مدلسازی رابطه بین ابزارهای تأمین مالی اسلامی و ریسک نقدینگی در سیستم بانکی ایران با رویکرد VAR

عذرا علی نژاد; محمدرضا ناهیدی امیرخیز; احسان  شافعی; فروزان  بکتاش

Authors

Ozra Alinejhad Department of Economic, Deh.C., Islamic Azad University, Dehaghan,iran Author https://orcid.org/0009-0009-6367-839X
Mohammadreza Nahidi Amir Khiz Department of Economic, Ta.C., Islamic Azad University, Tabriz,iran Corresponding author https://orcid.org/0000-0002-8941-4212
Ehsan Shafei Department of Economic, Ta.C., Islamic Azad University, Tabriz, iran Author https://orcid.org/0000-0001-5289-1851
Forozan Baktash Department of Economic, Deh.C., Islamic Azad University, Dehaghan, iran Author https://orcid.org/0000-0001-7983-7820

Keywords:

Islamic financial instruments, financial provisioning, banking system, ‎ Sukuk, Liquidity Risk

Abstract

This study aims to examine the impact of Islamic financing instruments on the liquidity risk of Iran’s banking system during 2001–2021. This applied quantitative research employs quarterly data from Iran’s banking system over 2001–2021. After testing stationarity using the Augmented Dickey–Fuller test, a Vector Autoregression (VAR) model was estimated. The explanatory variables include Sukuk, civil partnership, legal partnership, Mudarabah, Salam, Ja’ala, installment sales, Qard al-Hasanah, and Ijarah, while liquidity risk represents the dependent variable. Long-run relationships were tested using Kao and Johansen cointegration tests. Dynamic interactions were further analyzed through impulse response functions and variance decomposition. The cointegration tests confirm the existence of a long-run equilibrium relationship between Islamic financial instruments and liquidity risk. Impulse response results reveal significant and asymmetric reactions of liquidity risk to shocks in Islamic financing tools. Variance decomposition indicates that Qard al-Hasanah, civil partnership, legal partnership, Salam, and Sukuk account for the largest proportion of liquidity risk fluctuations, demonstrating their dominant role in shaping banking liquidity dynamics. The results suggest that systematic development of Islamic financing instruments can enhance liquidity risk management and strengthen the stability of Iran’s banking system.

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