کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7373887 | 1479771 | 2018 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Effect of banking and macroeconomic variables on systemic risk: An application of ÎCOVAR for an emerging economy
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This article examines systemic risk in the Brazilian banking sector, paying specific attention to the role of accounting and macroeconomic variables in shaping systemic risk. Based on data for the period from 2011 to 2015, we perform an analysis in two steps. In the first step, we measure the systemic risk in Brazil based on ÎCoVaR framework. In the second step, we present empirical evidence from a panel data analysis regarding the determinants (banking and macroeconomic variables) of the systemic risk. The findings denote that the systemic risk measured using the ÎCoVaR methodology is consistent with the main events contained in the Financial Stability Reports issued by the Central Bank of Brazil. Furthermore, the empirical evidence highlights the importance of bank liquidity, profitability, leverage, and interest rate in determining systemic risk. One implication of this analysis is that prudential regulation policy must be coordinated with monetary policy in order to mitigate the systemic risk.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The North American Journal of Economics and Finance - Volume 43, January 2018, Pages 141-157
Journal: The North American Journal of Economics and Finance - Volume 43, January 2018, Pages 141-157
نویسندگان
Helder Ferreira de Mendonça, Rafael Bernardo da Silva,