Measuring systemic risk and the effect of fundamental variables on it in the country's banking system

Subject Areas : Journal of Investment Knowledge

leila barati ¹ , Mirfaiz Falah Shams ^{2 *} , Farhad Ghafari ³ , Alireza Heidarzadeh Hanzaei ⁴

1 - Student of Financial Management Department, Science and Research Branch, Islamic Azad University, Tehran, Iran.
2 - Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
3 - Department of Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran.
4 - Department of Financial Management, North Tehran Branch, Islamic Azad University, Tehran, Iran.

Received: 2022-09-17 Accepted : 2022-10-29 Published : 2023-12-22

Keywords: "Financial system warning", "Systemic risk", "Volatility model and dynamic conditional correlation", "Expected final deficit", "Panel data",

Abstract :

The purpose of this article was to measure systemic risk and the impact of fundamental variables on it in the country's banking system. In this regard, information from the period of 2010-2019 was used. In the first part, systemic risk indicators were estimated, then the impact of the fundamental variables of the country's banking system and financial stability was evaluated. In order to estimate the model, the final expected deficit method (MES) and panel data were used. The systemic risk index in this research is obtained from the calculation of the degree of leverage (debt size), market size and expected final deficit (MES) in order to finally be able to model the factors affecting it.In this research, first of all, different types of systemic risk assessment models have been evaluated according to the forecast error, and then, with the better selected model, the relationship between systemic risk and the important ratios of the country's banking system has been evaluated. The results showed that there is a significant positive relationship between independent variables such as inflation rate, external debt, government debt, liquidity growth, non-current facility rate, debt ratio and the ratio of book value of equity to market value, and independent variables such as profitability There is a significant negative relationship between the total index of the stock exchange, the growth rate of GDP and return on assets with the systemic risk index among the country's banking system.

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