The time-scale effect of volatility of asset market on the efficiency of the country's banking network with emphasis on regime change

In this research, the effect of scale-time volatility of assets (currency, stocks and housing) on the efficiency of the banking network in the period 1399: 4-1388: 1 has been studied quarterly using the Markov switching model.

In this study, we first calculate the efficiency of the bank network using the data envelopment analysis model with bootstrap data. Then, the volatility of asset market (exchange rate, stock market index and housing price index) extracted using the wavelet conversion pattern and examines the impact of volatility of asset market on the efficiency of the country's banking network in the form of the Markov switching model and observing their effect on different levels of efficiency.

The average efficiency of the country's banking network in the study period has been about 56.1%, which indicates that efficiency has not been appropriate. The short-term volatility of the exchange rate in the state that the  efficiency of the bank network and the high regime has a negative and significant effect, but if the long-term exchange  volatility, regardless of the regime and the level of banking network  efficiency, has a negative and significant effect. The short-term volatility of the stock market index have had a positive and significant effect on the level of low banking network efficiency. But if volatility are continued in the stock market, regardless of the level and regime, the efficiency of the banking network has a negative and significant effect. The short-term  volatility in the housing market have had a positive and significant effect on the level of bank network efficiency but in the opposite side of the long-term volatility in this market and in a high level of bank network  efficiency, it can lead to significant reductions. Therefore, by stabilizing the economy (lack of large exchange rate, stock index and housing), it can be expected to improve the efficiency of the country's banking network due to its level and regime.

One of the issues that can be important in policy making perspective is to consider the impact of volatility of assets market in different time periods on different levels of banking network efficiency. Because they may have a different impact on different levels of bank network efficiency as well as different periods of volatility of assets market.