جستجوی مقالات مرتبط با کلیدواژه "الگوی تبدیل موجک" در نشریات گروه "اقتصاد"

In this research, the role of nominal exchange rate volatility and business cycles on the banking nonperforming loans was investigated by using Markov-Switching model during 2005-2018 using seasonal data. Business cycles were extracted from GDP by using the Hodrick Prescott filter. Also, the wavelet transform model was used to extract nominal exchange rate fluctuations. The results showed that the exchange rate volatility varies in different periods of time and in longer period of time, the foreign exchange rate volatility has a greater negative and significant effect on nonperforming loans of banking network. It shows a dependence of government on banking network. Also, the impact of business cycles depends on the nonperforming loans regime. The sustainability of low regime is bigger than high regime. The results also show that the impact of value added of different sectors of economy varies in different regimes of nonperforming loans. These results indicate that banking system should take into account the value added of different sectors of economy and nonperforming loans regimes which could decrease nonperforming loans.

In this research, the role of nominal exchange rate, current government expenditure and oil price volatilities on the government debt to the banking system was investigated by using Markov-Switching model during 1388-1397 monthly. To Extract the volatilities of Variables, we use wavelet transform. the evidence confirm that decomposition levels of variables is 3. The results show that the effect of exchange rate volatility in different regimes and different time periods is different, so that in the short run the exchange rate instability in the high regime of government debt to the banking system has a different effect rather than other time periods.In fact, according to the results, in short run exchange rate volatility in high regime of government debt has positive and signifcant effect on government debt to the banking system. Also, oil price instability and current government expenditure have a positive and significant impact on debt in all periods. These results suggest that the banking system in order to provide facilities should consider the instability of various asset markets and in addition government debt regimes and time horizons. As long as the economy's dependence on oil revenues is not decreased, there will be an incentive to use exchange rate volatility in the short run for decreasing the amount of government debt to banking system.