Measuring the severity size and direction of fluctuations or exchange rate shocks in the money, capital and insurance markets

Subject Areas : Stock Exchange

Sara Vahabzadeh ¹ , Mir Feiz Fallah ² , Amirreza Keyghobadi ³ , Mehdi Maadanchi ⁴

1 - Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
2 - Department of Financial Management,, Central Tehran Branch, Islamic Azad University, Tehran, Iran and member of Modern Financial Risk Research Group
3 - Department of Accounting, Central Tehran Branch, Islamic Azad University, Tehran, Iran
4 - Department of Financial Management, Science and Research Branch, Islamic Azad University, Tehran, Iran

Received: 2020-10-29 Accepted : 2021-01-04 Published : 2022-09-23

Keywords: "Financial Crisis", "Systemic risk", "asymmetry",

Abstract :

In the past years, financial markets have faced uncertainties such as financial crises, oil shocks, changes in currency policies and similar cases. The statistical population in the current research are financial intermediaries such as insurance, banks, active investment companies (PGPIC) in the stock market on a daily basis in 1990-98. For the insurance market, by increasing one unit of its efficiency, the value at risk of the whole system decreases by 0.016. With the increase of one unit of its yield, the value at risk decreases by 0.051. With an increase of a unit or one percent of profit in the banking sector, the efficiency of the whole system increases by 0.0014. The results of estimating the value exposed to conditional differential risk indicate that the share of value exposed to conditional risk of capital is equal to 0.045, bank 0.026 and insurance 0.037, and the value exposed to conditional risk of capital and insurance sector is more and bank is less, and the share of value exposed to conditional risk of capital equals 0.045, bank 0.026 and insurance 0.037, which means the value exposed to conditional risk of capital and insurance sector is more and bank is less.