چکیده:
This paper studies bank loans over the business cycles in Iran to determine the role of
Iranian banks in stabilizing credit. By estimating the long-run relations using dynamic
OLS and fully modified OLS estimators, the findings show that real bank lending is
positively related to real GDP in the long-run providing evidences of the pro-cyclicality
of bank lending in Iran. Hence, Iranian banking system has not operated far away from
the conventional banking system in that they have not the ability to stabilize credit over
business cycles. The results of Toda-Yamamoto’s (1995) Granger non-causality test
indicate a unidirectional causality running from real GDP to real bank lending. Moreover,
the impulse response functions from estimating vector autoregressive models suggest
positive and statistically significant response of real bank lending to shocks from real
GDP reaffirming the pro-cyclicality of bank lending in Iran.
خلاصه ماشینی:
Moreover, the impulse response functions from estimating vector autoregressive models suggest positive and statistically significant response of real bank lending to shocks from real GDP reaffirming the pro-cyclicality of bank lending in Iran.
Recent financial theories of business cycle developed by Bernanke and Gertler (1989) and Kiyotaki and Moore (1997) predict a pro-cyclical bank lending behaviour.
In this research, we contribute to the existing literature by studying the pro-cyclicality of bank lending over business cycle in Iran using time series econometric approaches of co- integration and further assessments of causality and dynamic interactions between variables.
They found that the lending behaviour of state-owned banks are more stable during business cycle providing evidences that this group of banks stabilizes credit and hence plays a useful counter-cyclical role.
(View the image of this page) Figure 1 depicts the responses of real bank lending and real GDP to a one- standard deviation shock to other variables considered in the VAR model in the case of yearly dataset.
To examine pro- cyclicality of bank lending over business cycle in Iran we employs time series econometric approaches of co-integration and further assessments of causality and dynamic interactions between variables.
With the findings of co-integration, estimating long-run equations using DOLS, FMOLS and JJ estimators indicate that real bank lending is positively related to real GDP in both yearly and quarterly dataset providing evidences supporting the pro-cyclicality of bank lending in Iran, which is consistent with the findings of Micco and Panizza (2006), Bertay et al.