Volume 12, Issue 43 (3-2021)                   jemr 2021, 12(43): 99-131 | Back to browse issues page

XML Persian Abstract Print

Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Noferesti M, Yazdani M, Babaei N, Ghanbarimaman H. Effect of Exchange Rate Change on Macroeconomic Variables Through Banking System: Approach of Macro-Econometric Model. jemr 2021; 12 (43) :99-131
URL: http://jemr.khu.ac.ir/article-1-2102-en.html
1- Shahid Beheshti University
2- Shahid Beheshti University , ma_yazdani@sbu.ac.ir
Abstract:   (2716 Views)
Banking system is one the important sectors of economy and as vital institution of money market, plays a very significant role. Also, due to the nature of the banking system performance, the activities of banks have a close relationship with the exchange rate changes. This paper tries to assess the effects of exchange rate variations on macroeconomic variables via the banking system using a macro-econometric model and approach of bounding ARDL during 1973-2017. The results indicated that an increase in the exchange rate through non-performance loans and long-term deposits will led to decreased credit providing by the banking system. On the other hand, an increase in the exchange rate through the net open position and banks’ capital account had a positive impact on banks’ credit provision. However, the negative impact of a change in the non-performance loans and long-term deposits is stronger than the positive impact of the net open position. In addition, the decreasing trend of providing credit by banking system had a negative effect on investment. Finally, an increase in the exchange rate causes a decrease in the long-term deposits and the money multiplier which has a negative effect on liquidity and price level. An increase in the exchange rate through the capacity utilitization rate had a negative impact on GDP. Also an increase in the exchange rate led to increased liquidity and price level.
Full-Text [PDF 5471 kb]   (1318 Downloads)    
Type of Study: Applicable | Subject: رشد و توسعه و سیاست های کلان
Received: 2021/01/10 | Accepted: 2021/06/17 | Published: 2021/09/12

1. Adamopoulos, A. (2010), Financial development and economic growth. An empirical analysis for Ireland, International Journal of Business and Economic Sciences Applied Research (IJBESAR), 3(1), 75-88.
2. Addae, A. A., Nyarko-Baasi, M. & Tetteh, M.L. (2014). Effect of exchange rate movements on Ghanaian banks. Journal of Finance and Accounting, 2 (3), 62-71. [DOI:10.11648/j.jfa.20140203.15]
3. Ahmad, E. & Malik, A. (2009) Financial sector development and economic growth: An empirical analysis of developing countries. Journal of Economic Cooperation and Development. 30, 17-40.
4. Aliyeva, U. (2020). The Impact of Currency Devaluation on The Banking Sector of Azerbaijan , M.S Thesis. Girne American University. [DOI:10.2139/ssrn.3698650]
5. Alkhazaleh, A. M. K. (2017). Does banking sector performance promote economic growth? Case study of Jordanian commercial banks. Problems and Perspectives in Management, 15(2), 55-64. [DOI:10.21511/ppm.15(2).2017.05]
6. Altunok, F., Aytug, H. & Oduncu, A. (2014) Understanding exchange rate exposure through net foreign exchange position channel, No. 17.
7. Bandara, A. W. M. S. S. C. & Thilakarathne, P. M. C. (2020). The Impact of Exchange Rate Movements on Stock Returns: Evidence from Commercial Banks in Sri Lanka. Eleventh International Conference on Business & Information ICBI, University of Kelaniya, Sri Lanka. 27-40. [DOI:10.2139/ssrn.3844210]
8. Bystrom, H. (2017).The currency composition of firms' balance sheets, asset value correlations, and capital requirements. Global Finance Journal. 34, 89-99. [DOI:10.1016/j.gfj.2017.03.007]
9. Dargahi H, Ghasemi M, Fatollahi S. (2020).The Impacts of Bounced Checks on Economic Growth through the Banking Credit Risk Channel Emphasis on Enforcement of Laws: Provincial Panel Approach. JEMR, 10 (40), 7-32. {In Persian} [DOI:10.29252/jemr.10.40.7]
10. Dhungana, N. T. & Pradhan, R. S. (2017). Effect of bank lending on inflation in Nepal. Journal of Advanced Academic Research (JAAR), 4 (2), 27-43. [DOI:10.3126/jaar.v4i2.19533]
11. Ehsani, M. & Khatibi, Y. (2012). The Impact of Interest Rate Ceiling on Investment in Iran. Quarterly Journal of Economic Growth and Development Research, 2(8), 82-69. {In Persian}
12. Hoseyni, S., zamanian, G. & Mirbagherijam, M. (2016). Survey the impact of exchange rate fluctuations on financial performance indicators of banks listed in the Tehran Stock Exchange. Management Researches, 9(33), 251-267.{In Persian}
13. - Johnson, K. (2015). Analysis of the impact of the economic credits on the inflation and economic growth in Togo. African Journal of Marketing Management, 7(6), 69-79. [DOI:10.5897/AJMM2014.0414]
14. - Karimkhani, A. & Forati, M. (2012). Investigating the effect of macroeconomic variables on banks' resources and expenditures. Sepah Bank. {In Persian}
15. - Lagat, C. & Nyandema, D. (2016). The influence of foreign exchange rate fluctuations on the financial performance of commercial banks listed at the Nairobi securities exchange. British Journal of Marketing Studies, 4,1-11. [DOI:10.20431/2349-0349.0411008]
16. - Mohammadi, T., Eskandar, F. & Karimi, D. (2016). The effect of macroeconomic variables and special banking characteristics on non-performing loans in iranian banking system. Economics Research, 16(62), 81-101.{In Persian}
17. - Naseri S A, Jabal Ameli F, Barkhordary Dorbash S. (2020). Investigating the Correlation of Selected Banks with Dynamic Conditional Correlation (DCC) Model and Identifying Systemically Important Banks with Conditional Value at Risk and Shapley Value Method. JEMR, 11 (41), 145-196. {In Persian}
18. Noferesti, M. (2019). Macro- Econometric Modelling in Iran. Shahid Beheshti University (Vol. 1) .{In Persian}
19. Noferesti, M. (2019). Macro- Econometric Modelling in Iran. Shahid Beheshti University (Vol. 2) .{In Persian}
20. Otieno, O.P. (2017). Effect of foreign currency exchange rates on financial performance of the banking sector in Kenya, M.S Thesis. University of Nairobi.
21. Varahrami,V., Javaherdehi, S. & dashtban farooji, S. (2015). Survey relation between economic growth, development of banking sector and macroeconomic variables with panel-var method, Case study D8 countries. Quarterly Journal of Quantitative Economics, 12(4), 39-65.{In Persian}
22. Zamani, Z., Jannaeti, A. & Ghorbani, M. (2018). The Impact of currency fluctuations on Iran's banking system performance. Quarterly Journal of Islamic Finance and Banking Studies, 4(8), 81-104.{In Persian}

Add your comments about this article : Your username or Email:

Send email to the article author

Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

© 2024 CC BY-NC 4.0 | Journal of Economic Modeling Research

Designed & Developed by : Yektaweb