Strategic interaction on Liquidity Risk in Iranian Banks

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ASADI GHOLAMHOSSEIN; Abdo Tabrizi Hossein; Bakhtiarian Tayebe

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Journal: Journal of Monetary and Banking Research Year:2019 | Volume:12 | Issue:40 Page(s): 167-196

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Title

Strategic interaction on Liquidity Risk in Iranian Banks

Author(s)

ASADI GHOLAMHOSSEIN | Abdo Tabrizi Hossein | Bakhtiarian Tayebe | Issue Writer Certificate

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Abstract

The peer effects induced by social interactions have been studied empirically for several socio-economic phenomena in the last three decades. Before, economists have considered preferences of actors as exogenous parameters which are a tradition rooted in the work of Milton Friedman. But most recently, many economists have studied processes of preference formation of actors and have developed theoretical models of endogenous preferences. The aim of this study is also to examine strategic interaction or peer effect systemic component on funding liquidity risk in banking industry of Iran and whether banks’ liquidity and maturity mismatch decisions of assets and liabilities are affected by the choices of competitors or not. The research sample includes all active banks of Iran from 2002 to 2016 and the model used is the liner regression model based on Manski's assumptions and instrumental variable approach. The evidences suggest that smaller banks are affected larger banks and learning and crises seems to drive the peer effect in funding liquidity risk of banks in those years.

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APA: Copy

ASADI, GHOLAMHOSSEIN, Abdo Tabrizi, Hossein, & Bakhtiarian, Tayebe. (2019). Strategic interaction on Liquidity Risk in Iranian Banks. JOURNAL OF MONETARY AND BANKING RESEARCHES, 12(40 ), 167-196. SID. https://sid.ir/paper/361973/en

Vancouver: Copy

ASADI GHOLAMHOSSEIN, Abdo Tabrizi Hossein, Bakhtiarian Tayebe. Strategic interaction on Liquidity Risk in Iranian Banks. JOURNAL OF MONETARY AND BANKING RESEARCHES[Internet]. 2019;12(40 ):167-196. Available from: https://sid.ir/paper/361973/en

IEEE: Copy

GHOLAMHOSSEIN ASADI, Hossein Abdo Tabrizi, and Tayebe Bakhtiarian, “Strategic interaction on Liquidity Risk in Iranian Banks,” JOURNAL OF MONETARY AND BANKING RESEARCHES, vol. 12, no. 40 , pp. 167–196, 2019, [Online]. Available: https://sid.ir/paper/361973/en

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