This study investigates the determinants factors of systemic risk in Iranian banks during 2013-2022. The contribution is on banks liquidity creation and their balance sheet structure. For this purpose, the systemic risk of banks has been estimated and ranked by marginal
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This study investigates the determinants factors of systemic risk in Iranian banks during 2013-2022. The contribution is on banks liquidity creation and their balance sheet structure. For this purpose, the systemic risk of banks has been estimated and ranked by marginal expected shortfall (MES) index, using dynamic multi-garch models. The results by using Panel GMM method indicate that an increase in the balance sheet liquidity creation causes the vulnerability of banks to increase. Also, the liquidity creation on the side of assets (holding non-cash assets) significantly increases the systemic risk for banks, while which on the side of debts (holding of demand deposits) reduces the banks systemic risk and their fragility. In addition, the findings indicate that the bigger the size, the more non-traditional activities (non-interest income) and the higher the ratio of non-performance loans, the higher systemic risk in banks. while the higher capital adequacy in banks, the lower the systemic risk.
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