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ارزیابی ریسک سیستمیک بازار رمز ارزها با استفاده از رویکرد مدل آستانهای | ||
| مدلسازی اقتصادسنجی | ||
| دوره 9، شماره 4 - شماره پیاپی 36، بهمن 1403، صفحه 77-97 اصل مقاله (811.08 K) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22075/jem.2024.34058.1932 | ||
| نویسندگان | ||
| محسن مهرآرا* 1؛ قهرمان عبدلی1؛ حیدر آخوندی2 | ||
| 1استاد اقتصاد، دانشکده اقتصاد، دانشگاه تهران | ||
| 2دانشجوی دکتری اقتصاد مالی، دانشگاه پردیس بینالمللی ارس دانشگاه تهران | ||
| تاریخ دریافت: 18 اردیبهشت 1403، تاریخ بازنگری: 27 آبان 1403، تاریخ پذیرش: 29 آبان 1403 | ||
| چکیده | ||
| یکی از مهمترین مباحث و موضوعات مطرح در بازارهای مالی، آگاهی از میزان ریسک سیستمیک بازار است چرا که نقش به سزایی در تصمیمگیری سرمایهگذاران دارد. هدف این مطالعه برآورد حد آستانهای ریسک سیستمیک بازار رمز ارزها در بازه زمانی 2017 – 2023 است. در این راستا و به منظو برآورد ریسک سیستمیک از روش CoVaR استفاده شد. همچنین به منظور برآورد اثرات حد آستانهای ریسک سیستمیک از خودرگرسیون برداری آستانهای (TVAR) استفاده شد. جامعه آماری مطالعه حاضر بازار رمز ارزها و نمونه آماری شامل بیتکوین، تتر و اتریوم بوده است. نتایج بدست آمده بیانگر این بود که ریسک سیستمیک در بیتکوین به مراتب بالاتر از رمز ارز اتریوم است. علاوه بر این مشاهده گردید که اثرات آستانهای در شاخص ریسک سیستمیک برآورد شده برای رمزارزها وجود داشته است. | ||
| کلیدواژهها | ||
| ریسک سیستمیک؛ بحران مالی؛ بیتکوین؛ زیان مورد انتظار؛ حد آستانه ریسک | ||
| عنوان مقاله [English] | ||
| Evaluating the Systemic Risk of the Cryptocurrency Market Using the Threshold Approach | ||
| نویسندگان [English] | ||
| Mohsen Mehrara1؛ Qahreman Abdoli1؛ Heidar Akhondi2 | ||
| 1Professor in Economics, Department of Economics, University of Tehran | ||
| 2Ph.D. Student in Financial Economics, Aras international campus of University of Tehran | ||
| چکیده [English] | ||
| One of the most important topics and issues raised in the financial markets is the awareness of the systemic risk of the market because it plays a significant role in the decision making of investors. The purpose of this study is to estimate the threshold limit of the systemic risk of the cryptocurrency market in the period of 2017-2023. In this regard, the CoVaR method was used to estimate the systemic risk. Also, in order to estimate the effects of the systemic risk threshold limit, threshold soft transition regression (TSTR) was used. The statistical population of the present study is the cryptocurrency market and the statistical sample includes Bitcoin, Tether and Ether. The results showed that the systemic risk in Bitcoin is much higher than that of Ethereum. In addition, it was observed that there were threshold effects in the estimated systemic risk index for cryptocurrencies. | ||
| کلیدواژهها [English] | ||
| Systemic Risk, Financial Crisis, Bitcoin, expected loss, risk threshold | ||
| مراجع | ||
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