بررسی تاثیر متغیرهای کلان اقتصادی بر بازده سرمایۀ تعدیل‌‌شده با ریسک (raroc) در بانک‌‌های پذیرفته‌‌شده در بورس‌های اوراق بهادار تهران و فرابورس ایران

بازده سرمایۀ تعدیل‌شده به ریسک (raroc) که یک سنجه عملکرد نوین شناخته می‌‌شود، در مقایسه با سایر سنجه‌های عملکرد سنتی، بررسی و براساس مطالعات به‌‌روز برای بانک‌‌های حاضر در بازار سرمایۀ ایران در بازۀ زمانی سال‌‌های 1391 تا 1398 محاسبه شد. هدف دیگر این پژوهش، بررسی اثر متغیرهای کلان اقتصادی بر این نسبت عملکردی است. بدین منظور با استفاده از مطالعات اخیر و با محاسبۀ سود (زیان) خالص، زیان مورد انتظار و سرمایۀ نظارتی بانک‌‌ها، این شاخص محاسبه شد. در گام بعد، اثر متغیرهای کلان اقتصادی شامل نرخ تورم، نسبت نرخ رشد ارز به شاخص قیمت مصرف‌‌کننده (cpi) و رشد نقدینگی با داده‌‌های تابلویی بر بازده سرمایۀ تعدیل‌‌شده به ریسک (raroc)، براساس مدل رگرسیون خطی چندمتغیره بررسی شد. براساس یافته‌‌ها و در میان متغیرهای کلان اقتصادی، نسبت نرخ رشد ارز به شاخص قیمت مصرف‌‌کننده، نرخ تورم و رشد نقدینگی بر بازده سرمایۀ تعدیل‌‌شده به ریسک (raroc) تاثیرگذار ارزیابی شد. به غیر از نرخ تورم که تاثیر معکوس بر بازده سرمایۀ تعدیل‌‌شده به ریسک دارد، بقیۀ متغیرها تاثیر مستقیم بر این شاخص دارند.

Investigating the impact of macroeconomic variables on Risk-Adjusted Return on Capital (RAROC) of Registered Banks on Tehran Stock Exchange and Iran Fara Bourse

AbstractThe RiskAdjusted Return on Capital (RAROC), as a modern performance measure, is introduced in comparison to traditional performance measures and has been calculated for all the banks listed on the Tehran Stock Exchange and Iran Fara Bourse, based on a new method extracted from earlier studies. The research period is 8 years, from 2012 to 2019. Assessing the effect of macroeconomic variables on this performance measure is another aim of this research. In doing so, RAROC has been estimated by using the Net Income, Expected Loss, and Supervisory Equity of banks. At the next stage, some macroeconomic variables have been selected to run the model. The impact of these variables on RAROC is investigated by a Multiple Linear Regression Model and Panel data analysis. Based on the results, the Inflation rate, the growth of currency exchange rate to Consumer Price Index (CPI) ratio and Liquidity Growth affect RAROC. Except for the inflation rate which has a reversed effect on the dependent variable, others have a straight impact on RAROC.Keywords: RiskAdjusted Return on Capital (RAROC), Loss Given Default (LGD), Recovery Rate, Macroeconomic Variables, Banks. IntroductionThere are different kinds of common performance measures in banks. However, the impact of different types of risks is not considered in most of them, such as return on asset (ROA), return on capital (ROC), and return on equity (ROE). Consequently, these measures are not proper for performance evaluation in banks regarding the complex structure of banks and their huge impact on the whole economy. In this research, the RiskAdjusted Return on Capital (RAROC) which is known as a contemporary performance measure, especially in banks, is compared to other performance measures, like return on assets (ROA), return on capital (ROC), return on equity (ROE), Return on RiskAdjusted Capital (RORAC) and RiskAdjusted Return on RiskAdjusted Capital (RARORAC). Method and DataThe RiskAdjusted Return on Capital (RAROC) is calculated for all the banks listed on Tehran Stock Exchange and Iran Fara Bourse, using different methods based on which have been extracted from earlier studies. Therefore, the appropriate model is chosen among them regarding the information restriction. In doing so, the net income of these banks is extracted from their Income Statement by subtracting the whole expenses from the whole revenues of banks. The expected loss is estimated by the probability of default, loss given default, and exposure at default based on the model of research. For probability of default, the ratio of nonperforming loans (NPL) is used. For calculating the exposure at default, the amount of net loans is used, and finally, for calculating loss given default, the recovery rate is utilized based on new studies in this area. After that, although there are two different ways of calculating the capital (economical capital and supervisory capital), the Supervisory Capital of banks is chosen, based on preceding studies, and that is extracted from banks’ financial statements based on the instruction issued by Central Bank of Iran. Considering this information together, the RAROC is calculated for all the banks listed on Tehran Stock Exchange and Iran Fara Bourse. Although the researchers had planned to run the model for a longer period, the research period has been limited to 8 years, from 2012 to 2019 because of a lack of data in calculating some important indicators. At the next stage, some macroeconomic variables are selected to run the model which are inflation rate, the ratio of the currency exchange rate to consumer price index (CPI), and liquidity growth. The impact of these variables on RiskAdjusted Return on Capital (RAROC) is investigated by a multiple linear regression model. FindingsBased on the findings, among macroeconomic variables, inflation rate, the ratio of the currency exchange rate to consumer price index (CPI), and liquidity growth affect RAROC. Except for the inflation rate which has a reversed effect on the dependent variable, others have straight impacts on RiskAdjusted Return on Capital (RAROC). Conclusion and discussionIn conclusion, the more the inflation rate will be, the less RiskAdjusted Return on Capital (RAROC) listed banks on Tehran Stock Exchange will possess. On the other hand, the higher ratio of the currency exchange rate to consumer price index (CPI) and liquidity growth is, the higher the RiskAdjusted Return on Capital (RAROC) is. To sum up, it could be recognized that some macroeconomic variables could have an impact on this new performance measure in banks. It means that, although RiskAdjusted Return on Capital (RAROC) includes internal indicators in banks’ financial statements, it could be affected by external macroeconomic variables as well.