Measuring and Analysis of Systemic Risk in Iranian Banking Sector and Investigating Its Determinants

Document Type : Original Article

Authors

1 Professor in Economics, Department of Economics, University of Tehran

2 PhD student of economics at university of Tehran

Abstract

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.

Keywords

Journal of Econometric Modelling
Volume 4, Issue 3 - Serial Number 14
November 2019
Pages 11-36

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