رابطه ریسک اعتباری، نسبت شکاف هزینه و کارایی بانک‌ها در کشورهای منتخب اسلامی و متعارف

نویسندگان
شیما جهانگیری 1
مصطفی رجبی 2
مصطفی عمادزاده 3
مجید صامتی 3
1 دانشگاه آزاد خوراسگان
2 دانشگاه آزاد خمینی شهر
3 دانشگاه اصفهان
چکیده
در بانک‌های اسلامی و متعارف، کارایی، نسبت شکاف هزینه و ریسک اعتباری، همواره ممکن است تفاوت‌هایی داشته باشد؛ لذا هدف این مطالعه بررسی رابطه ریسک اعتباری، نسبت شکاف هزینه و کارایی بانک‌ها در کشورهای منتخب اسلامی و متعارف بوده است. برای این منظور ریسک اعتباری، کارایی و نسبت شکاف هزینه برای 50 بانک اسلامی و 50 بانک غیراسلامی (متعارف) طی سال‌های 2019-2013 مورد محاسبه قرار گرفت و بر اساس روش PVAR به تجزیه و تحلیل روابط بین متغیرها پرداخته شد. در همین راستا نتایج آزمون t نشان داد که ریسک اعتباری، ناکارایی و نسبت شکاف هزینه در بانک‌های اسلامی بیشتر از بانک‌های متعارف است. همچنین نتایج آزمون علیت گرنجر نشان داد که بین ناکارایی و ریسک اعتباری رابطه علیت دوطرفه وجود دارد. اما این رابطه کمی ضعیف است. بین ریسک اعتباری و نسبت شکاف هزینه هیچ رابطه علیتی وجود ندارد و بین ناکارایی و نسبت شکاف هزینه نیز رابطه علیت دو طرفه قوی وجود دارد. نتایج در بانک‌های اسلامی نیز تقریبا مشابه کل بانک‌ها است. با این حال در بانک‌های اسلامی ریسک اعتباری علت گرنجری ناکارایی نیست. همچنین میزان معناداری سایر روابط علیت به مراتب بیشتر است. برای بانک‌های متعارف نیز بین ناکارایی و ریسک اعتباری رابطه علیت وجود ندارد. بین ریسک اعتباری و نسبت شکاف هزینه هیچ رابطه علیتی وجود ندارد و بین ناکارایی و نسبت شکاف هزینه رابطه علیت دو طرفه وجود دارد. علاوه بر این نتایج تجزیه واریانس بیانگر آن است که شکاف هزینه و ناکارایی روابط نزدیکی با یکدیگر دارند و اثرپذیری آنها زیاد است. ریسک اعتباری نیز کمابیش بر ناکارایی طی دوره‌های آتی اثرگذار است. در بانک‌های اسلامی اثرات ناکارایی و شکاف هزینه بر ریسک اعتباری کمی بیشتر است. اما ناکارایی از شکاف هزینه اثرپذیری بالایی دارد. در بانک‌های متعارف ریسک اعتباری اثرپذیری مشابه بانک‌های اسلامی دارد، اما اثرپذیری آن تا حدودی کمتر است. همچنین ناکارایی اثرات کمتری از شکاف هزینه می‌پذیرد. شکاف هزینه نیز همچون بانک‌های اسلامی از ناکارایی اثرپذیری بالایی دارد و این اثرپذیری به‌مرور زمان کمتر می‌شود.
کلیدواژه‌ها
کارایی بانک
شکاف هزینه
ریسک اعتباری
بانک‌های اسلامی
بانک‌های متعارف

عنوان مقاله English

The relationship between credit risk, cost gap ratio and banks' efficiency in selecte Islamic and conventional countries

نویسندگان English

shima jahangiry 1
mostafa Rajabi 2
mostafa emadzadeh 3
majid sameti 3
1 Azad Islamic university
2 Azad Islamic university
3 Isfahan University
چکیده English

In Islamic and conventional banks, there may always be differences in efficiency, cost gap ratio and credit risk; Therefore, the purpose of this study was to investigate the relationship between credit risk, cost gap ratio and efficiency of banks in selected Islamic and conventional countries. For this purpose, credit risk, efficiency and cost gap ratio were calculated for 50 Islamic banks and 50 non-Islamic (conventional) banks during the years 2013-2019 and regard, the results of the t-test showed that the credit risk, inefficiency and cost gap ratio are higher in Islamic banks than conventional banks. Also, the results of the Granger causality test showed that there is a bidirectional causality relationship between inefficiency and credit risk. But this relationship is a little weak. There is no causal relationship between credit risk and cost gap ratio, and there is a strong two-way causality relationship between inefficiency and cost gap ratio. The results in Islamic banks are almost similar to all banks. However, in Islamic banks, credit risk is not the Grangerian cause of inefficiency. Also, the significance level of other causal relationships is much higher. For conventional banks, there is no causal relationship between inefficiency and credit risk. There is no causal relationship between credit risk and cost gap ratio, and there is a two-way causality relationship between inefficiency and cost gap ratio. In addition, the results of variance analysis indicate that the cost gap and inefficiency have a close relationship with each other and their effectiveness is high. Credit risk also has a more or less effect on inefficiency during future periods. In Islamic banks, the effects of inefficiency and cost gap on credit risk are slightly higher. But the inefficiency of the cost gap has a high effectiveness. In conventional banks, credit risk has the same effectiveness as Islamic banks, but its effectiveness is somewhat less. Also, inefficiency has less effects than the cost gap. The cost gap, like Islamic banks, has a high effectiveness of inefficiency, and this effectiveness decreases over time.

