پیوندهای مفید
آمار
| تعداد نشریات | 21 |
| تعداد شماره‌ها | 646 |
| تعداد مقالات | 9,451 |
| تعداد مشاهده مقاله | 68,212,733 |
| تعداد دریافت فایل اصل مقاله | 46,672,693 |
Examining the relationship between economic policy uncertainty and systemic banking risk in Iran’s economy | ||
| International Journal of Nonlinear Analysis and Applications | ||
| مقالات آماده انتشار، اصلاح شده برای چاپ، انتشار آنلاین از تاریخ 13 اسفند 1403 اصل مقاله (398.23 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2024.34679.5187 | ||
| نویسندگان | ||
| Roya Hajibabaei1؛ Marjan Damankeshideh* 1؛ Majid Afsharirad2؛ Manijeh Hadinejad* 1 | ||
| 1Department of Economics, Central Tehran Branch, Islamic Azad University, Tehran, Iran | ||
| 2Department of General Economic Affairs, Kharazmi University, Tehran, Iran | ||
| تاریخ دریافت: 17 خرداد 1403، تاریخ پذیرش: 28 مرداد 1403 | ||
| چکیده | ||
| The present study examines the relationship between economic policy uncertainty and systemic banking risk. For this purpose, the systemic banking risk was initially estimated using the Conditional Value at Risk $(\Delta CoVaR)$ metric over 2011-2021 for 17 banks listed on the stock market. The results indicate that Ayandeh Bank has the highest systemic risk, while Eghtesad Novin Bank has the lowest systemic risk. Subsequently, the effect of economic policy uncertainty, along with other banking and macroeconomic variables, on systemic banking risk was analyzed using the system generalized method of moments (GMM). The results show that economic policy uncertainty leads to an increase in systemic banking risk. Therefore, to reduce systemic banking risk and prevent crises, it is necessary to avoid shocks and uncertainty as much as possible. Additionally, the variables of the debt-to-net-assets ratio of banks and gross loans as a percentage of total bank assets have the most significant impact on increasing systemic risk. Hence, monitoring and controlling the level of lending and reducing default risk can lead to a decrease in systemic banking risk. The return on assets and total loan loss reserves divided by the gross value of loans have the most significant impact on reducing systemic risk. Therefore, diversifying assets and maintaining adequate reserves for crisis conditions, where the likelihood of loan defaults is higher, play a significant role in improving the conditions of banks and reducing the risks of loan defaults and systemic risk in the banking network. | ||
| کلیدواژه‌ها | ||
| systemic bank risk؛ economic policy uncertainty؛ conditional value at risk؛ system generalized method of moments | ||
| مراجع | ||
|
[1] H. Abrishami, M. Mehrara, and M. Rahmani, Measuring and analyzing systemic risk in Iran’s banking sector and investigating its effective factors, Econ. Model. Quart. 3 (2018), no. 14, 11–36. [2] T. Adrian and M.K. Brunnermeier, CoVaR, Amer. Econ. Rev. 106 (2016), no. 7, 1705. [3] H. Ahir, N. Bloom, and D. Furceri, The world uncertainty index, Available at SSRN: https://ssrn.com/abstract=3275033 or http://dx.doi.org/10.2139/ssrn.3275033 [4] D. Altig, S. Baker, J.M. Barrero, N. Bloom, P. Bunn, S. Chen, S.J. Davis, J. Leather, B. Meyer, E. Mihaylov, and P. Mizen, Economic uncertainty before and during the COVID-19 pandemic, J. Public Econ. 191 (2020), 104274. [5] H. Amiri and M. Pirdadeh Beyranvand, Uncertainty of economic policies and stock market based on the Markov regime change approach, Sci. J. Financ. Sci. Secur. Anal. 12 (2018), no. 44, 49–67. [6] M. Arellano and S. Bond, Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations, Rev. Econ. Stud. 97 (1991), 258–277. [7] B. Arnold, C. Borio, L. Ellis, and F. Moshirian, Systemic risk, macroprudential policy frameworks, monitoring financial systems, and