Designing a Early-Warning Systems for systemic Banking Crisis in the Iranian Financial System By Using Markov Chains

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Haji Shahverdi Donya; Zomorodian Gholam Reza; FALLAH SHAMS MIRFEIZ; HANIFI FARHAD

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Journal: Financial Economics Year:2019 | Volume:13 | Issue:47 Page(s): 135-153

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Title

Designing a Early-Warning Systems for systemic Banking Crisis in the Iranian Financial System By Using Markov Chains

Author(s)

Haji Shahverdi Donya | Zomorodian Gholam Reza | FALLAH SHAMS MIRFEIZ | HANIFI FARHAD | Issue Writer Certificate

Keywords

Systemic Banking CrisisQ1

Early-Warning SystemsQ1

Markov Switching ModelQ1

Abstract

In this case study, initially has designed on the base of usage of events approach and signal extraction model of precaution for identifing Systemic Banking Crisis in the Iranian economy, and Non-Performing Loans(NPL), inflation rates, exchange rates and liabilities of banks to the Central Bank with regardes to the explanatory power as The Systemic Banking Crisis guidance indicators that appropratefor financial system were identified. Consequently a logit-binary model on the base of indector was designed Markov Switching Model system to assess the possibility of systemic crisis in Iran's financial system, which was identified the sign of occurrence of banking crisis in 1993 from year ago in Iran's economy. It is designed with the use of a Early-Warning Systemsand, referring to the International Monetary Fund's financial crisis database, can be described as the era of Systemic Banking Crisis and its overlap with the national debt crisis and the currency crisis in the Iran's banking system.

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APA: Copy

Haji Shahverdi, Donya, Zomorodian, Gholam Reza, FALLAH SHAMS, MIRFEIZ, & HANIFI, FARHAD. (2019). Designing a Early-Warning Systems for systemic Banking Crisis in the Iranian Financial System By Using Markov Chains. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 13(47 ), 135-153. SID. https://sid.ir/paper/229018/en

Vancouver: Copy

Haji Shahverdi Donya, Zomorodian Gholam Reza, FALLAH SHAMS MIRFEIZ, HANIFI FARHAD. Designing a Early-Warning Systems for systemic Banking Crisis in the Iranian Financial System By Using Markov Chains. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2019;13(47 ):135-153. Available from: https://sid.ir/paper/229018/en

IEEE: Copy

Donya Haji Shahverdi, Gholam Reza Zomorodian, MIRFEIZ FALLAH SHAMS, and FARHAD HANIFI, “Designing a Early-Warning Systems for systemic Banking Crisis in the Iranian Financial System By Using Markov Chains,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 13, no. 47 , pp. 135–153, 2019, [Online]. Available: https://sid.ir/paper/229018/en

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