Effect of Exchange Rate Change Shocks on Systemic Risk Index Among Mutual Funds

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EBADI JAFAR; ELAHI NASER; Houshmand gohar Saedeh

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Journal: Journal of Economic Research and Policies Year:2019 | Volume:27 | Issue:89 Page(s): 373-397

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Title

Effect of Exchange Rate Change Shocks on Systemic Risk Index Among Mutual Funds

Author(s)

EBADI JAFAR | ELAHI NASER | Houshmand gohar Saedeh | Issue Writer Certificate

Keywords

Mutual FundQ1

systemic riskQ1

exchange rate change shockQ1

multivariate GARCHQ1

Abstract

Financial stability is amongst the issues that have been increasingly considered over the past two decades. Today, money and capital markets play a substantial role in the development of societies, but at the same time, this development will be problematic if it is not accompanied by a program, control, and supervision. The main reason is that, due to the correlation between the real and financial sectors of the economy, macroeconomic shocks can broadly spread to the financial system or spillover from the financial sector to other macroeconomic sectors. The key purpose of this article is to answer two questions. First, whether exchange rate shocks affect Mutual Fund return, while they typically use diversification policies to reduce market risks, second, how much is contagion between different Mutual Funds, In other words, how much systemic risk Index affects from rate change shocks. we examine the correlation structure of daily net return of the Mutual Fund portfolios during the period from March 21st, 2011 to December 22nd, 2015, Applying the multivariate GARCH model. The results indicate that coefficients of exchange rate change shocks are significant just only some of the Mutual Funds, while contagion between Mutual Funds causes direct effects of shocks to Spread among Mutual Funds and increase systemic risk Index among Mutual Funds, and also a potential systemic risk.

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APA: Copy

EBADI, JAFAR, ELAHI, NASER, & Houshmand gohar, Saedeh. (2019). Effect of Exchange Rate Change Shocks on Systemic Risk Index Among Mutual Funds. JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 27(89 ), 373-397. SID. https://sid.ir/paper/359875/en

Vancouver: Copy

EBADI JAFAR, ELAHI NASER, Houshmand gohar Saedeh. Effect of Exchange Rate Change Shocks on Systemic Risk Index Among Mutual Funds. JOURNAL OF ECONOMIC RESEARCH AND POLICIES[Internet]. 2019;27(89 ):373-397. Available from: https://sid.ir/paper/359875/en

IEEE: Copy

JAFAR EBADI, NASER ELAHI, and Saedeh Houshmand gohar, “Effect of Exchange Rate Change Shocks on Systemic Risk Index Among Mutual Funds,” JOURNAL OF ECONOMIC RESEARCH AND POLICIES, vol. 27, no. 89 , pp. 373–397, 2019, [Online]. Available: https://sid.ir/paper/359875/en

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