بررسی رابطه متنوع سازی منابع و مصارف بانکی و ریسک سیستمی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار، گروه اقتصاد اسلامی، دانشکده علوم اقتصادی و اداری، دانشگاه قم، قم، ایران

2 گروه حسابداری و مدیریت، دانشگاه آزاد اسلامی، واحد کرج، کرج، ایران

3 استاد، دانشکده اقتصاد، دانشگاه تهران، تهران، ایران

10.22051/jfm.2024.45357.2874

چکیده

هدف پژوهش حاضر بررسی رابطه بین متنوع‌سازی منابع و مصارف بانکی با ریسک سیستمی در نظام بانکی کشور بوده است. در این راستا، بانک­های پذیرفته شده در بورس اوراق بهادار تهران مورد ارزیابی قرار گرفتند. به منظور برآورد ریسک سیستمی از معیار ارزش در معرض خطر شرطی استفاده شد. همچنین، در راستای برآورد تاثیر متنوع‌سازی منابع و مصارف بانکی بر ریسک سیستمی از روش داده­های پنلی و رگرسیون کوانتایل در بازه زمانی 1390-1401 برای منتخبی از بانک­های کشور استفاده گردید. نتایج بدست آمده از این پژوهش بیانگر این بود که متنوع‌سازی منابع و مصارفی بانکی به دلیل اینکه منجر به وابستگی بیشتر بین نهادهای مالی و همچنین، ترکیب مختلفی از دارایی­های مالی می­شود منجر به افزایش در ریسک سیستمی و سرایت آن به سایر نهادهای مالی می­شود. در مدل برآورد شده ضریب اثرگذاری شاخص متنوع‌سازی منابع بانک بر ریسک سیستمی در مدل رگرسیونی داده­های پنلی معادل با 45/1 و در رگرسیون کوانتایل معادل 33/1 بوده است. علاوه بر این، با توجه به نتایج رگرسیون کوانتایل می­توان بیان کرد که اثر گذاری شاخص تنوع‌سازی منابع و مصارف در گروه­های مختلف بانکی با توجه به میزان ریسک سیستمی متفاوت بوده است. بالا بودن ریسک سیستمی در ایران نشان می‌دهد به‌رغم وجود نظارت بر بخشی از نهادهای مالی، ریسک سیستمی فعالیت‏‏های مالی بیش از اندازه بوده و همین امر شاید لزوم وجود مرجع ناظر مؤثر را مطرح می‏کند

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Examining the Relationship between Diversification of Banking Resources and Expenses and Systemic Risk

نویسندگان [English]

  • Yazdan Gudarzi Farahani 1
  • Zoleikha Morsali Arzanagh 2
  • Mohsen Mehrara 3
1 Faculty of Economic and Administrative Sciences, University of Qom
2 Department of Accounting and Management, Islamic Azad University, Karaj Branch, Karaj, Iran
3 Professor, Faculty of Economics, University of Tehran, Tehran, Iran.
چکیده [English]

The purpose of this article was to investigate the relationship between the diversification of banking resources and expenses with systemic risk in the country's banking system. In this regard, the accepted banks in the Tehran Stock Exchange were evaluated. In order to estimate the systemic risk, the criterion of conditional value at risk was used. Also, in order to estimate the impact of diversification of banking resources and expenses on systemic risk, panel data and quantile regression were used for a selection of banks in the country in the period of 2010-2022. The results obtained from this study indicated that the diversification of banking resources and expenses, because it leads to more dependence between financial institutions, as well as a different combination of financial assets, leads to an increase in systemic risk and contagion. It goes to other financial institutions. In the estimated model, the coefficient of influence of bank diversification index on systemic risk in panel data regression model is equal to 1.45 and in quantile regression it is equal to 1.33. In addition, according to the results of the quantile regression, it can be stated that the effect of diversification index of sources and expenses in different banking groups has been different according to the level of systemic risk. The high level of systemic risk in Iran shows that despite the existence of supervision of some financial institutions, the systemic risk of financial activities is excessive, and this perhaps suggests the need for an effective supervisory authority.

کلیدواژه‌ها [English]

  • Diversification
  • Systemic risk
  • Banking system
  • Conditional value at risk
  • Panel data

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  • تاریخ دریافت: 30 مهر 1402
  • تاریخ بازنگری: 30 دی 1402
  • تاریخ پذیرش: 18 اردیبهشت 1403

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