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The Effect of Macroeconomic Variables on Credit Risk in the Private Commercial Banks Operating in Syria Using ARDL Model

دراسة أثر المتغيرات الاقتصادية الكلية على مخاطر الائتمان في المصارف التجارية الخاصة العاملة في سورية باستخدام نموذج ARDL

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 Publication date 2018
  fields Economy
and research's language is العربية
 Created by zeina ismael




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This research aims to investigate the impact of macroeconomic variables on credit risks in the private commercial banks operating in Syria. Considering 10 commercial banks during 2009-2015, we study and analyze a number of macroeconomic variables proposed by the associated economic literature, and it seems that these variables have an important effect on credit risk. Preliminary tests are applied to test for the Stationarity of the selected variables. Besides, a (co-integrating) long-term relationship between the explanatory variables and the dependent variable is investigated using an ARDL model. A Fixed Effect panel model is fitted to assess the potential effects of the considered macro-variables on credits risks. It seems that macroeconomics variables have a significant role in explaining the changes in quality loans portfolio, which causes an increasing in the nonperforming loans in Syrian commercial banks. In effect, it results that there is a negative and statistically significant effect of both economic growth and inflation rate on credit risk, whereas, there is a positive and statistically significant effect of both real interest rate and real effective exchange rate on credit risk


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Research summary
تهدف هذه الدراسة إلى استكشاف تأثير المتغيرات الاقتصادية الكلية على مخاطر الائتمان في المصارف التجارية الخاصة العاملة في سوريا خلال الفترة من 2009 إلى 2015. تم استخدام نموذج ARDL لاختبار العلاقة طويلة الأجل بين المتغيرات التفسيرية والمتغير التابع، بالإضافة إلى نموذج بانل للآثار الثابتة لتقدير تأثير المتغيرات الاقتصادية الكلية على مخاطر الائتمان. أظهرت النتائج أن هناك تأثيرًا سلبيًا ومعنويًا لكل من معدل النمو في الناتج المحلي الإجمالي الحقيقي ومعدل التضخم على مخاطر الائتمان، بينما كان هناك تأثير إيجابي ومعنوي لكل من سعر الفائدة الحقيقي وسعر الصرف الحقيقي الفعال على مخاطر الائتمان. تم جمع البيانات من نشرات الإفصاح الخاصة بالمصارف ومن مصادر أخرى مثل مصرف سوريا المركزي وتقارير اللجنة الاقتصادية والاجتماعية لغرب آسيا. أوصت الدراسة بضرورة خلق بيئة اقتصادية مستقرة واستخدام أدوات السياسة النقدية للتحكم في العرض النقدي وتحسين قدرة الشركات على سداد التزاماتها.
Questions related to the research
  1. ما هو تأثير معدل النمو في الناتج المحلي الإجمالي الحقيقي على مخاطر الائتمان في المصارف السورية؟

    أظهرت الدراسة أن هناك تأثيرًا سلبيًا ومعنويًا لمعدل النمو في الناتج المحلي الإجمالي الحقيقي على مخاطر الائتمان، مما يعني أن زيادة معدل النمو تؤدي إلى انخفاض مخاطر الائتمان.

  2. كيف يؤثر معدل التضخم على مخاطر الائتمان في المصارف السورية؟

    أظهرت النتائج أن هناك تأثيرًا سلبيًا ومعنويًا لمعدل التضخم على مخاطر الائتمان، مما يعني أن زيادة معدل التضخم تؤدي إلى انخفاض مخاطر الائتمان.

  3. ما هو تأثير سعر الفائدة الحقيقي على مخاطر الائتمان في المصارف السورية؟

    أظهرت الدراسة أن هناك تأثيرًا إيجابيًا ومعنويًا لسعر الفائدة الحقيقي على مخاطر الائتمان، مما يعني أن زيادة سعر الفائدة الحقيقي تؤدي إلى زيادة مخاطر الائتمان.

  4. ما هي التوصيات التي قدمتها الدراسة لتحسين قدرة الشركات على سداد التزاماتها؟

    أوصت الدراسة بضرورة خلق بيئة اقتصادية مستقرة واستخدام أدوات السياسة النقدية للتحكم في العرض النقدي وتحسين قدرة الشركات على سداد التزاماتها.


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