Predicting the financial crisis based on the non-performing loan index using the Box-Jenkins methodology: A study of a sample of banks listed on the Iraq Stock Exchange
DOI:
https://doi.org/10.36322/jksc.180(A).23797Keywords:
financial crisis, Box-Jenkins methodology, banks research sampleAbstract
The research aims to predict the financial crisis using the Box-Jenkins methodology, representing the research community in the banking sector in the Iraqi Stock Exchange, while the research sample consisted of (4) banks listed on the Iraqi Stock Exchange for a period of 12 years, from (1/1/2011). ) until (12/31/2022), The statistical test represented by the Gretl program was used. The researcher reached a set of conclusions, the most important of which is the possibility of predicting the financial crisis using the Box-Jenkins methodology, and that the best model of the Box-Jenkins models is the (0,0,1) ARIMA model for all banks in the study sample, which is It was used to draw conclusions and predict the financial crisis based on it.
The research concluded with a set of recommendations, the most important of which is the commitment of Iraqi banks listed on the Iraqi Stock Exchange to the regulations and laws issued by the Central Bank in order to avoid banking crises and reduce the occurrence of banking risks in the future.
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المراجع:
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