BANK KAPITALI BARQARORLIGIGA TASHQI OMILLAR TA’SIRINING EKONOMETRIK MODELI
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https://doi.org/10.5281/zenodo.19472884Kalit so‘zlar:
bank kapitali barqarorligi, kapital yetarliligi koeffitsienti (CAR), SVAR modeli, pul massasi (M2), inflyatsiya, asosiy stavka, valyuta kursi, kontr-siklik kapital buferi (CCyB), makroprudensial tartibga solish, stress-testAbstrak
Ushbu maqolada 2018–2024-yillar oralig‘idagi oylik ma’lumotlar asosida O‘zbekiston tijorat banklarining kapital yetarliligi koeffitsientiga (CAR) tashqi makroiqtisodiy omillarning ta’siri ekonometrik usul yordamida baholangan. Tadqiqotda Markaziy bankning asosiy stavkasi (RATE), inflyatsiya darajasi (INF), kengaytirilgan pul massasi (M2) va AQSh dollari almashinuv kursi (USD) asosiy tashqi omillar sifatida belgilangan va ularning CAR koeffitsientiga dinamik ta’siri Strukturaviy Vektor Avtoregressiya (SVAR) modeli yordamida tahlil qilingan. Tadqiqot 2018-yil yanvardan 2024-yil dekabrgacha bo‘lgan 84 ta oylik kuzatuvni qamrab oladi. O‘zgaruvchilarning stasionarligi ADF testi bilan tekshirilgan, VAR(2) modeli optimal sifatida tanlangan. Tadqiqotning eng muhim natijalari shuni ko‘rsatadiki, kengaytirilgan pul massasi (M2) bank kapitali o‘zgaruvchanligini tushuntiruvchi dominant omil bo‘lib, uzoq muddatda 74–78 foiz ulushga ega. M2 o‘sishi qisqa muddatda kredit ekspansiyasi orqali CAR koeffitsientini pasaytiradi; asosiy stavkaning oshishi esa dastlabki oylarda kapitalga salbiy ta’sir ko‘rsatadi
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