The impact of monetary and currency policies on the default risk of commercial banks with a sanctions approach

Examining the risk-taking of banks as one of the pillars of the economy of any country is very important in facing monetary policy changes. In this paper, the impact of monetary and exchange policies on the default risk of banks has been investigated using quantile and state space methods, and in this regard, a sample consisting of 15 Iranian banks from 2006 to 2021 has been studied. The results indicate that monetary and exchange policies have a positive and significant relationship with default risk. In addition, during the first sanction period between 2011 and 2014, the effect of monetary policy on the risk of default increased, but after that, with the signing of the Joint Comprehensive Plan of Action, the coefficient of monetary policy decreased. Since 2017 and with the beginning of the second period of sanctions, the impact of monetary policy has increased greatly and has reached its highest level by 2021, that is, due to the adoption of expansionary monetary policy, the default risk of banks has increased, which is approximately It is twice as much as in the years before the embargo.