Investigating the impact of monetary policy on systemic risk

Document Type : Original Article

Authors

1 Assistance professor, department of Islamic financial management, faculty of management and economics, Imam Hossein university, tehran, Iran.

2 M.A of financial management, Khatam University, tehran, Iran.

Abstract

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.

Keywords

References

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Budget and Finance Strategic Research
Volume 1, Issue 1 - Serial Number 1
Spring Quarterly
May 2020
Pages 11-40

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History

  • Receive Date: 06 June 2019
  • Revise Date: 09 December 2019
  • Accept Date: 16 December 2019

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