Measuring and Analysis of Systemic Risk in Iranian Banking Sector and Investigating Its Determinants
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 characteristic...
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| Format: | Article |
| Language: | fas |
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Semnan University
2019-08-01
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| Series: | مدلسازی اقتصادسنجی |
| Subjects: | |
| Online Access: | https://jem.semnan.ac.ir/article_3977_f480499add95f2c0f1d8008f79415ac2.pdf |
| _version_ | 1827342555519385600 |
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| author | Hamid Abrishami Mohsen Mehrara Mohammad Rahmani |
| author_facet | Hamid Abrishami Mohsen Mehrara Mohammad Rahmani |
| author_sort | Hamid Abrishami |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-07T22:08:12Z |
| format | Article |
| id | doaj.art-7980f06ef7fa4d2f9ccb4480614f690f |
| institution | Directory Open Access Journal |
| issn | 2345-654X 2821-2150 |
| language | fas |
| last_indexed | 2024-03-07T22:08:12Z |
| publishDate | 2019-08-01 |
| publisher | Semnan University |
| record_format | Article |
| series | مدلسازی اقتصادسنجی |
| spelling | doaj.art-7980f06ef7fa4d2f9ccb4480614f690f2024-02-23T18:40:09ZfasSemnan Universityمدلسازی اقتصادسنجی2345-654X2821-21502019-08-0143113610.22075/jem.2019.18530.13613977Measuring and Analysis of Systemic Risk in Iranian Banking Sector and Investigating Its DeterminantsHamid Abrishami0Mohsen Mehrara1Mohammad Rahmani2Professor in Economics, Department of Economics, University of TehranProfessor in Economics, Department of Economics, University of TehranPhD student of economics at university of TehranIn 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.https://jem.semnan.ac.ir/article_3977_f480499add95f2c0f1d8008f79415ac2.pdfsystemic riskmesδcovarsriskbanking sector |
| spellingShingle | Hamid Abrishami Mohsen Mehrara Mohammad Rahmani Measuring and Analysis of Systemic Risk in Iranian Banking Sector and Investigating Its Determinants مدلسازی اقتصادسنجی systemic risk mes δcovar srisk banking sector |
| title | Measuring and Analysis of Systemic Risk in Iranian Banking Sector and Investigating Its Determinants |
| title_full | Measuring and Analysis of Systemic Risk in Iranian Banking Sector and Investigating Its Determinants |
| title_fullStr | Measuring and Analysis of Systemic Risk in Iranian Banking Sector and Investigating Its Determinants |
| title_full_unstemmed | Measuring and Analysis of Systemic Risk in Iranian Banking Sector and Investigating Its Determinants |
| title_short | Measuring and Analysis of Systemic Risk in Iranian Banking Sector and Investigating Its Determinants |
| title_sort | measuring and analysis of systemic risk in iranian banking sector and investigating its determinants |
| topic | systemic risk mes δcovar srisk banking sector |
| url | https://jem.semnan.ac.ir/article_3977_f480499add95f2c0f1d8008f79415ac2.pdf |
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