اقلام خارج ترازنامه و عملکرد بانک‌های تجاری

نوع مقاله: مقاله پژوهشی

نویسندگان

1 استادیار گروه مالی دانشکده مدیریت و حسابداری دانشگاه شهید بهشتی

2 کارشناس ارشد حسابداری دانشگاه آزاد اسلامی واحد الکترونیکی

3 کارشناس ارشد مالی دانشگاه تهران

چکیده

هدف پژوهش حاضر، بررسی اثر اقلام خارج ترازنامه بر ریسک، اهرم مالی، نقدینگی و سودآوری بانک­ها است. برای این منظور نمونه‌ای متشکل از 10 بانک پذیرفته‌شده در بورس اوراق بهادار تهران طی سال‌های 1388 تا 1394 موردبررسی قرار گرفت. جهت آزمون رابطه­ی بین اقلام خارج ترازنامه با ریسک، اهرم مالی، نقدینگی و سودآوری بانک­های تجاری از رگرسیون داده‌های ترکیبی استفاده گردید. نتایج حاصله نشان می‌دهد که اقلام خارج ترازنامه بیش از آن‌که بر ریسک و نقدینگی اثر­گذار باشد بر سودآوری و اهرم مالی مؤثر است. افزایش اعتبارات اسنادی برخلاف ضمانت­نامه­ها، بدون تأثیر بر سایر جنبه­های عملکرد بانک­ها سودآوری بانک­ را کاهش می­دهد. این در حالی است که وجوه اداره شده علیرغم افزایش سودآوری، با افزایش اهرم مالی می­تواند ریسک اعتباری بانک­ را افزایش دهد و این مؤسسه‌ها را در ایفای تعهدات خود دچار مشکل کند.

کلیدواژه‌ها


عنوان مقاله [English]

Off-Balance Sheet Activities and Commercial Banks' Performance

نویسندگان [English]

  • Maryam Davallou 1
  • Hasan Ghalari 2
  • Arian Safari 3
1 Shahid Beheshti University
2 Islamic Azad University
3 Tehran University
چکیده [English]

The purpose of this paper is to analyze the effect of off-balance sheet activities on banks' risk, financial leverage, liquidity and profitability. Thus, a sample of 10 listed banks on Tehran stock exchange from 1388 to 1394 is considered. A panel data regression is used to test the relationship between off-balance sheet activities and commercial banks' risk, liquidity, financial leverage and profitability. Results show that the influence of off-balance sheet activities on banks' leverage and profitability is more than the influence of off-balance sheet activities on banks' risk and liquidity. Increasing amount of letters of credit in contrast to guarantees, decrease profitability without affecting other aspects of banks' performance. However managed funds in one hand increase profitability, and in the other hand increase financial leverage and this can increase banks' credit risk and put banks thorough some troubles meeting their obligations.
Key words: Off-balance Sheet Activities, Risk, Financial Leverage, Liquidity
JEL Classification: G20,G21.

کلیدواژه‌ها [English]

  • Off-Balance Sheet Activities
  • risk
  • Financial Leverage
  • Liquidity
-      Aktan, B. Chan, S. G. Žiković, S. Evrim-Mandaci, P. (2013). "Off-balance sheet activities impact on commercial banks performance: an emerging market perspective". Economic Research-Ekonomska Istraživanja, 26(3), pp 117-132.

-      Alimadad, Mostafa. (1384). "Criticism of accounting and financial reporting in Iranian banks". 14th conference of Islamic Banking, Tehran, Iran Banking Institute publication, in Persian.

-      Chalaki, Pari. Heydari, Mehdi and Aziz Dadashzade. (1394). "the investigation of factors affecting the liquidity of banks and financial credit institutions in Iran". Journal of Financial Management Strategy, Vol. 4, 1, pp 59-76, in Persian.

-      Calmès, C. and Théoret, R. (2010). "The impact of off-balance-sheet activities on banks returns: An application of the ARCH-M to Canadian data". Journal of Banking and Finance, 34(7), pp 1719-1728.

-      DeYoung, R. and Roland, K. P. (2001). "Product mix and earnings volatility at commercial banks: Evidence from a degree of total leverage model". Journal of Financial Intermediation, 10(1), pp 54-84.

-      Duran, M. A. and Lozano-Vivas, A. (2013). "Off-balance-sheet activity under adverse selection: The European experience". Journal of Economic Behavior & Organization, 85, pp 176-190.

-      Hanife, Mahin (1388). "the reasons of tendencies toward off-balance sheet activities in Iranians banks and its impact on their profitability structure". Thesis, Iran Banking Institute, in Persian.

-      Haq, M. and Heaney, R. (2012). "Factors determining European bank risk", Journal of International Financial Markets, Institutions and Money, 22(4), pp 696-718.

-      Hassan, M. K. (1993). "The off-balance sheet banking risk of large US commercial banks". The Quarterly Review of Economics and Finance, 33(1), pp 51-69.

-      Jamshidi, Saeed. (1383). Islamic Banking (mobilization and allocation of resources), Tehran, Monetary and Banking Research Institute publication, in Persian.

-      Karim, M. Abd Z. and Chan, S. G. (2007). "Off-balance sheet activities and performance of commercial banks in Malaysia". ICFAI Journal of Financial Economics, Vol. 5, 4, pp 67-80.

-      Karimi, Mohammad. (1384). "the investigation of off- balance sheet activities changes in international banking". Articles collection of 16th conference of Islamic Banking, Tehran, Iran Banking Institute publication, pp 375-420, in Persian.

-      Lynge, M. J. and Lee, C. F. (1987). "Total risk, systematic risk, and off-balance sheet risk for large commercial banks". BEBR faculty working paper; No. 1398, pp 1-19.

-      Lepetit, L. Nys, E. Rous, P. and Tarazi, A. (2008). "Bank income structure and risk: An empirical analysis of European banks". Journal of Banking & Finance, 32(8), pp 1452-1467.

-      Modarres, Ahmad and Abbas tale fard. (1389). "the effect of off-balance sheet activities on bank's risk and return". Journal of Auditing Knowledge, Vol. 10, 39, pp 39-57, in Persian.

-      Shirazi, Fereydoun. (1383). The case study of letters of credit. Tehran, Iran Banking Institute publication, in Persian.

-      Ziadeh-Mikati, N. "Bank Risk Exposure, Bank Failure and Off Balance Sheet Activities: an Empirical Analysis for US Commercial Banks". SSRN Working Paper, pp 1-61.