کلیدواژه‌ها English

Bank performance
cost gap
Credit risk
Islamic banks
conventional banks
Ahmad, W., & Prentice, D. (2023). How large are productivity differences between Islamic and Conventional Banks?. The Singapore Economic Review, 68(05), 1651-1670.
Alexakis, C., Izzeldin, M., Johnes, J., & Pappas, V. (2019). Performance and productivity in Islamic and conventional banks: Evidence from the global financial crisis. Economic Modelling, 79, 1-14.
Asmild, M., Kronborg, D., Mahbub, T., & Matthews, K. (2019). The efficiency patterns of Islamic banks during the global financial crisis: The case of Bangladesh. The Quarterly Review of Economics and Finance, 74, 67-74.
Beck, T., Demirgüç-Kunt, A., & Merrouche, O. (2013). Islamic vs. conventional banking: Business model, efficiency and stability. Journal of Banking & finance, 37(2), 433-447.
Bitar, M., Pukthuanthong, K., & Walker, T. (2020). Efficiency in Islamic vs. conventional banking: The role of capital and liquidity. Global Finance Journal, 46, 100487.
Delis, M. D., & Karavias, Y. (2015). Optimal versus realized bank credit risk and monetary policy. Journal of Financial Stability, 16, 13-30.
Habib, S. M. A., Pandit, A. C., & Mizan, A. N. K. (2010). Environmental Responsibilities of Banks: A Proposed Framework for Banking Sector of Bangladesh. Banking Research Series 2010, 151-194.
Hassan, M. K. (2005, December). The cost, profit and X-efficiency of Islamic banks. In 12th ERF Annual Conference, 19th-21st December, Egypt.‌
Huang, M. Y., & Fu, T. T. (2013). An examination of the cost efficiency of banks in Taiwan and China using the metafrontier cost function. Journal of Productivity Analysis, 40, 387-406.
Hughes, J. P., Lang, W., Mester, L. J., & Moon, C. C. (1996). Safety in numbers? Geographic diversification and bank insolvency risk (p. 31). Federal Reserve Bank of Philadelphia, Economic Research Division.‌
Ibrahim, M. H., & Rizvi, S. A. R. (2018). Bank lending, deposits and risk-taking in times of crisis: A panel analysis of Islamic and conventional banks. Emerging Markets Review, 35, 31-47.
Imbierowicz, B., & Rauch, C. (2014). The relationship between liquidity risk and credit risk in banks. Journal of Banking & Finance, 40, 242-256.
Jensen, M. C. (1986). Agency costs of free cash flow, corporate finance, and takeovers. The American economic review, 76(2), 323-329.
Kihuro, J., & Iraya, C. (2018). Credit risk management and bank performance: a critical literature review. International Journal of Trend in Scientific Research and Development, 3(2), 100.
Koutsomanoli-Filippaki, A., & Mamatzakis, E. (2009). Performance and Merton-type default risk of listed banks in the EU: a panel VAR approach. Journal of Banking & Finance, 33(11), 2050-2061.
Kumbhakar, S. C., Parmeter, C. F., & Zelenyuk, V. (2020). Stochastic frontier analysis: Foundations and advances I. Handbook of production economics, 1-40.
Lütkepohl, H. (2006). Structural vector autoregressive analysis for cointegrated variables. Allgemeines Statistisches Archiv, 90, 75-88.
Matthews, K., & Xiao, Z. (2020). Rational cost inefficiency and convergence in Chinese banks. Economic Modelling, 91, 696-704.
Mokhtar, H. S. A., Abdullah, N., & Alhabshi, S. M. (2008). Efficiency and competition of Islamic banking in Malaysia. Humanomics, 24(1), 28-48.
Njanike, K. (2009). The impact of effective credit risk management on bank survival. Annals of the University of Petroşani, Economics, 9(2), 173-184.‌
Nugroho, A. P. (2024). Comparative Analysis of the Efficiency of Islamic and Conventional Banking Systems: A literature review. Journal of Economic, Bussines and Accounting (COSTING), 7(2), 2815-2826.
Parsa, M. (2022). Efficiency and stability of Islamic vs. conventional banking models: A meta frontier analysis. Journal of Sustainable Finance & Investment, 12(3), 849-869.
Saeed, M., & Izzeldin, M. (2016). Examining the relationship between default risk and efficiency in Islamic and conventional banks. Journal of Economic Behavior & Organization, 132, 127-154.
Saeed, M., Izzeldin, M., Hassan, M. K., & Pappas, V. (2020). The inter-temporal relationship between risk, capital and efficiency: The case of Islamic and conventional banks. Pacific-Basin Finance Journal, 62, 101328.
Sakouvogui, K. (2020). A comparative approach of stochastic frontier analysis and data envelopment analysis estimators: evidence from banking system. Journal of Economic Studies, 47(7), 1787-1810.
Saleh, A. S., Moradi-Motlagh, A., & Zeitun, R. (2020). What are the drivers of inefficiency in the Gulf Cooperation Council banking industry? A comparison between conventional and Islamic banks. Pacific-Basin Finance Journal, 60, 101266.‌
Sufian, F., & Akbar Noor Mohamad Noor, M. (2009). The determinants of Islamic banks' efficiency changes: Empirical evidence from the MENA and Asian banking sectors. International Journal of Islamic and Middle Eastern Finance and Management, 2(2), 120-138.
Weill, L. (2003, June). Is there a lasting gap in bank efficiency between Eastern and Western European Countries. In 20th symposium on monetary and financial economics in Birmingham.‌
Zolkifli, N. A., Uda, M. A. H., & Binti Janor, H. (2018). Determinants of credit risk in Islamic and conventional Bank: Evidence from Malaysia. International Journal of Academic Research in Business and Social Sciences, 8(6), 1054-1068.

