Determinants of Banking sectors's Stress in Different Oil Price Regimes Using Markov Switching Approach

Document Type : Scientific-research

Authors

1 PhD student of financial economics , Faculty of economics, Allame Tabataba’i University , el_sobhi@yahoo.com

2 Associate Professor of Economics, Department of Theoretical Economics, Faculty of economics, Allame Tabataba’i University, Tehran, Iran

3 Professor of Economics, Department of Theoretical Economics, Faculty of economics, Allame Tabataba’i University, Tehran, Iran

10.30465/ce.2022.38294.1710

Abstract

monitoring and measuring periods of financial instability became particularly important, and measuring financial stress has found a special place among policymakers and economic agents. Due to the nature of the banking system in the Iranian economy and the tight control of the government over it, although banking crises such as the banking invasion have never been observed in Iran, but the Iranian banking system has experienced crises at different times. In this study, with the help of bank stock prices, the stress index of the banking sector in the Iranian economy has been calculated and the factors affecting it in different oil price regimes have been identified. The results show that (1) the highest amount of stress in the banking sector is related to the winter of 1391 and spring and 1397 and the lowest amount of stress in the banking sector is related to the summer of 1390, winter of 1394 and spring of 1395.(2) In periods when oil prices are high, the variables of total banking system claims, total liquidity and private sector investment in new buildings in urban areas are stress drivers in the banking sector and in contrast to bank-reducing facilities. Stress is in this area

Keywords

References

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History

  • Receive Date: 30 December 2021
  • Revise Date: 18 April 2022
  • Accept Date: 17 June 2022

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