Assessing the Systemic Risk in the Financial Sub-Systems of Iran, using Nonlinear Granger Method

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RAHIMI BAGHI ALI; ARABSALEHI NASRABADI MEHDI; VAEZ BARZANI MOHAMMAD

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Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2019 | Volume:7 | Issue:2 (25) Page(s): 59-80

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Title

Assessing the Systemic Risk in the Financial Sub-Systems of Iran, using Nonlinear Granger Method

Author(s)

RAHIMI BAGHI ALI | ARABSALEHI NASRABADI MEHDI | VAEZ BARZANI MOHAMMAD | Issue Writer Certificate

Keywords

Financial institutions Nonlinear granger causality Principal components analysis Systemic riskQ1

Abstract

Objective: The Financial Crisis of 2007– 2009 has created a renewed interest in systemic risk. The systemic risk is the result of a systemic relationship among financial institutions (Banks, Brokers, and Insurers). Recognition of systemic relationships among financial sub-systems of each country is an indispensable necessity for the purpose of preventing systematic failure. Method: The present study seeks to assess the relationship among the financial sub-systems in Iran, including banks, investment, and insurance companies during 2011-2017, using the Principal Components Analysis method. Then, the causal relationship between them is explained, applying the nonlinear Granger method. Results: According to the results, banking and insurance sectors have the highest and lowest systemic risk, respectively. It is also found that the systemic relationship alters from one financial institution to another over time. The results of this study can be useful for both regulatory bodies in order to optimize the regulation of the financial system and, on the other hand, for investors to effectively manage the portfolio risk.

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APA: Copy

RAHIMI BAGHI, ALI, ARABSALEHI NASRABADI, MEHDI, & VAEZ BARZANI, MOHAMMAD. (2019). Assessing the Systemic Risk in the Financial Sub-Systems of Iran, using Nonlinear Granger Method. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 7(2 (25) ), 59-80. SID. https://sid.ir/paper/245647/en

Vancouver: Copy

RAHIMI BAGHI ALI, ARABSALEHI NASRABADI MEHDI, VAEZ BARZANI MOHAMMAD. Assessing the Systemic Risk in the Financial Sub-Systems of Iran, using Nonlinear Granger Method. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2019;7(2 (25) ):59-80. Available from: https://sid.ir/paper/245647/en

IEEE: Copy

ALI RAHIMI BAGHI, MEHDI ARABSALEHI NASRABADI, and MOHAMMAD VAEZ BARZANI, “Assessing the Systemic Risk in the Financial Sub-Systems of Iran, using Nonlinear Granger Method,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 7, no. 2 (25) , pp. 59–80, 2019, [Online]. Available: https://sid.ir/paper/245647/en

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