Investigating The Asymmetric Effects of Macroeconomic Variables on Bank Default Rates During High and Low Default Periods

In recent decades, the high rate of inflation has been one of the concerns of Iran's economy, and one of the main causes of inflation has been the imbalance of banks. The level of non-current claims of banks has been increasing due to the economic recession, credit facilities and the lack of optimal allocation of facilities, and therefore it has unbalanced the balance sheets of banks, hence the examination of economic factors affecting the bank default rate is of special importance. has In this research, the economic factors affecting bank defaults have been identified and their asymmetric effects on the bank default rate have been analyzed using a non-linear approach using the Markov switching method during the quarterly period of 2019 to 2019. The results of this research indicate the asymmetric effect of macroeconomic variables on the bank default rate during high and low default periods. The economic growth rate has a negative effect on the default rate in the medium and high default regimes, but it has a positive effect on the default rate in the low default period, the increase in the inflation rate in the low and high default periods leads to a decrease in non-current claims, but the inflation rate in the medium default period It does not have a significant effect on the default rate, the exchange rate has a significant effect on the default rate only in the medium and high default periods, and it does not have a significant effect in the low default period, the unemployment rate has a positive effect on the default rate in the low default period, but it has an effect in the high default period. has a negative effect, the facility growth rate has a negative effect on the default rate in the low default period, but has a positive effect in the medium and high default period, the world oil price has a negative and significant effect on the default rate only in the low default period, but in the medium and high default period, The global price of oil has no significant effect on the default rate, the interest rate of bank facilities has had a negative and significant effect on the default rate only during the period of high default.