the evolution of capital adequacy, J. Bank. Finance 36 (2012), no. 12, 3125–3132. [8] R. Bachmann and C. Bayer, Wait-and-See business cycles?, J. Monetary Econ. 60 (2013), no. 6, 704–719. [9] S.R. Baker, N. Bloom, and S.J. Davis, Measuring economic policy uncertainty, Q. J. Econ. 131 (2016), 1593–1636. [10] B.H. Baltagi, Econometric Analysis of Panel Data, Third Edition, New York, John Wiley and Sons, 2005. [11] G.D. Banulescu and E.I. Dumitrescu, Which are the SIFIs? A component expected shortfall approach to systemic risk, J. Bank. Finance 50 (2015), 575–588. [12] S. Barua, Understanding coronanomics: the economic implications of the COVID-19 pandemic, J. Dev. Areas 55 (2021), 435–450. [13] T. Beck and J. Keil, Are banks catching corona? Effects of COVID on lending in the US, CEPR Discussion Paper No. DP15869, Available at SSRN: https://ssrn.com/abstract=3805284, (2021). [14] A.N. Berger, O. Guedhami, H.H. Kim, and X. Li, Economic policy uncertainty and bank liquidity hoarding, J. Financ. Intermed. 49 (2022), 100893. [15] M. Billio, M. Getmansky, A.W. Lo, and L. Pelizzon, Econometric measures of connectedness and systemic risk in the finance and insurance sectors, J. Financ. Econ. 104 (2012), 535–559. [16] D. Bostandzic and G.N.F. Weiß, Why do some banks contribute more to global systemic risk?, J. Financ. Intermed. 35 (2018), 17–40. [17] C. Brownlees and R.F. Engle, SRISK: A conditional capital shortfall measure of systemic risk, Rev. Financ. Stud. 30 (2017), no. 1, 48–79. [18] M. Brunnermeier, S. Rother, and I. Schnabel, Asset price bubbles and systemic risk, Rev. Financ. Stud. 33 (2020), 4272–4317. [19] D. Caldara and M. Iacoviello, Measuring geopolitical risk, Amer. Econ. Rev. 112 (2022), no. 4, 1194–1225. [20] L. Chen, H. Li, F.H. Liu, and Y. Zhou, Bank regulation and systemic risk: cross country evidence, Rev. Quant. Finan. Acc. 57 (2021), 353–387. [21] Q. Chi and W. Li, Economic policy uncertainty, credit risks and banks’ lending decisions: Evidence from Chinese commercial banks, China J. Account. Res. 10 (2017), no. 1, 33–50. [22] D. Danesh Jafari, T. Mohammadi, M.H. Botshekan, and H. Pashazadeh, Systematic review of selected banks of the banking system in Iran using dynamic conditional correlation (DCC) method, Quart. J. Monetary Bank. Res. 10 (2016), no. 33, 457–479. [23] G.O. Danisman, O. Ersan, and E. Demir, Economic policy uncertainty and bank credit growth: Evidence from European banks, J. Multinat. Financ. Manag. 57 (2020), 100653. [24] Y. Deng and S. Li, Do global and local economic policy uncertainties matter for systemic risk in the international banking system, Finance Res. Lett. 59 (2024), 104752. [25] Y. Duan, X. Fan, and Y. Wang, Economic policy uncertainty and bank systemic risk: A cross-country analysis, Pacific-Basin Finance J. 75 (2022), 101828. [26] R. Engle, Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models, J. Bus. Econ. Stat. 20 (2002), no. 3, 339–350. [27] European Central Bank (ECB), Financial networks and financial stability, Financ. Stab. Rev. 1 (2010), 155–160. [28] Y. Fang, Y. Wang, Q. Wang, and Y. Zhao, Policy uncertainty and bank systemic risk: A perspective of risk decomposition, J. Int. Financ. Markets Inst. Money 88 (2023), 101827. [29] Y. Feng, Political freedom, political instability, and policy uncertainty: a study of political institutions and private investment in developing countries, Int. Stud. Quart. 45 (2001), 271–294. [30] M.R. Goetz, Competition and bank stability, J. Financ. Intermed. 