Assessment of the Systemic Risk Originated from the Currency Shocks in the Financial Markets of Iran

Document Type : Research Paper

Authors

1 MSc, in Islamic Studies and Financial Management, Imam Sadiq University, Tehran, Iran.

2 Assistant Prof of Financial, Imam Sadiq University, Tehran, Iran

3 Associate Prof of Financial Management, Imam Sadiq University, Tehran, Iran

Abstract

In the recent years, financial assets markets have faced with a variety of uncertainties like financial crisis, Oil momentums, currency policy changes and some similar ones. Occurrence of shocks which are considered as weak degrees of crisis has always accompanied with the effects in the micro and macro levels. Besides, occurrence of shocks may not be limited to targeted market, but could spill-over to other markets, especially financial markets. Therefore, the estimation of the severity and the causality of spillover from one market to another have special importance. The survey aims to assess the currency shock effect and its systemic risk severity in the financial market named capital, insurance and money markets. In this regard, by selection of difference of conditional value at risk estimator based on the quantile regression, estimation of systemic risk in the financial markets based on the quarterly periods from second quarterly of 2000 until fourth quarterly of 2016 have been provided. First step consequences confirmed that currency shocks were effective in reinforcing risk of the three markets and the results of the second step offering a systemic risk assessment showed that insurance market has faced the most exposure and contagion than the other markets. In addition, the contagion severity in the capital market and money market are among the other indicators. Finally, policy makers should prevent formation of financial crisis or diminish the effects of fluctuations or spillover by offering a comprehensive plan and adopting appropriate strategies

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References

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Financial Research Journal
Volume 19, Issue 3
2017
Pages 475-504

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