فصلنامه پژوهش های پولی - بانکی
پیاپی 30 (زمستان 1395)

The main purpose of banking regulation is promoting banks resilience in crisis and reducing banks risk. This occurs by the market and regulatory pressure. In this paper, we attempt to investigate the causal relationship between capital adequacy ratio (CAR) and risk, adequacy of capital requirement in controlling risk and explore bank's behavior in a different level of capital ratio. Using data of Iranian banks in period of 1389-1394 and simultaneous equation model (SEM), the results show that first, there is mutual causal relationship between risk and capital, second, besides the regulatory pressure, market discipline affect the changes of capital ratio, and finally low-capitalized bank adjust their capital slower than other banks.

In this paper, the relationship between political monetary cycles and the central bank independence has been studied with using econometrics model. We also analyze the government interference effect on the political monetary cycles. In order to estimate the relationship, we use 39 countries’ data for the periods of 1983-2012. The panel data technique accompanies the random techniques and constant effects are used as the analysis method. The results indicate that in each country there is a significant and negative relationship between the central bank independence and the average inflation rate. Since the government interventions in the monetary decisions in the developed countries are less than other countries, these countries have higher positions in the ranking. Countries whose politicians have experienced a hyperinflation put the central bank under the pressure of political monetary changes in order to reduce inflation and it will lead to decrease the central bank independence what indicated above was the reason of why these countries were placed at a lower position of the ranking.

This study intends to investigate the impact of the 2008 financial crisis on the profitability of Islamic and conventional banks. For this purpose the data for the115 banks were selected from Bank Scope database for the countries that the both types of banks were available.Then the Impact of the 2008 Financial Crisis on performance (measured by bank Profitability) of the Islamic and Conventional Banks were compared. The explanatory variables are divided into two groups, bank specific measures, i.e. investment portfolio to total assets, bank deposits to total deposits, and leverages, and country specific measure (GDP per capita growth). The results showed that the financial crisis had a negative impact on profitability of both Islamic and conventional banks. Nevertheless, during 2008 financial crisis, the Islamic banks compare to conventional bank reveal less volatility in profitability.

A mature credit risk management (CRM) framework determines to a great extent the strength of a banking system in general and its financial performance in particular. Evaluation of the maturity of a CRM framework however, suffers from a lack of reliable measure and thus it is considered as a challenge at both policy and operational levels. To determine the CRM index in banking sector, as proposed here, the constructs are explained and weighted using cognitive mapping; next, for validating the index, extracted scores are compared with non-performing loans (NPL) ratios of the Iranian banks. Findings analysis indicates that suitable infrastructure, methods; and strategies and policies, are three important components of credit risk management with relative importance scores of 49, 28, and 23 consecutively.

According to the role of cyclical behavior of capital buffer in the effectiveness of monetary policy, in this article the quarterly average capital buffer for the whole Iranian banking sector and each banking group has been estimated for the period 1386-1:1393-4 based on capital adequacy circular of the central bank of the Islamic Republic of Iran and its behavior has been compared with the business cycle. The results confirm the countercyclical behavior of the average capital buffer in the whole banking sector and in the commercial, specialized and privatized banks, despites its pro-cyclical behavior in the private banks. This variable performs the countercyclical behavior in the group of large private and privatized banks and small private banks, while it has the pro-cyclical characteristic in the group of small private and privatized banks and large private banks. Hence, the probability of neutralizing the monetary policy effect exerted with the aim of leaving recession would exist. Thus, the necessity of exerting strategies for dampening the severity of countercyclical behavior of regulatory capital buffer in the banking sector is observed.

Credit rating is one of the issues that researchers are interested in. On the other hand, this is important for decision-makers in this area because it is a vital tool for choosing the best customers. Therefore the main purpose of this paper is to design an integrated model with subjective and objective approaches. Advantages of the proposed model are significant in three aspects. First, it is possible to rank companies from the aspect of sectors and sizes in different industrial sectors. In other aspects, the proposed model can calculate credit scores as a comparative model and the most important advantage of the model is that it is a combination of subjective models (the experts) and objective model (mathematical models). In this research, we used the information of 60 companies of Stock Exchange and five financial experts help for the subjective section. Since the proposed model has two-stage, the output of the model shows that it is possible to calculate coefficients of criteria for each and for each size of the industry and it is possible to rank companies Accurately. The results showed that the use of this model can provide an accurate and fair rating. Especially the issue of industry and mining companies and agricultural companies is more evident.