بررسی اثرات آستانه‌ای و غیرخطی تفکیک درآمدهای غیربهره‌ای بر عملکرد مالی بانک‌های تجاری ایالات متحده: رویکرد رگرسیونی انتقال ملایم (STR)

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد مالی، گروه اقتصاد، دانشگاه ارومیه، ارومیه، ایران

2 دانشیار، گروه اقتصاد، دانشگاه ارومیه، ارومیه، ایران

3 دانشیار اقتصاد، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران

4 دانشیار امور مالی و بیمه، دانشگاه ارومیه، ارومیه، ایران

چکیده

مطالعه حاضر به بررسی اثرات آستانه‌ای و غیرخطی تفکیک درآمدهای غیربهره‌ای بر عملکرد مالی بانک‌های تجاری ایالات متحده با استفاده از داده‌های فصلی طی دوره‌ی زمانی 2001:1-2024:3 پرداخته است. برای این منظور از مدل رگرسیونی انتقال ملایم (STR) استفاده شده است. نتایج نشان می‌دهد که یک رابطه غیرخطی بین متغیرهای مورد مطالعه وجود دارد و مقدار آستانه‌ای متغیر انتقال (یعنی سرمایه بانک) برابر 312/10 و پارامتر شیب برابر 472/59 برآورد گردید. همچنین نتایج بیانگر این است که لحاظ نمودن تنها یک تابع انتقال با یک حد آستانه‌ای برای برآورد غیرخطی مدل کفایت می‌کند. علاوه براین نتایج نشان می‌دهد درآمد کارمزد و کمیسیون در رژیم اول (قسمت خطی و سطح پایین سرمایه بانک)، تاثیر مثبت و در رژیم دوم (قسمت غیرخطی و سطح بالای سرمایه بانک) تاثیر منفی بر عملکرد مالی بانک‌های تجاری دارد. تأثیر درآمد غیربهره‌ای ارزی، نسبت وام‌های غیرجاری و اندازه بانکی بر عملکرد مالی بانک‌های تجاری در رژیم اول منفی و در رژیم دوم مثبت است. سرمایه بانکی و نسبت بدهی هم در هر دو رژیم تاثیر مثبت بر عملکرد مالی بانک‌های تجاری دارد.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Investigating the Threshold and Nonlinear Effects of Non-Interest Income Separation on the Financial Performance of US Commercial Banks: A Smooth Transition Regression (STR) Approach

نویسندگان [English]

  • Salim Fadhil Mohammad 1
  • Ali Rezazadeh 2
  • Samad Hekmati 3
  • Ramin Bashir Khodaparasti 4
1 PhD Student in Financial Economics, Department of Economics, Urmia University, Urmia, Iran
2 Associate Professor, Department of Economics, Urmia University, Urmia, Iran
3 Associate Professor, Department of Economics, Urmia University, Urmia, Iran
4 Associate Professor of Finance and Insurance, Urmia University, Urmia, Iran
چکیده [English]

Various instruments have been designed and issued to compensate for the government budget deficit and to finance both public and private sector companies. Addressing the budget deficit issue and adopting appropriate solutions for its financing, along with creating debt based on sound economic principles, is of great importance. Accordingly, this study compares the effects of two financing methods, issuance of general Murabaha bonds and borrowing from the banking system, on economic growth and inflation. The research model for analyzing growth derives from the Solow-Swan growth theory. Given the interrelationships between variables and the limited issuance period of Murabaha bonds, the Bayesian Vector Autoregression (BVAR) method has been employed. The data used are monthly and cover the period from 2019 to 2022. The results show that the issuance of Murabaha bonds initially leads to a decrease in the economic growth rate, but it increases in the subsequent periods. In contrast, increasing government debt to the banking system results in declining economic growth. The effect of Murabaha bonds on the inflation rate is initially positive but decreases after a few periods. However, the inflationary impact of Murabaha bond issuance is greater than that of government debt to the banking system.

کلیدواژه‌ها [English]

  • Financial performance
  • non-interest income from fees and commissions
  • foreign exchange non-interest income
  • smooth transition regression (STR)

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نظریه های کاربردی اقتصاد
دوره 12، شماره 44
خرداد 1404
صفحه 71-96

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