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Investigating the effect of risk and competitiveness indicators of banks on systemic risk with the marginal expected shortfall (MES) approach using the GMM model
Abstract
Systemic risk has been considered one of the new concepts in the field of finance since 2008 and this risk is more considered in the banking industry due to the close relationship between banks in their daily operations. Therefore, identifying the factors affecting this risk in the banking industry is the main purpose of this study. In this study, the relationship between macroeconomic indicators (interest rate, economic growth rate, and inflation), risk (liquidity and default risk), and competitiveness (Herfindahl-Hirschman index and asset size) using banks' data from 2009 to date and with The GMM data panel method was tested.
The results of the modeling show that there is a significant and direct relationship between the default risk index (credit) and systemic risk of the banking industry. Also, in all competition indicators, including the Herfindahl-Hirschman index and the size of banks, there is a direct relationship, and in macroeconomic indicators, the relationship between interest rates and inflation with the systemic risk of banks is direct and significant.
Keywords: Systemic risk, Economic growth rate, inflation Herfindahl-Hirschman, index credit risk