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).

Document Type : Original Article

Authors

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

10.22075/jem.2024.34855.1937

Abstract

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.

Keywords

References

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Journal of Econometric Modelling
Volume 9, Issue 4 - Serial Number 36
February 2025
Pages 133-158

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