35 (2018), 57–69. [31] D.F. Gray and A.A. Jobst, New directions in financial sector and sovereign risk management, J. Invest. Manag. (JOIM), First Quarter, Available at SSRN: https://ssrn.com/abstract=1568895, (2010). [32] M. Hatef Vahid and A. Saleh Ardestani, Measuring the systemic risk of financial institutions and banks using the Markov clustering approach and centrality-based risk measurement criteria, Sci. Quart. Islamic Econ. Bank. 30 (2019), 115–140. [33] S. Hekmati Farid, A. Rezazadeh, and A. Malek, Estimating systemic risk in the financial sectors of Iran’s economy (the differential conditional risk exposure value approach), Econ. Model. Quart. 43 (2017), 99–122. [34] E.N. Karimalis and N.K. Nomikos, Measuring systemic risk in the European banking sector: A copula CoVaR approach, Eur. J. Finance 24 (2018), no. 11, 944–975. [35] A. Khan, M.K. Hassan, N. Maroney, R. Boujlil, and B. Ozkan, Efficiency, diversification, and performance of US banks, Int. Rev. Econ. Financ. 67 (2020), 101–117. [36] Q. Le and P. Zak, Political risk and capital flight, J. Int. Money Financ. 25 (2006), 308–329. [37] Y. Lu and Y. Wang, Bank liquidity hoarding and bank systemic risk: The moderating effect of economic policy uncertainty, Pacific-Basin Finance J. 82 (2023), 102189. [38] S.C. Ludvigson, S. Ma, and S. Ng, Uncertainty and business cycles: exogenous impulse or endogenous response, Amer. Econ. J.: Macroecon. 13 (2021), no. 4, 369–410. [39] G. Mahdavi Kelishami, N. Elahi, A. Farzinvash, and J. Gilanipour, Evaluation of systemic risk in Iran’s banking network by the criterion of value changes at conditional risk, J. Financ. Eng. Secur. Manag. 33 (2016), 265–281. [40] J. Ng, W. Saffar, and J.J. Zhang, Policy uncertainty and loan loss provisions in the banking industry, Rev. Acc. Stud. 25 (2020), no. 2, 726–777. [41] A. Ostad Hashemi, S.J. Sadeghi Sharif, and A. Suri, The effect of macroeconomic variables on banking system risk with vector autoregressive model, Innov. Value Creat. Quart. 10 (2020), no. 19, 55–68. [42] Z.S. Ouyang and Y. Lai, Systemic financial risk early warning of financial market in China using attention-LSTM model, North Amer. J. Econ. Finance 56 (2021), 101383. [43] L. Pastor and P. Veronesi, Political uncertainty and risk premia, J. Financ. Econ. 110 (2013), 520–545. [44] B. Pirgaip and B. Din¸cergok, Economic policy uncertainty, energy consumption and carbon emissions in G7 countries: evidence from a panel Granger causality analysis, Envir. Sci. Pollut. Res. 27 (2020), no. 24, 30050–30066. [45] R. Raei, A. Namaki, and H. Askarirad, Analyzing systemic risk and investigating the relationship between its dimensions and the characteristics and financial performance of banks admitted to the Tehran Stock Exchange, Asset Manag. Financ. 11 (2023), no. 1, 1–28. [46] D. Roodman, A note on the theme of too many instruments, Oxford Bull. Econ. Statist. 71 (2009), no. 1, 135–158. [47] A. Shakeri, N. Khosravipour, and M. Jafari, Estimating the systemic risk of the banking system using MES and CoVaR metrics, Financ. Manag. Strat. 8 (2020), no. 31, 235–256. [48] S. Varotto and L. Zhao, Systemic risk and bank size, J. Int. Money Financ. 82 (2018), 45–70. [49] J. Wu, Y. Yao, M. Chen, and B.N. Jeon, Economic uncertainty and bank risk: Evidence from emerging economies, J. Int. Finan. Markets Inst. Money, 68 (2020), p. 101242. [50] X. Yang, Q. Zhang, Z. Liu, Q. Tao, Y. Lai, and L. Huang, Economic policy uncertainty, macroeconomic shocks, and systemic risk: Evidence from China, North Amer. J. Econ. Finance 69 (2024), 102032. [51] A. Zakari, F.F. Adedoyin, and F.V. Bekun, The effect of energy consumption on the environment in the OECD countries: economic policy uncertainty perspectives, Envir. Sci. Pollut. Res. 28 (2021), 52295–52305. [52] M. Zhang, Z. Liu, and W. Zhang, Related party loan and compensation contract of commercial banks, J. Financ. Res. 5 (2012), 108–122. | ||
|
آمار تعداد مشاهده مقاله: 631 تعداد دریافت فایل اصل مقاله: 139 |
||