تاثیر ریسک‌های کژگزینی و کژمنشی بر مطالبات غیر جاری سیستم بانکی ایران

مطالبات غیر جاری بانک‌ها تحت تاثیر عوامل مختلفی هستند که ازجمله آن‌ها می‌توان به ریسک‌های کژگزینی و کژمنشی اشاره نمود. از یک‌سو، غالباً مشتریان پر ریسک حاضر به دریافت وام با نرخ‌های بهره بالاتر هستند و بانک‌ها به دلیل عدم وجود اطلاعات کافی در خصوص میزان ریسک‌پذیری مشتریان، ممکن است به‌منظور کسب درآمد بهره‌ای بالاتر، با اعطای وام به مشتریان پر ریسک، دچار ریسک کژگزینی گردند که این امر افزایش مطالبات غیر جاری را در پی خواهد داشت. از سوی دیگر، مدیران بانکی با حصول اطمینان از امکان انتقال ریسک فعالیت خود به سپرده‌گذاران یا سهامداران بانک، معمولاً دچار ریسک کژمنشی شده و اقدام به اعطای وام، بدون دقت لازم در انتخاب مشتریان می‌کنند و بدین ترتیب، احتمال اعطای وام به مشتریان پر ریسک افزایش یافته و در پی آن، مطالبات غیر جاری افزایش می‌یابد. مطالعه حاضر به بررسی تاثیر ریسک‌های کژگزینی و کژمنشی بر مطالبات غیر جاری سیستم بانکی ایران طی دوره زمانی 1394-1387 می‌پردازد. به‌منظور نمایش ریسک‌کژگزینی از شاخص نسبت درآمد بهره‌ای به کل وام‌های اعطا شده و برای نشان دادن ریسک کژمنشی بین مدیران بانک با سپرده‌گذاران و سهامداران به ترتیب از شاخص‌های نسبت نقدینگی و کفایت سرمایه بانک‌ها استفاده می‌شود. تخمین مدل با استفاده از روش گشتاورهای تعمیم یافته سیستمی نشان می‌‌دهد که افزایش درآمد بهره‌ای و کاهش نسبت کفایت سرمایه، تاثیر مثبت بر مطالبات غیر جاری بانک‌های موردمطالعه دارد. لذا می‌توان نتیجه گرفت که ریسک کژگزینی و ریسک کژمنشی بین مدیران بانک و سهامداران بر مطالبات غیر جاری سیستم بانکی ایران موثر می‌باشند، این در حالی است که شواهدی مبنی بر تاثیر ریسک کژمنشی بین مدیران بانک و سپرده‌گذاران بر مطالبات غیر جاری مشاهده نمی‌شود.

The Impact of Adverse Selection and Moral Hazard on Non-performing Loans of Iran’s Banking System

Extended Abstract:1 INTRODUCTIONPlaying the positive role of banks in the economic development of the country requires the health of the banking system. one of the most important criteria for measuring the health of the banking system is the ratio of nonperforming loans to total loans. The higher value of this ratio can disrupt the role of banks as intermediaries. Non Performing Loans (NPLs) are affected by various factors, including adverse selection and moral hazard.Highrisk customers are often willing to receive loans at higher interest rates, and banks due to lack of information about the level of risktaking of those customers and in order to earn higher interest income, exposed at adverse selection risk by lending to highrisk customers. As a result, nonperforming loans will increase.Moral hazard occurs when bank managers ensure about the possibility of risk transfer of their activity to depositors or shareholders of the bank, so they usually take more risk and lend without proper checking credit of customers. In the other words bank managers do not the required care of choosing customers because they do not endure the consequences of additional risk. Thus, the likelihood of lending to highrisk customers increases, and consequently nonperforming loans increase.2 THEORETICAL FRAMEWORKIn this study we use the ratio of interest income to total loans to show the risk of adverse selection. Because as interest rates rise, the bank’s interest income increases, but since high interest rate loans are usually chosen by highrisk individuals, the risk of adverse selection increases, and since highrisk individuals are more likely to not to be able to repay, so nonperforming loans will increase.In order to show the moral hazard risk between bank managers with depositors and shareholders of the bank, we use the indicators of liquidity ratio and capital adequacy of the bank, respectively. Regarding the reason for this, high liquidity ratio reduces liquidity risk and increases the ability of bank managers to provide more loans, since depositors do not have the necessary tools to monitor the behavior of managers and managers can transfer the risk of lending to them, so this leads to moral hazard risk.3 METHODOLOGYThe model of the present study, which is taken from the study of Shahidul Islam Nishiyama (2019), is presented as follows:                 Where i and t indices represent the bank and the time period (year), respectively, and the model variables are introduced as follows:NPL:  Ratio of nonperforming loans to total loans. IL: Ratio of interest income to total loans (adverse selection risk index)LR: Ratio of cash assets to total deposits (moral hazard risk index between managers and depositors) ER: Ratio of equity to total assets (moral hazard risk index between managers and shareholders)X: A vector of other control variables include banking level variables such as return on assets ratio and cost to income ratio, variables within banks such as the concentration ratio index of the three largest banks and macroeconomic variables such as inflation and economic growth.D: It is a dummy variable that if the bank has ordered facilities, its value is one and otherwise it is zero.The above model is estimated using data of 19 public and private banks during the period 20082015, by system generalized method of moments  (system GMM) offered by Arellano Bover (1995) and Blundell Bond (1998).Based on the ArlanoBond test, the null hypothesis that there is no secondorder autocorrelation of disturbances cannot be rejected. Also, based on Hansen test and Hansen difference test, the null hypothesis that there is no correlation between instrumental variables and residual variables is not rejected. Therefore, instrumental variables used in the models are valid. Then, based on the result of the Wald test, the null hypothesis that all coefficients are zero is rejected, and as a result, the validity of the estimated coefficients is confirmed. Based on the above, the results of the estimated coefficients are statistically confirmed and interpretable.4 RESULTS DISCUSSIONThe results show that during the studied period, the ratio of interest income to total loans has a positive and significant effect on the ratio of nonperforming loans to total loans. The increase in the above variable, which indicates an increase in the risk of adverse selection in the Iran’s banking system, shows that when lending rates of the bank increase, borrowers with higher risk were more willing to receive loans. Given that the main source of income for banks is their interest income, it is recommended that banks choose their customers with more information to avoid wasting their capital and income. Banks can also be encouraged not to participate in higher risk projects.Also, according to the results, capital adequacy ratio has a negative and significant effect on the ratio of nonperforming loans to total loans.of the studied banks. Therefore, it can be concluded that moral hazard risk between bank managers and shareholders is effective on nonperforming loans of the Iran’s banking system. It is while that, no evidence of the effect of moral hazard between bank managers and depositors on NPLs is observed. Hence it is recommended that the ratio of capital adequacy be increased by more investment of banks shareholders.