بررسی تناسب کارکردی نسبت های سرمایه در بانک های ایران

نوع مقاله : علمی - پژوهشی

نویسندگان

1 دانشگاه علامه طباطبائی

2 عضو هیات علمی گروه اقتصاد دانشگاه یزد

3 دانشگاه علامه طباطبائی،

چکیده

به همان نسبتی که بانک‌های کارا و سالم می‌توانند در رشد و توسعه اقتصادی مؤثر باشند، ناسالم بودن و عملکرد نامطلوب آن‌ها نیز می‌تواند باعث ایجاد بحران‌های مالی و اقتصادی شود. کمیته مشورتی بال از سال 1988 به بررسی و ارائه پیشنهاد برای الزامات سرمایه و از همه مهمتر رعایت حداقل کفایت سرمایه در بانک­ها پرداخته است. محاسبه کفایت سرمایه مستلزم در نظر گرفتن سرمایه و دارایی­های وزن دهی شده بر اساس ریسک است. بدلیل تفاوت ماهوی روش­های تأمین و مصارف وجوه و نوع عقود و بار تکلیفی در بانک اسلامی با بانک متعارف، لازم است که محاسبه و تعیین میزان حداقل کفایت سرمایه برای یک بانک اسلامی پس از شناسایی و رده بندی انواع مختلف دارایی، بدهی و سرمایه و میزان ریسک مربوط به هر کدام از آنها، با توجه به ویژگی­های خاص مالی آن مدنظر قرار گیرد.  از این رو این تحقیق به دنبال بررسی مناسب بودن مجموعه ای از مهمترین شاخص های سلامت بانکی یعنی نسبت­های سرمایه است. بدین منظور رابطه نسبت های سرمایه (پایه و اصلی) به دارایی های موزون و غیر موزون با کارایی فنی بانک های اسلامی ایران بررسی می شود. پس از محاسبه شاخص کارایی فنی بانک ها به روش CCR و BCC هشت مدل رگرسیونی پانل دیتا در دوره زمانی 1382-1394 برای 21 بانک و با بیش از 190 مشاهده برآورد شد. نتایج نشان می دهد که هر 4 شاخص سرمایه اثر مثبت و معنی داری با کارایی فنی بانک ها دارند. اما شاخص غیرموزون سرمایه پایه به کل دارایی ها بهترین متغیر توضیح­دهنده­ی در میان نسبت­های سرمایه برای کارایی بانکی است.

عنوان مقاله [English]

Investigate the Functional Appropriateness of Capital Ratios in Iranian Banks

نویسندگان [English]

  • Mahmoud Issavi 1
  • Fathallah Tari 1
  • Habib Ansari Samani 2
  • Hassan Amozad Khalili 3
1 Assistant Professor , Allameh Tabataba'i University
2 Faculty Member at Department of Economics-Yazd University-Iran
3 Ph.D. Candidate of Islamic Economics
چکیده [English]

In the same way that healthy and efficient banks can be effective in economic growth, their unhealthy and poor performance can also lead to financial and economic crises. The WFTC has been reviewing and proposing capital requirements since 1988 and, most importantly, observing the minimum capital adequacy of banks. Calculation of capital adequacy requires consideration of capital and risk weighted assets. Due to the significant difference between the methods of financing and the use of funds and the type of contracts and payloads in the Islamic bank with the conventional bank, it is necessary to calculate and determine the minimum capital adequacy for an Islamic bank after identifying and classifying various types of assets, liabilities and capital And the amount of risk associated with each of them, taking into account its specific financial features. Therefore, this research intends to assess the suitability of a set of the most important indicators of banking healthy indicators, namely, capital ratios. To this end, the ratio of capital ratios (tire1+tire2) to risk weighted assets with technical efficiency of Islamic banks of Iran is reviewed. After calculating the technical efficiency index of banks by CCR and BCC, eight panel data regression models for the period 2003-2015 were estimated for 21 banks and more than 190 statistical samples. The results show that all four capital indicators have a positive and significant effect on the technical efficiency of the banks. However, tire1 capital to total assets ratio is the best explanatory variable among capital ratios for banking performance.

کلیدواژه‌ها [English]

  • Iranian Banks
  • Capital adequacy
  • Technical Committee
  • Islamic Bank
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