Dynamic Measurement of Iran Interbank Network Stability

Zanganeh, Tayebeh; Rastegar, Mohammad Ali; Chavoshi, Kazem; Fallahshams, Mir Feyz

doi:10.22054/qjma.2021.47435.2077

Document Type : Research Paper

Authors

¹ Department of financial management, Science and Research branch, Islamic Azad University, Tehran, Iran

² Financial Engineering Group, Industrial &amp;amp; Systems Engineering, Tarbiat Modares University

³ Assistant Prof., Department of Business Administration, Faculty of Management, Kharazmi University, Tehran, Iran

⁴ Department of Management, Tehran Markaz Branch, Islamic Azad University, Tehran, Iran.

https://doi.org/10.22054/qjma.2021.47435.2077

Abstract

Entering into the interbank market in order to balance profitability and liquidity risk management, depending on the conditions of short-term activities, banks are required to equip resources through this market or to lend short-term loans to other banks. Banks' commitments to each other mainly arise in the interbank market, which can lead to increased systemic risk due to the spillover effect. Therefore, the objective of this paper is to analyze the network dynamic stability of the Iranian overnight money market through methods of statistical mechanics applied to complex networks .The results show that the network structure changes during time depending economic conditions. Systemic risk measures such as clustering coefficient, average short path, heterogeneity and centrality, show that the networks systemic risk increases and then by occurring default and crisis in one bank, default spillover during the domino effect in whole network. Also, in the event of failure, the most vulnerable group is to privatized and specialist governmental banks, and the private banks, due to the high volume of exchanges and net negative flows, can put a considerable systemic risk to the interbank market network. Morever, the signals of speculative activity by private banks are found.

Keywords

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Empirical Studies in Financial Accounting

Dynamic Measurement of Iran Interbank Network Stability

References

References

Volume 17, Issue 68
January 2021
Pages 167-197

Dynamic Measurement of Iran Interbank Network Stability

References

References

Volume 17, Issue 68January 2021Pages 167-197

Volume 17, Issue 68
January 2021
Pages 167-197