تأثیرپذیری ریسک سیستماتیک شبکه بانکی کشور از ریسک اعتباری : شواهد تجربی جدید از روش چند عاملی بانک محور پویای تصادفی (DBMM)

نوع مقاله : مقاله پژوهشی

نویسندگان

1 مدرس مدعو، گروه علوم اقتصادی، دانشکده علوم اجتماعی، دانشگاه محقق اردبیلی

2 استاد اقتصاد، گروه اقتصاد نظری، دانشکده علوم اقتصادی و اداری، دانشگاه مازندران

10.22075/jem.2024.34855.1937

چکیده

در این مقاله تأثیر ریسک اعتباری بر ریسک سیستماتیک شبکه بانکی کشور به روش چند عاملی بانک محور پویای تصادفی (DBMM) بررسی شده است. عامل­های بازی پویای تصادفی در این تحقیق شامل بانک­ها، بانک مرکزی، سپرده­گذاران و بنگاه­ها، و قلمرو زمانی داده­ها متعلق به بازه سال­های 1402- 1397 هستند. بر اساس نتایج بدست آمده،کاهش سهم مطالبات غیرجاری، ریسک نقدینگی، سرایت سیستماتیک و ریسک سیستماتیک شبکه بانکی را کاهش داده و به ثبات سیستم بانکی کمک می­نماید. همچنین، این پژوهش نشان می­دهد که کاهش سهم مطالبات غیرجاری، نقدینگی سیستم بانکی و میزان سرمایه بانک­ها را افزایش داده و نوسانات تخصیص اعتبار به بخش واقعی اقتصاد را کاهش می­دهد. کنترل مطالبات غیر جاری با هدف و کنترل ریسک سیستماتیک و افزایش ثبات در شبکه بانکی کشور، از جمله توصیه­های سیاستی پژوهش حاضر محسوب می­شود.  

کلیدواژه‌ها

عنوان مقاله [English]

The influence of the systematic risk of the country's banking network on credit risk: new empirical evidence from the random dynamic bank-oriented multi-agent model (DBMM).

نویسندگان [English]

  • Roghayeh Nazemfar 1
  • Amir Mansour Tehranchian 2
1 Faculty of Social Sciences, University of Mohaghegh Ardabili
2 Professor in Economics, Department of Theoretical Economics, Faculty of Economic and Administrative Sciences, University of Mazandaran
چکیده [English]

In this article, the effect of credit risk on the systematic risk of the country's banking network has been investigated using the stochastic dynamic bank-oriented multi-agent-based method (DBMM). Random dynamic game agents include banks, central bank, depositors and firms, and the time domain of the data belongs to the period of 2018-2023. According to the obtained results, reducing the share of non-current claims, reduced liquidity risk, systematic contagion and systematic risk of the banking network, and helps the stability of the banking system. Also, this research shows that reducing the share of non-current claims increases the liquidity of the banking system and the amount of banks' capital and reduces the fluctuations of credit allocation to the real sector of the economy. The control of non-current claims with the aim of controlling systematic risk and increasing stability in the country's banking network is one of the policy recommendations of this research.

کلیدواژه‌ها [English]

  • dynamic bank-oriented multi-agent model
  • credit risk. systemic risk

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