The effect of systematic risk on Iranian banks stability

Document Type : Scientific-research

Author

1. Assistant Professor, Faculty of management and accounting, University of Allameh Tabatabai, Tehran, Iran

Abstract

Previous financial crises and researches on financial systems stability show that Risk leads to instability and crises. Debt market as an important part of financial markets in the world and especially in Iran whose financial system relies much on the banking system, has the more effective role in creating economic crises, shock, and instability. Therefore one of the important mission of Bank for International Settlements (BIS) is regulating and providing effective provisional indexes for control and management of crises. Thus guidance of requirements for recognition of banks with important systemic risk is provided by BIS. Using this guidance for recognizing banks with important systematic risk in country level and other studies in this area, the effect of systematic risk on the stability of 24 Iranian banks for a 7 year period from 1388 to 1394 using the generalized method of moments (GMM) for estimating parameters has been examined. Results show that systematic risk has negative linear and statistically significant relationship with banking stability.

Keywords

References

 Acharya, V. V., & Yorulmazer, T. (2007). Too many to fail—An analysis of time-inconsistency in bank closure policies. Journal of financial intermediation, 16(1), 1-31.
Acharya, V. V., & Yorulmazer, T. (2008). Information contagion and bank herding. Journal of money, credit and Banking, 40(1), 215-231.
Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The review of economic studies, 58(2), 277-297.
Arnold, B., Borio, C., Ellis, L., & Moshirian, F. (2012). Systemic risk, macro prudential policy frameworks, monitoring financial systems and the evolution of capital adequacy. Journal of Banking & Finance, 36(12), 3125-3132.
Dewenter, K. L., & Hess, A. C. (2015). Harmonized Regulations and Systemic Risk: Evidence from Global-Systemically Important Banks. Available at SSRN 2639393.
Glasserman, P., & Young, H. P. (2015). How likely is contagion in financial networks?. Journal of Banking & Finance, 50, 383-399.
Gu, Y., & Zhu, S. (2015). Assessment of Systemically Important Banks-A review. International Journal of Business and Social Science, 6(9), 132-139.
Kleinow, J., & Nell, T. (2015). Determinants of systemically important banks: the case of Europe. Journal of Financial Economic Policy, 7(4), 446-476.
Knaup, M., & Wagner, W. (2010). Measuring the tail risks of banks. Swiss National Centre of Competence in Research on Trade Regulation Working Paper, (2009/14).
Moenninghoff, S. C., Ongena, S., & Wieandt, A. (2015). The perennial challenge to counter Too-Big-to-Fail in banking: Empirical evidence from the new international regulation dealing with Global Systemically Important Banks. Journal of Banking & Finance, 61, 221-236.
Mutu, S. (2015). Exposure to Systemic Risk of the European Too-Big-to-Fail Banks During Crisis. Review of Economic and Business Studies, 8(2), 103-115.
Schinasi, M. G. J. (2004). Defining financial stability (No. 4-187). International Monetary Fund.
Segoviano Basurto, M., & Goodhart, C. (2009). Banking stability measures. IMF working papers, 1-54.
Vallascas, F., & Keasey, K. (2012). Bank resilience to systemic shocks and the stability of banking systems: Small is beautiful. Journal of International Money and Finance, 31(6), 1745-1776.
Zeb, S., & Rashid, A. (2015). Identifying systemically important banks in Pakistan: A quantile regression analysis. International Journal of Economics and Finance, 7(12), 155-167.
Journal of Iranian Economic Issues
Volume 7, Issue 2
January 2021
Pages 225-241

Files

History

  • Receive Date: 23 April 2020
  • Revise Date: 30 June 2020
  • Accept Date: 05 August 2020

Share

How to cite

Statistics