Evaluating the effect of liquidity growth rate volatility and real interest rate uncertainty on the performance of the banking industry

The current study has investigated the effect of liquidity growth rate and real interest rate deviation on the performance of banking industry and credit institutions in Tehran Stock Exchange during the period of January 2011 to March 2021. In this way, autoregressive vector model, Granger causality test and instantaneous reaction functions have been used to explain the mechanism of the effect of liquidity growth rate and real interest rate deviation on the return of the banking industry index and credit institutions. According to the investigations, there is an inverse relationship between the uncertainty of the real interest rate and the return of the banking industry index in the Tehran Stock Exchange market; But the volatility of liquidity growth does not significantly affect the performance of the banking industry index. Keywords: Liquidity Growth Rate, Uncertainty of Real Interest, Returns of The Banking Industry Index and Credit Institutions, Autoregressive Vector Model, Granger Causality Test