The Impact of Nominal Foreign Exchange Rate Fluctuations and Business Cycles on Nonperforming Loans with an Emphasis on Regime Changes and Time-Scale
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...
Main Authors: | , , |
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Format: | Article |
Language: | fas |
Published: |
Allameh Tabataba'i University Press
2020-12-01
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Series: | فصلنامه پژوهشهای اقتصادی ایران |
Subjects: | |
Online Access: | https://ijer.atu.ac.ir/article_11941_a5c95082aa9a25ed751bbdc499ef30f6.pdf |