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Measure of systemic risk in the interbank market in Iran by buffer capital and hyperlink-induced topic search algorithm
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Ahmad Goudarzi *1   , Raza Eivazlu , Raza Tehrani |
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Abstract: (852 Views) |
Considering that the interbank market is considered as a night market to provide short-term liquidity to banks, one of the most important risks in this market - due to the short-term nature of transactions in this market - is systemic risk. Exercising this risk cycle will have devastating effects on monetary policymakers, such as the 2007-2009 crisis.
In this study, first, the buffer capital model was used to measure the systemic risk of the interbank market; and then a hyperlink-induced topic search algorithm was used to determine the penetration coefficients and systemic risk of each bank.
The research findings show that systemic risk in the Rail interbank market has increased due to the time trend. In other words, the deeper the trading volume in this market, the higher the systemic risk. Also the hub rate. And the authority of this risk in banks subject to private banks is higher than other banks. increased due to the time trend. In other words, the deeper the trading volume in this market, the higher the systemic risk.
Capital adequacy and buffer capital are important factors in limiting systemic risk. Therefore, since most banks face the problem of capital shortage, systemic risk is considered a major threat to this market. |
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Full-Text [PDF 1290 kb]
(584 Downloads)
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Type of Study: Empirical Study |
Subject:
Monetary Policy, Central Banking, and the Supply of Money and Credit (E5)
Received: 2021/01/16 | Accepted: 2021/05/16 | Published: 2022/02/19
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