Document Type : Original Article
Authors
1
Ph.D. student in Financial Engineering, Faculty of Humanities, Islamic Azad University, Qom Branch, Qom, Iran.
2
Associate Professor, Department of Business Management, Faculty of Management, Islamic Azad University, Tehran Central Branch, Tehran, Iran.
3
Assistant Professor, Department of Accounting, Faculty of Humanities, Islamic Azad University, Qom Branch, Qom, Iran.
Abstract
The issue of Systemic risk, as a macro-level phenomenon that can affect the stability of financial systems has received much attention in recent years. This evident in the fact that the concept of systemic risk has emerged as a synonym for financial vulnerability or fragility. Such risks typically arise from instability in financial institutions and can be transmitted to the entire financial system. The objective of the current study is to identify the factors that cause systemic risk in banking systems. The statistical population of this study is all banks listed on the Tehran Stock Exchange between the years 1390 to the end of 1397. In total, 13 banks active during this period were included in the present study. To determine whether there is a relationship between systemic risk in the Iranian banking sector with the currency market, the global gold market, the global oil market and the stock market, the paper starts with identifying and extracting time series data concerning the factors that cause shocks to the stock value of banks and modeling them through a Vector Auto Regressive model. Subsequently, based on the residuals of the VAR model, a multivariate MGARCH model was calculated. Finally, the domino effect of systemic risk among banks was tested using the significance coefficients of the Vector Auto Regressive model. Based on the results obtained in this study, systemic risk varies across the banking sector. Moreover, the paper finds that crises or disruptions in some banks could have a more destructive effect on the entire financial system and even a country's economy, than other banks.
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