تأثیر آستانه‌ای سرمایه بانک بر خلق نقدینگی در کشورهای در حال توسعه و توسعه‌یافته منتخب

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد مالی، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران

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

3 دانشیار امور مالی و بیمه، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران

چکیده

هدف این پژوهش بررسی تأثیر آستانه‌ای سرمایه بانک بر خلق نقدینگی در ۵۹ کشور در حال توسعه و ۳۷ کشور توسعه‌یافته طی دوره‌ ۲۰۰۴–۲۰۲۳ است. برای این منظور از مدل رگرسیونی انتقال ملایم پانلی (PSTR) که رویکردی مناسب برای تحلیل داده‌های پانلی ناهمگن است، استفاده شده است. نتایج نشان می‌دهد که مقدار آستانه‌ای متغیر انتقال (یعنی لگاریتم سرمایه بانکی) در مدل کشورهای توسعه‌یافته برابر 0034/3 و پارامتر شیب 4897/7 برآورد شده است. همچنین در مدل کشورهای در حال توسعه، مقدار آستانه‌ای 996/2 و پارامتر شیب 5003/16 به دست آمده است.
نتایج در کشورهای توسعه‌یافته بیان کننده این است که در رژیم اول رشد اقتصادی و ثبات مالی دارای تأثیر منفی بر خلق نقدینگی بوده، که این تأثیر با عبور از حد آستانه‌ای و در رژیم دوم کاهش یافته اما همچنان منفی است. همچنبن نتابج بیانگر این است که شمول مالی در رژیم اول تأثیر مثبت بر خلق نقدینگی دارد، اما در رژیم دوم به تدریج میزان اثرگذاری آن کاهش یافته و منفی شده  است. شاخص توسعه مالی هم در هر دو رژیم اثر مثبت و معنی‌دار بر خلق نقدینگی دارد.
علاوه‌براین، نتایج کشورهای در حال توسعه نشان می‌دهد که رشد اقتصادی و ثبات مالی در هر دو رژیم دارای تأثیر منفی بر خلق نقدینگی هستند. همچنین نتابج بیانگر این است که شمول مالی در رژیم اول تأثیر مثبت بر خلق نقدینگی دارد و در رژیم دوم به تدریج میزان اثرگذاری آن کاهش یافته، اما همچنان مثبت است. ضرایب شاخص توسعه مالی هم در هر دو رژیم اثر مثبت و معنی‌دار بر خلق نقدینگی دارد.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Threshold Effect of Bank Capital on Liquidity Creation in Selected Developing and Developed Countries

نویسندگان [English]

  • Mohammad Salim Madhi 1
  • Ali Rezazadeh 2
  • Shahab Jahangiri 2
  • Ramin Bashir Khodaparasti 3
1 Ph.D. Student in Financial Economics, Faculty of Economics and Management, Urmia University, Urmia, Iran
2 Associate Professor of Economics, Faculty of Economics and Management, Urmia University, Urmia, Iran
3 Associate Professor of Financial and Insurance, Faculty of Economics and Management, Urmia University, Urmia, Iran
چکیده [English]

The objective of this study is to examine the threshold effect of bank capital on liquidity creation in 59 developing countries and 37 developed countries over the period 2004–2023. To this end, the Panel Smooth Transition Regression (PSTR) model, which is an appropriate approach for analyzing heterogeneous panel data, is employed. The results indicate that the threshold value of the transition variable (i.e., the logarithm of bank capital) is estimated at 3.0034 in the model for developed countries, with a slope parameter of 7.4897. In the model for developing countries, the threshold value is estimated at 2.996, while the slope parameter is 16.5003.
The findings for developed countries reveal that, in the first regime, economic growth and financial stability negatively affect liquidity creation. After crossing the threshold level and entering the second regime, the magnitude of this negative effect decreases, although it remains negative. The results also show that financial inclusion has a positive impact on liquidity creation in the first regime; however, in the second regime, its effect gradually diminishes and becomes negative. In addition, the financial development index has a positive and statistically significant effect on liquidity creation in both regimes.
Furthermore, results for developing countries indicate that economic growth and financial stability negatively affect liquidity creation in both regimes. The findings also demonstrate that financial inclusion positively affects liquidity creation in the first regime, and although its impact gradually declines in the second regime, it remains positive. Moreover, the coefficients of the financial development index are positive and statistically significant in both regimes, indicating a positive contribution to liquidity creation.

کلیدواژه‌ها [English]

  • Regulatory bank capital
  • Liquidity creation
  • Selected developed and developing countries
  • PSTR

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نظریه های کاربردی اقتصاد
دوره 13، شماره 2 - شماره پیاپی 49
شماره تابستان سال 1405
خرداد 1405
صفحه 49-86

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