Measuring and Analysis of Systemic Risk in Iranian Banking Sector and Investigating Its Determinants
| Autor: | Hamid Abrishami, Mohsen Mehrara, Mohammad Rahmani |
|---|---|
| Jazyk: | perština |
| Rok vydání: | 2019 |
| Předmět: | |
| Zdroj: | مدلسازی اقتصادسنجی, Vol 4, Iss 3, Pp 11-36 (2019) |
| Druh dokumentu: | article |
| ISSN: | 2345-654X 2821-2150 |
| DOI: | 10.22075/jem.2019.18530.1361 |
| Popis: | In this paper, we study systemic by using three famous systemic risk measures - MES, ΔCoVaR and SRISK- for Iranian banks that has listed in capital markets and have been active during 2013/5/4 to 2018/9/5. After calculating of these three measures, we have estimated the impact of some characteristics of banks and some macroeconomic variables on these measures. The result of correlation and regression analysis of panel data shows that value-at-risk of banks has positive impact on MES and ΔCoVaR. However, unlike the theatrical literature, we did not find a positive relation between bank size and these systemic risk measures. Therefore, we concluded that small banks has contribution to systemic risk as well as large banks. Furthermore, the impact of capital adequacy and leverage ratio on systemic risk measures was so weak. Finally, we find that improvement in gdp growth decrease the MES and rising the inflation increases the ΔCoVaR. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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