نوع مقاله : مقاله پژوهشی
نویسنده
دانشیار گروه اقتصادی، پژوهشکده امور اقتصادی، تهران، ایران
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسنده [English]
This study investigates the network structure of Iranian banks and the mechanism of risk transmission among them. Focusing on the role of key banks, it aims to provide a deeper understanding of the dynamics of systemic interconnectedness within the country’s financial system. Given the bank-based nature of Iran’s economy and the limited development of alternative financial markets, an accurate understanding of interbank interactions is crucial for enhancing financial stability. To this end, the study employs the R²-decomposed connectedness approach, which allows for the separation of contemporaneous and lagged effects. Analysis of daily data from 11 listed banks over the period February 2020 to April 2025 (corresponding to Bahman 1398 to Farvardin 1404) reveals that approximately 40 percent of the total variance in the system stems from interbank interconnectedness. The dynamic results indicate that the intensity of connectedness varies over time and increased markedly during the second half of 2023 (1402 in the Persian calendar). This surge largely coincided with the depreciation of the national currency, accelerating inflation, contractionary monetary policies by the Central Bank, rising interbank interest rates, and a liquidity crisis driven by fiscal imbalances. During this period, larger banks such as Bank Saderat and Bank Tejarat played a dominant role in transmitting shocks, whereas smaller banks primarily acted as receivers of disturbances. From a practical perspective, the findings suggest that understanding the time-varying nature of interbank connectedness can help policymakers and portfolio managers identify systemic nodes, assess risk comovements, and design more effective diversification strategies. In particular, excessive portfolio concentration in centrally positioned banks may amplify systemic risk during periods of financial stress. Overall, the results demonstrate that Iran’s banking network is dynamic and highly sensitive to macroeconomic developments, and that analyzing the temporal dynamics of connectedness offers a valuable tool for predicting and managing systemic risk.
کلیدواژهها [English]
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