Abolhasani Hastiani, A, Amini Milani, M, Sharif Moghadasi, A,& Bayat, R. (2023). Evaluation of Islamic banking performance compared to conventional banking in selected countries. Quantitative Economics Research Quarterly, 20(4), 180-214. (InPersian)
Amiri, H. (2018). Evaluating the efficiency of selected banks in Iran and its relationship with intra-bank and macroeconomic variables. Applied Economic Studies of Iran (Applied Economic Studies), 7(26), 89-114. (InPersian)
Bayat, R, Abolhasani Hastiani, A, Sharif Moghdasi, A, & Amini Milani, M. (2023). comparing the efficiency of Islamic and conventional banking system with parametric and non-parametric approach in selected countries. Journal of Islamic Economics and Banking. 12 (42), 129-156. (InPersian)
Taghavifard, M. T, Habibi, R, & Ali Yari, A. (2020). Measuring the efficiency of banks using the Bayesian approach: a case study of selected banks in Iran. Iran Economic Research, 25(84), 143-166.
Tamizhi, A. (2021). The role of electronic banking development on the financial progress of banks (case study of National Bank of Iran). Development and Capital, 6(2), 185-199. (InPersian)
Hosseini, S. Sh & Rakhshan, S. A. (2019). Examining the efficiency and productivity and ranking of selected banks of the Islamic Republic of Iran using data coverage analysis method. Defense Economics Quarterly, 4(12), 75-107. (InPersian)
Khatibi, S, & Salem, A. A. (2015). Evaluating the ability of Islamic banks in competition with conventional banks from the perspective of cost efficiency comparison. Economic Research Quarterly, 15(57), 141-164. (InPersian)
Dabbagh, R, GolMoradi, H, & Bagheri, A. (2019). Investigating the financial performance of Islamic and non-Islamic banks in selected countries using the CAMEL model. Quarterly Journal of Islamic Financial and Banking Studies, 4 (Autumn), 114-85. (InPersian)
Seyed Noorani, S. M.R, Ebadi, M, Amini, A, &Taghavifard, M.T. (2019). Investigating the impact of economic sanctions on the efficiency of Iranian banks, Basij Strategic Studies, 83, 119-142.
Shahabadi, A, & Salehian Behrouz, M. (2020). Evaluating the efficiency of Iran Development Bank branches. Modern Economy and Trade, 15(1), 3-24. (InPersian)
Erfanian Daneshvar, M, Shabani Kilishmi, A, & Kohi, H. (2019). Comparing the efficiency of Islamic and conventional banks using the random frontier model (case study: selected banks in Mena region). Quarterly Journal of Financial and Islamic Banking Studies, 5, 129-167. (InPersian)
Alirezaei, M, Mohaghegh Nia, M.J,& Yousefi, S. (2018), a comparative study of Islamic and conventional banking in Bahrain and usury-free banking in Iran (profitability efficiency). Journal of Islamic Economics and Banking. 7 (23): 7-29. (InPersian)
Mandani Fard, R, & Khan Doz, S. E. (2020), The effect of banking health indicators on the profitability of Islamic and conventional banks (before and after the 2008 financial crisis), Financial Management and Accounting Economics, 6(4), 115-97. (InPersian)
Naserzadeh, S, Abolhasani Hastiani, A, Shaygani, B, & Motaghi, S. (2023). Analytical evaluation of indicators affecting credit risk in Islamic and conventional banking; (with emphasis on good governance index). Scientific Journal of Islamic Financial Research, 12 (Special Issue 1; Iran's First National Islamic Banking Conference), 174-149.(InPersian)