The effect of macroeconomic and specific banking variables on systemic risk Cupola Covar approach

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Etemadi Kimia; EYVAZLOO REZA; Mirlohi Seyyed Mojtaba

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Journal Paper

Paper Information

Journal: JOURNAL OF ECONOMIC MODELING Year:2020 | Volume:5 | Issue:3 (18) Page(s): 9-33

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Title

The effect of macroeconomic and specific banking variables on systemic risk Cupola Covar approach

Author(s)

Etemadi Kimia | EYVAZLOO REZA | Mirlohi Seyyed Mojtaba | Issue Writer Certificate

Keywords

Systemic RiskQ2

Banking SystemQ2

Capula FunctionQ1

Conditional Value at RiskQ1

Abstract

This study estimates Systemic Risk of banks using the Copula function and Conditional Value at Risk and examine the extend to which macroeconomic and bank-specific variables contribute to systemic risrk. we use the statistical information of banks from 2014 to 2019. To describe the dependence between two-time series, the Gumble-Copula with marginal distribution of GARCH-DCC is used. The results indicate that banks' returns were more dependent on the upper distribution tail. According to the results of the estimation the Systemic Risk of different banks was significantly different. Further, the results indicate that the banks' size and cash flow had a negative effect, while the Value at Risk of bank has positive effect on the CoVaR index. Finally, the banks' ROA had a positive and significant effect on the banks' Systemic Risk.

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APA: Copy

Etemadi, Kimia, EYVAZLOO, REZA, & Mirlohi, Seyyed Mojtaba. (2020). The effect of macroeconomic and specific banking variables on systemic risk Cupola Covar approach. JOURNAL OF ECONOMIC MODELING, 5(3 (18) ), 9-33. SID. https://sid.ir/paper/400805/en

Vancouver: Copy

Etemadi Kimia, EYVAZLOO REZA, Mirlohi Seyyed Mojtaba. The effect of macroeconomic and specific banking variables on systemic risk Cupola Covar approach. JOURNAL OF ECONOMIC MODELING[Internet]. 2020;5(3 (18) ):9-33. Available from: https://sid.ir/paper/400805/en

IEEE: Copy

Kimia Etemadi, REZA EYVAZLOO, and Seyyed Mojtaba Mirlohi, “The effect of macroeconomic and specific banking variables on systemic risk Cupola Covar approach,” JOURNAL OF ECONOMIC MODELING, vol. 5, no. 3 (18) , pp. 9–33, 2020, [Online]. Available: https://sid.ir/paper/400805/en

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