Financial Stress Index for Iran's Financial System with Portfolio Theory Approach

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

FALLAHPOUR SAEED; Shirkavand Saeed; GHANBARI AKBAR

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: JOURNAL OF APPLIED THEORIES OF ECONOMICS Year:2019 | Volume:6 | Issue:2 Page(s): 101-134

Download Full-Text

Persian Verion

View:

423

Download:

Cites:

Information Journal Paper

Title

Financial Stress Index for Iran's Financial System with Portfolio Theory Approach

Author(s)

FALLAHPOUR SAEED | Shirkavand Saeed | GHANBARI AKBAR | Issue Writer Certificate

Keywords

Financial stress index (FSI)Q1

Iran's financial systemQ1

Multivariate GARCHQ1

Exponentially Weighted Moving Average (EWMA)Q1

Vector Autoregression (VAR) modelQ1

Abstract

Financial Stress Index as a measure of a systemic risk that quantify stress throughout the entire financial system and describes the contribution of each section of the financial market to the overall stress of the system. In this paper, a composite index for measuring the stress of the Iran’ s financial system proposed using a portfolio approach. This indicator is a combination of stress variables in different parts of the Iran’ s financial system (stock market, debt market, banking sector, money market and exchange rate market). To aggregate these variables, EWMA, dynamic conditional correlation (DCC-GARCH) and BEKK-GARCH used to examine the cross-correlations structure between the subindices during the period of March 2010 to March 2018. In the end, to determine which of the stress indicators designed for the financial system of Iran is more desirable, the results of the prediction of the VAR model used to explain the changes in GDP. The results of the comparison of the prediction criteria showed that differences in the performance of these indices are not significant, although the stress index produced by BEKK-GARCH method performed better and in comparison with the other two methods used to estimate subindices cross-correlation, better explains the changes in the economy activity.

Cites

No record.

References

No record.

Cite

APA: Copy

FALLAHPOUR, SAEED, Shirkavand, Saeed, & GHANBARI, AKBAR. (2019). Financial Stress Index for Iran's Financial System with Portfolio Theory Approach. JOURNAL OF APPLIED THEORIES OF ECONOMICS, 6(2 ), 101-134. SID. https://sid.ir/paper/384488/en

Vancouver: Copy

FALLAHPOUR SAEED, Shirkavand Saeed, GHANBARI AKBAR. Financial Stress Index for Iran's Financial System with Portfolio Theory Approach. JOURNAL OF APPLIED THEORIES OF ECONOMICS[Internet]. 2019;6(2 ):101-134. Available from: https://sid.ir/paper/384488/en

IEEE: Copy

SAEED FALLAHPOUR, Saeed Shirkavand, and AKBAR GHANBARI, “Financial Stress Index for Iran's Financial System with Portfolio Theory Approach,” JOURNAL OF APPLIED THEORIES OF ECONOMICS, vol. 6, no. 2 , pp. 101–134, 2019, [Online]. Available: https://sid.ir/paper/384488/en

Related Journal Papers

No record.

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops