The Effects of Systematic Risk and Macroprudential Policies on the Cost of Financing of Banks Listed on the Tehran Stock Exchange
Keywords:
Financing cost, systematic risk, macroprudential policies, quantile panel regressionAbstract
This study aims to examine the impact of systematic risk and macroprudential policies on the cost of financing of banks listed on the Tehran Stock Exchange. This applied and analytical study employed annual panel data of nine listed banks from 2010 to 2023. The panel quantile regression model was applied, with the cost of financing as the dependent variable and macroprudential policy indicators (countercyclical capital buffer, leverage ratio, and dynamic loan loss provisioning) and systematic risk indicators (credit, liquidity, market, and operational risks) as independent variables. The results revealed that the countercyclical capital buffer (capital adequacy ratio) had a significant negative effect on financing costs, indicating that higher capital adequacy reduces financing costs. The leverage ratio showed no significant effect, while dynamic loan loss provisioning had a negative and significant impact. Regarding systematic risks, operational and liquidity risks had positive and significant effects on financing costs, while market risk had no significant impact and credit risk exhibited a negative relationship with financing costs. Enhancing capital adequacy and dynamic provisioning reduces financing costs and strengthens banking stability, whereas rising liquidity and operational risks increase financing costs. Hence, macroprudential policies serve as effective instruments to control systematic risk and lower the cost of bank financing.
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Copyright (c) 2026 Saeed Amirhoseini (Author); Karim Emami (Corresponding author)
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