ارزیابی ریسک سیستمیک بازار رمز ارزها با استفاده از رویکرد مدل آستانه‌ای

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استاد اقتصاد، دانشکده اقتصاد، دانشگاه تهران

2 دانشجوی دکتری اقتصاد مالی، دانشگاه پردیس بین‌المللی ارس دانشگاه تهران

10.22075/jem.2024.34058.1932

چکیده

یکی از مهم‌ترین مباحث و موضوعات مطرح در بازارهای مالی، آگاهی از میزان ریسک سیستمیک بازار است چرا که نقش به سزایی در تصمیم‌گیری سرمایه‌گذاران دارد. هدف این مطالعه برآورد حد آستانه­ای ریسک سیستمیک بازار رمز ارزها در بازه زمانی 2017 – 2023 است. در این راستا و به منظو برآورد ریسک سیستمیک از روش CoVaR استفاده شد. همچنین به منظور برآورد اثرات حد آستانه­ای ریسک سیستمیک از خودرگرسیون برداری آستانه­ای (TVAR) استفاده شد. جامعه آماری مطالعه حاضر بازار رمز ارزها و نمونه آماری شامل بیت‌کوین، تتر و اتریوم بوده است. نتایج بدست آمده بیانگر این بود که ریسک سیستمیک در بیت‌کوین به مراتب بالاتر از رمز ارز اتریوم است. علاوه بر این مشاهده گردید که اثرات آستانه‌ای در شاخص ریسک سیستمیک برآورد شده برای رمزارزها وجود داشته است.

کلیدواژه‌ها


عنوان مقاله [English]

Evaluating the Systemic Risk of the Cryptocurrency Market Using the Threshold Approach

نویسندگان [English]

  • Mohsen Mehrara 1
  • Qahreman Abdoli 1
  • Heidar Akhondi 2
1 Professor in Economics, Department of Economics, University of Tehran
2 Ph.D. Student in Financial Economics, Aras international campus of University of Tehran
چکیده [English]

One of the most important topics and issues raised in the financial markets is the awareness of the systemic risk of the market because it plays a significant role in the decision making of investors. The purpose of this study is to estimate the threshold limit of the systemic risk of the cryptocurrency market in the period of 2017-2023. In this regard, the CoVaR method was used to estimate the systemic risk. Also, in order to estimate the effects of the systemic risk threshold limit, threshold soft transition regression (TSTR) was used. The statistical population of the present study is the cryptocurrency market and the statistical sample includes Bitcoin, Tether and Ether. The results showed that the systemic risk in Bitcoin is much higher than that of Ethereum. In addition, it was observed that there were threshold effects in the estimated systemic risk index for cryptocurrencies.

کلیدواژه‌ها [English]

  • Systemic Risk
  • Financial Crisis
  • Bitcoin
  • expected loss
  • risk threshold
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