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

مراجع

  1. Abdul Karim, Mastura, Hassan, M. Kabir, Hassan, Taufiq, Mohamad, Shamsher, (2013). Capital adequacy and lending and deposit behavior of conventional and Islamic banks, Pacific-Basin Finance Journal doi: 10.1016/j.pacfin.2013.11.002
  2. Abedifar, P., Molyneux, P., Tarazi, A., 2013. Risk in Islamic banking. Review of Finance 17, 2035–2096.
  3. Altunbas, Y., Carbo, S., Gardner, E., Molyneux, P., (2007). Examining the relationship between capital, risk and efficiency in European banking. European Financial Management 13, 49–70.
  4. Anginer, D., Demirgüç-Kunt, A., (2014). Bank capital and systemic stability. Policy Research Working Paper No. 6948, The World Bank, Washington, DC.
  5. Ayadi, R., Ben Naceur, S., Casu, B., Quinn, B., (2015). Does Basel compliance matter for bank performance? Working paper WP/15/100, International Monetary Fund, Washington, DC.
  6. Banker, R.D., Chang, H., Lee, S., (2010). Differential impact of Korean banking system rEFOCCRrms on bank productivity. Journal of Banking & Finance 34, 1450–1460.
  7. Barth, J., Lin, C., Ma, Y., Seade, J., Song, F. (2013). Do bank regulation, supervision and monitoring enhance or impede bank efficiency? Journal of Banking & Finance 37, 2879–2892.
  8. Becht, M., Bolton, P., & Röell, A. (2003). Corporate governance and control. Handbook of the Economics of Finance, 1, 1-109.
  9. Beck, T., Demirgüç-Kunt, A., & Merrouche, O. (2013). Islamic vs. conventional banking: Business model, efficiency and stability. Journal of Banking & Finance, 37(2), 433-447.
  10. Berger, A. N., & Humphrey, D. B. (1991). The dominance of inefficiencies over scale and product mix economies in banking. Journal of Monetary Economics, 28(1), 117-148.
  11. Berger, A.N., Di Patti, E. (2006). Capital structure and firm performance: A new approach to testing agency theory and an application to the banking industry. Journal of Banking & Finance 30, 1065−1102.
  12. Bitara, M., Hassanb, M. K., Pukthuanthongc, K., & Walkera, T. (2017). The performance of Islamic vs. conventional banks: A note on the suitability of capital ratios.
  13. Cathcart, L., El-Jahel, L., Jabbour, R., (2015). Can regulators allow banks to set their own capital ratios? Journal of Banking & Finance 53, 112–123.
  14. Chortareasa, G.E., Girardoneb, C., Ventouric, A., (2012). Bank supervision, regulation, and efficiency: Evidence from the European Union. Journal of Financial Stability 8, 292–302.
  15. Demirgüç-Kunt, A., Detragiache, E., Merrouche, O., (2013). Bank capital: Lessons from the financial crisis. Journal of Money, Credit and Banking 45, 1147–1164.
  16. Dermine, J., (2015). Basel III leverage ratio requirement and the probability of bank runs. Journal of Banking & Finance 53, 266–277.
  17. Emami Meybodi, Ali. (2000). Principles of Measuring Efficiency and Productivity (Scientific and Applied). Tehran: Publications of the Institute of Business Studies and Research, First Edition. (In Persian).
  18. Errico, L. and Farahbaksh, M. (1998) Islamic Banking: Issues in Prudential Regulation and Supervision. Washington D.C., the IMF, WP/98/30.
  19. Fiordelisi, F., Marques-Ibanez, D., Molyneux, P., (2011). Efficiency and risk in European banking. Journal of Banking & Finance 35, 1315−1326.
  20. Goddard, J., Liu, H., Molyneux, P., Wilson, J.O.S., (2013). Do bank profits converge? European Financial Management 19, 345-365.
  21. Hassanzadeh, Ali. (2007). Efficiency and its effective factors in the banking system of Iran. Two Quarterly Economics, (7) 4, 98-75. (In Persian).
  22. Hsiao, H., Chang, H., Cianci, A. M., Huang, L., (2010). First financial restructuring and operating efficiency: Evidence from Taiwanese commercial banks. Journal of Banking & Finance 34, 1461–1471.
  23. Imam Verdi, Godratollah and Ahmadi, Barzan. (2010). Measuring the Efficiency of Bank Banks in Iran Case Study of Trade Area 4. Economics Quarterly, (4) 1, 168-143.(In Persian)
  24. Kroszner, R. (1999). Is the Financial System Politically Independent?: Perspectives on the Political Economy of Banking and Financial Regulation. Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  25. Kumar, S., & Gulati, R. (2008). An examination of technical, pure technical, and scale efficiencies in Indian public sector banks using data envelopment analysis. Eurasian Journal of Business and Economics, 1(2), 33-69.‏
  26. Lee, C., Hsieh, M., (2013). The impact of capital on profitability and risk in Asian banking, Journal of International Money and Finance 32, 251–281.
  27. Lopez-Mejia, A., Aljabrin, S., Awad, R., Norat, M., Song, I., (2014). Regulation and supervision of Islamic banks. Working paper WP/14/219, International Monetary Fund, Washington, DC.
  28. Mollah, S., Zaman, M., (2015), Shari’ah supervision, corporate governance, and performance: Conventional vs. Islamic banks. Journal of Banking & Finance, forthcoming.
  29. Molyneux, P., Altunbaş, Y., & Gardener, E. P. (1996). Efficiency in European banking. John Wiley & Sons.‏
  30. Niswander, F., Swanson, E.P., (2000). Loan, security, and dividend choices by individual (unconsolidated) public and private commercial banks. Journal of Accounting and Public Policy 19, 201–235.
  31. Park, K.H., Weber, W.L., (2006). Profitability of Korean banks: Test of market structure versus efficient structure, Journal of Economics and Business 58, 222–239.
  32. Pasiouras, F., Tanna, S., Zopounidis, C., (2009). Banking regulations, cost and profit efficiency: Cross–country evidence. International Review of Financial Analysis 18, 294–302.
  33. Rosman, R., Abd Wahab, N., Zainol, Z., (2014). Efficiency of Islamic banks during the financial crisis: An analysis of Middle Eastern and Asian countries. Pacific-Basin Finance Journal 28, 76–90.
  34. Shabahang, Reza and Borhani, Hamid. (1998). Performance measurement in Iranian commercial banks and their relationship with organizational and financial dimensions. Quarterly Journal of Management Studies Futures, (2) 10, 64-49. (In Persian)
  35. Song, I., Oosthuizem, C., (2014). Islamic banking regulation and supervision: Survey results and challenges. Working paper WP/14/220, International Monetary Fund, Washington, DC.
  36. Staub, R.B., Da Silva e Souza, G., Tabak, B.M., (2010). Evolution of bank efficiency in Brazil: a DEA approach. European Journal of Operational Research 202, 204–213.

فایل ها

هم رسانی

ارجاع به این مقاله

آمار