چکیده:
Systemic risk results from the externalities of bank distress onto the rest of the financial system or the real economy market. The purpose of this paper is investigating the impact of monetary policy on systemic risk. This paper from points of aim and method of data gathering is applied and correlation type in sequent. The required data was collected from Iranian banks in 2011-2018 period. The research model was estimated using vector error correction (VEC). The findings show long term and significant relation between monetary policy and systemic risk. Furthermore, findings show monetary policy affect systemic risk in two ways: bank's risk taking behavior and bank's balance sheet items.
خلاصه ماشینی:
Based on these researches, interest rate monetary policy affects systemic risk through changes in balance sheet items (Altunbas, Gambacorta and Marques-Ibanez 5, 2010) or through changes in risk-taking behavior and financing approaches (Faia and Karau, 6 2019).
Analysis of the literature on the subject indicates the existence of three categories of factors affecting systemic risk: the first category, bank-level factors (Rafiei Shamsabadi and Karimkhani, 1390; Ahmadian and Gorji, 1396; Adrian and Boyarchenko 1, 2017), the second category, banking industry-level factors (Safari and Ebrahimi, 1391; Lehar, 2 2005; Qash, 2016), and the third category, macroeconomics-related factors (Altonbas, 2010; Li, Chen, Wang, and Jiang 3, 2017; Smith and Sairin 4, 2018).
Lehar (2005); Huang, Zhou & Zhu 1 (2009); Guerra & Sayerin (2015); Aldasoro, Gatti & Faia 2 (2017); Robatto 3 (2019) in a study utilizing the Merton model and using Cholesky decomposition 4 to obtain the cumulative systemic risk index of the group of banks, attempted to calculate the default probability of several banks.
Smith & Sayerin (2018); Brana, Kempis & Lepticro (2018); Colletaz, Leviugue & Popescu 1 (2018), by considering the monetary policies of different countries, addressed the relationship of credit risk of the studied banks, which have international connections and external financing.
Dalla & Varelas 21 2018; Colletaz, Leviugue & Popescu, 2018; Agur & Demertzis 1, 2019) shows that one of the factors that affects systemic risk is the monetary policy of the central bank.
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