The Investigation of Macroeconomic Variables Effect on Credit Risk Iranian banking system

Since most of the volume of the national economic exchanges achieved through the banking system .So correct function of the banking system have a crucial role in the improving economic activities .One of the most important problems of the national banking system in the past few years is that, if loan' installments isnt paid on time, the banks will be faced with sudden decline in the finance resources and thus the credit risk may lead to their bankruptcy .So measurement of the risk of granted loans is one of the most important factors in decision making in the region of supply financing system which has been affected by macroeconomic variables and could be a warning sign of shock occurrence in the financial sector. This paper investigates the effect of economic variables on credit risk of the banking system over the period 2000 – 2017. Default rates defined as a ratio of non-performing loans to total granted loans. Economic variables such as growth rate of stock price index, unemployment rate, liquidity growth rate, growth rate loans which long-term and short-term effects estimated using a model ARDL.
The results confirm the effectiveness of variables on credit risk. The growth rate of Stock price index has the greatest effect and liquidity growth rate has lowest effect on credit risk.