a positive effect on transparency. The ratio of non-interest income to total income also has a positive impact on transparency. There would be needed to provide transparent information on fee-based services to develop non-interest income. Hence, to improve transparency, the development of fee-based and non-profit-based services are required.

Economic Value Added, or EVA is one of the popular tools that bankers can use to measure the financial performance of their bank. EVA helps management to conduct internal goal-setting. The long-term goal is preferred than short-term implications. It measures the company’s financial performance based on the residual wealth calculated by deducting its cost of capital from its operating profit, adjusted for taxes on a cash basis. It helps to capture the real economic profit of a company. The main objective of this study is to examine the Iranian banks' financial performance based on EVA which is the modern concept introduced to evaluate the performance of banks. Data are collected for the study, which consisted annual reports of the banks from 2006 to 2017 (12 years). Private banks selected in this study were associated with increased non-performing loan to total loan, reduced capital adequacy, reduced profits and increased inefficiencies. All of these factors have led to reduction not only in the economic value of banks but also the negative EVA of selected banks. Banks are encouraged to identify unnecessary activities and reduce the cost of providing services to improve the economic value added of banks.

In financial markets, the main component of risk management is liquidity risk. Asset and Liability Management (ALM) strategy is concerned with managing all risks. Asset and liability management seeks to manage liquidity risk, which refers to both the liquidity of markets and which assets can be translated into cash. The liquidity is importantly affected by the management of banks’ balance sheets. This paper contributes to the discussion by focusing on liquidity and asset and liability management by providing a theoretical framework to examine how the ALM could be reduced the liquidity risk in banking. We investigate the effect of ALM indicators on liquidity risk. We measure liquidity risk, and ALM with indicators approach, using financial statement in 2006-2018 and panel data approach. The results indicate that if asset and liability management improves, liquidity risk decrease and if the ratio of capital adequacy increases, the bank can better cover liquidity risk, and so increasing in capital adequacy will reduce liquidity risk. Deposit per shareholders increases the liquidity risk of banks. Interest rate increases liquidity risk. When profitability increases, liquidity risk will increase. The relation between liquidity risk and profitability is positive.

A bank as a business units needs to have liquid assets which can be easily converted into cash at short notice. Thus the concept of liquidity risk management is important for any commercial banks. The impact of liquidity position in management of banks have remained significant, though very elusive in the process of investment analysis vis-à-vis bank portfolio management. In addition, liquidity risk management affects banking performance. In this paper, according to existing theoretical and empirical literature, the suitable system for measuring liquidity risk management is defined. Then, the effect of liquidity risk management on the profitability and survival of banks has been investigated. For this purpose, a model is estimated using panel data method and the financial statements of banks for the period 2005-2017. The results of the study show that there is a significant relationship between risk management and profitability and bank survivability. As poor liquidity risk management reduces the profitability and survival of banks.