Assessing the Systemic Risk in the Financial System of Iran using Granger Causality Network Method

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.

RAHIMI BAGHI ALI; ARABSALEHI NASRABADI MEHDI; VAEZ BARZANI MOHAMMAD

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

Journal Paper

Paper Information

Journal: FINANCIAL RESEARCH Year:2019 | Volume:21 | Issue:1 Page(s): 121-142

Download Full-Text

Persian Verion

View:

584

Download:

Cites:

Information Journal Paper

Title

Assessing the Systemic Risk in the Financial System of Iran using Granger Causality Network Method

Author(s)

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

Keywords

Financial InstitutionsQ1

Financial SystemsQ1

Granger Causality NetworkQ1

Systemic RiskQ1

Abstract

Objective: Systemic Risk occurs when failure or crisis in a particular segment of a market propagates to other segments and develops into a pervasive crisis, so that the loss incurred by one or more influential major institutions spreads to others. The precise and timely identification of Systemic Risk is an indispensable necessity in each country's financial system to prevent a financial crisis. In this regard, this study seeks to evaluate the Systemic Risk in Iran financial system. Methods: In the present study, we try to evaluate the Systemic Risk in the financial system of the country including banks, investment and insurance companies between 2011 and 2017 using Granger Causality Network method. Results: According to the results of this study, banking and insurance sectors have the highest and lowest Systemic Risk, respectively. In addition, the results showed that the systemic relationship between Financial Institutions changes over time. Finally, the Rank regression was used to validate the results of the research and it was found that the extracted results enjoy adequate validity. Conclusion: The results showed that, among the three sectors, banking sector imposed the largest impacts on others indicating high level of Systemic Risk in this sector. In other words, as a part of financial system of the country, banking system is of higher systemic importance than the other sectors, so that a possible crisis in this sector may easily spread to other sectors given its relatively large influence on other sectors.

Cites

No record.

References

No record.

Cite

APA: Copy

RAHIMI BAGHI, ALI, ARABSALEHI NASRABADI, MEHDI, & VAEZ BARZANI, MOHAMMAD. (2019). Assessing the Systemic Risk in the Financial System of Iran using Granger Causality Network Method. FINANCIAL RESEARCH, 21(1 ), 121-142. SID. https://sid.ir/paper/91146/en

Vancouver: Copy

RAHIMI BAGHI ALI, ARABSALEHI NASRABADI MEHDI, VAEZ BARZANI MOHAMMAD. Assessing the Systemic Risk in the Financial System of Iran using Granger Causality Network Method. FINANCIAL RESEARCH[Internet]. 2019;21(1 ):121-142. Available from: https://sid.ir/paper/91146/en

IEEE: Copy

ALI RAHIMI BAGHI, MEHDI ARABSALEHI NASRABADI, and MOHAMMAD VAEZ BARZANI, “Assessing the Systemic Risk in the Financial System of Iran using Granger Causality Network Method,” FINANCIAL RESEARCH, vol. 21, no. 1 , pp. 121–142, 2019, [Online]. Available: https://sid.ir/paper/91146/en

Related Journal Papers