نوع مقاله : مقاله پژوهشی
نویسندگان
1 گروه مدیریت، دانشکده علوم اجتماعی و اقتصادی، دانشکاه الزهرا، تهران، ایران
2 گروه مدیریت، دانشگاه الزهرا، دانشکده علوم اجتماعی و اقتصاد، ایران، تهران
3 دانشیار، گروه ریاضیات و آمار، دانشگاه علامه طباطبایی، دانشکده علوم ریاضی و آمار، ایران، تهران.
4 استادیار، گروه آموزشی مالی و بانکی، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبائی، تهران، ایران
چکیده
کلیدواژه‌ها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
The purpose of this research is to investigate the impact of risk-adjusted deposit insurance pricing using the option pricing theory on net stable funding and liquidity creation in Iran's banking system. In this regard, the panel vector regression method has been used. To measure the liquidity creation index, Berger and Bouwman (2009) method was used. Also, the net stable funding ratio has been used to calculate stable funding. The results show that risk-adjusted deposit insurance pricing has a positive effect on the net stable funding ratio and significant negative effects on liquidity creation. According to the results of the Granger causality test, there is a causal relationship between the deposit insurance rate and liquidity creation and net stable funding. The results of the analysis of the impulse response functions indicate that the effect of the impulse of the deposit insurance rate, estimated as one standard deviation, on the creation of liquidity and net stable funding in the early years of the process, but after that it had a decreasing effect; But the intensity of this effect is greater on the creation of banks' liquidity.
کلیدواژه‌ها [English]
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