The study of correlation between exchange rate volatility, stock price and lending behavior of banking system (Case Study Maskan Bank)

摘要

Since many economic sections especially housing section requires getting loan from banks, changes in bank lending behavior due to changes in key economic variables may encounter their enterprises with serious hazards.Therefore, in this study lending behavior in Maskan Bank during the period 1991-2011 was modeled, using(VAR) model. The results of estimated long-term VECM model, showed that among key economic variables, changes in total money supply, inflation rate, exchange rate and stock price volatility in long term, has an inverse effect, and changes in exchange price has a direct effect on in Maskan Bank lending behavior . Also the results showed that in estimated short-term VECM(Vector Error Correction Model) model, Changes in total money supply, in short-term, has a direct effect, and inflation rate, exchange rate and fluctuations in stock price, has no significant effect on in Maskan Bank lending behavior . Thus, according to the results of this study, based on lending behavior effect in Maskan Bank from Volatility of key economic variables, it is suggested that experts and authorities in housing action, consider the findings of this study to meet appropriate decisions