The Effect of Macroeconomic Uncertainties on the Health Ranking of Banks

The CAMELS method is devised as a supervision tool for banking performance evaluation based on different parameters. In some banking systems, the regulators are using the CAMEL rating system in off-site monitoring systems to assess the financial soundness of banks. Because the disclosure of the banks' ratings may create systemic risk, the ranks of banks in this specific case—Iran—are not published. In addition to being influenced by banking factors, bank rankings can also be affected by macroeconomic conditions, so that in different business periods and affected by uncertainties, bank rankings change. In this paper, using the financial statements of the country's banks from the period of ۱۹۹۹ to ۲۰۱۸ and the Kaplan Mir and Cox models, while examining the uncertainty effect of Iran's macroeconomic variables in different business periods on rank and its decline, the time of the decline of banks is also measured. To this end, the commercial periods have been extracted using the Hodrick–Prescott filter, and the use of the GARCH model has examined exchange rate uncertainties, inflation, and artificial growth. The results indicate that exchange rate and liquidity uncertainties do not have a significant effect on bank rating decline, but inflation rate uncertainty has a significant and negative effect, and interest rate and GDP growth rate have a positive and significant effect on bank rating decline. A survey of banks' viability across different business cycles shows that in times of economic boom, private banks are more stable than other banks, but in times of recession, private banks have more survival risk than other banks..

کلیدواژه ها:

CAMELS Method ، Kaplan Meyer ، Cox Model ، Uncertainty ، Business Cycle