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:: Volume 30, Issue 101 (Quarterly journal of economic research and policies 2022) ::
qjerp 2022, 30(101): 307-355 Back to browse issues page
Study of Systemic risk in the banking sector of Tehran Stock Exchange: Graph theory approach and ARMA-gjrGARCH-DCC
Mahdi Sadeghi Shahdani, Hamidreza Tavakoli *, Aboalfazl Salehi
imam sadigh university , hrt2036@gmail.com
Abstract:   (288 Views)
Banking systems are critical to economies, and their influence is significantly stronger in Iran. As a result, fragility in the country's financial system and the emergence of systemic risks in the banking system undermine the economy's stability and performance. Due to the importance of systemic risk in the banking network, this study examines the factors affecting the occurrence of systemic risk and systemically important financial institutions. For this purpose, this paper combines the ARMA-gjrGARCH-DCCt model and graph theory to dynamically and statically analyze systemic risk in the Iranian banking system and also compute ΔCoVaR index to examines the factors affecting the occurrence of systemic risk. The study of this research has been done on the data of 9 important banking institutions in the Iranian Stock Exchange for the two periods of 12/06/1390 to 01/04/1395 and 11/10/1397 to 01/10/1399. The results indicate that Mellat is the most significant banking institution in the banking network in both times, while Saderat is the second most important institution in the banking network in the first period and Pasargad is the second most important institution in the second period. Additionally, the integrity of the banking network has altered throughout time but has typically increased, and the correlation between the banking network has increased, enhancing the likelihood of systemic risk and risk transfer within the network. Additionally, the size and risk profile of banks, as well as the topology and structure of the banking network, all have a significant impact on the incidence of systemic risk in the banking network.
Keywords: ARMA-gjrGARCH-DCC, financial system, minimum spanning tree, systemically important financial institution, financial network
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Type of Study: Research | Subject: Special
Received: 2021/01/31 | Accepted: 2022/05/31 | Published: 2022/06/21
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Sadeghi Shahdani M, tavakoli H, salehi A. Study of Systemic risk in the banking sector of Tehran Stock Exchange: Graph theory approach and ARMA-gjrGARCH-DCC. qjerp. 2022; 30 (101) :307-355
URL: http://qjerp.ir/article-1-2951-en.html


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Volume 30, Issue 101 (Quarterly journal of economic research and policies 2022) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
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