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Information Journal Paper

Title

Evaluation of the Effect of the Banking Sector Systemic Risk on the Macroeconomic Performance of Iran

Pages

  297-319

Abstract

 Objective Systemic Risk is the cause of many financial crises and has adverse effects on economic performance at the macro level. For effective policy-making of Systemic Risk management, it is necessary to measure and monitor Systemic Risk and to study the mechanism of its effect on macro-economy. This paper aims at investigating the relationship between banking sector Systemic Risk and the performance of macroeconomic indexes including Gross Domestic Production (GDP), GDP without oil, the components of GDP and the value added of the sectors. Methods One of the best Systemic Risk measures is SRISK Index which is used in this article, and the relationship between the changes of macroeconomic indexes and the changes of SRISK is evaluated using autoregressive distributed lags model. Results There is a significant negative relationship between the banking sector Systemic Risk of Iran and GDP (with and without oil) for horizon of 12 months. Value added of construction, financial sector and industry sector is influenced more than other sectors from the changes of Systemic Risk of banking system. Furthermore, all of the components of GDP are influenced by the changes of Systemic Risk but this influence is stronger and more durable for the fixed investment component. Conclusion In addition to the increase of the probability of financial crisis, the increasing of Systemic Risk has long-term adverse effects on macroeconomic performance and investments. In order to take a timely measure for decreasing the adverse effects of Systemic Risks, Policy-makers should monitor SRISK Index continuously

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    APA: Copy

    TEHRANI, REZA, Seraj, Mostafa, Foroush Bastani, Ali, & FALLAHPOUR, SAEED. (2020). Evaluation of the Effect of the Banking Sector Systemic Risk on the Macroeconomic Performance of Iran. FINANCIAL RESEARCH, 22(3 ), 297-319. SID. https://sid.ir/paper/956141/en

    Vancouver: Copy

    TEHRANI REZA, Seraj Mostafa, Foroush Bastani Ali, FALLAHPOUR SAEED. Evaluation of the Effect of the Banking Sector Systemic Risk on the Macroeconomic Performance of Iran. FINANCIAL RESEARCH[Internet]. 2020;22(3 ):297-319. Available from: https://sid.ir/paper/956141/en

    IEEE: Copy

    REZA TEHRANI, Mostafa Seraj, Ali Foroush Bastani, and SAEED FALLAHPOUR, “Evaluation of the Effect of the Banking Sector Systemic Risk on the Macroeconomic Performance of Iran,” FINANCIAL RESEARCH, vol. 22, no. 3 , pp. 297–319, 2020, [Online]. Available: https://sid.ir/paper/956141/en

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