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Namaki, A., Raei, R., Pourtalebi Jaghargh, M. (2023). Bank Competition and Systemic Risk of Banking System in Iran. , 58(3), 459-485. doi: 10.22059/jte.2023.362423.1008835
Ali Namaki; Reza Raei; Mohammad Pourtalebi Jaghargh. "Bank Competition and Systemic Risk of Banking System in Iran". , 58, 3, 2023, 459-485. doi: 10.22059/jte.2023.362423.1008835
Namaki, A., Raei, R., Pourtalebi Jaghargh, M. (2023). 'Bank Competition and Systemic Risk of Banking System in Iran', , 58(3), pp. 459-485. doi: 10.22059/jte.2023.362423.1008835
Namaki, A., Raei, R., Pourtalebi Jaghargh, M. Bank Competition and Systemic Risk of Banking System in Iran. , 2023; 58(3): 459-485. doi: 10.22059/jte.2023.362423.1008835

Bank Competition and Systemic Risk of Banking System in Iran

فصلنامه تحقیقات اقتصادی
Volume 58, Issue 3 - Serial Number 144, December 2023, Pages 459-485    PDF (1.1 M)
Document Type: Research Paper
DOI: 10.22059/jte.2023.362423.1008835
Authors
Ali Namaki* ; Reza Raei; Mohammad Pourtalebi Jaghargh
Department of Financial Management and Insurance, Faculty of Management, University of Tehran, Tehran, Iran
Abstract
Bank competition and financial stability is one of recent topics which researchers have paid attention since global financial crisis. This study is investigating the effect of competition on systemic stability in Iran’s banking system.
Statistical population is all Iranian banks under supervision of centeral bank and our sample consist of 20 banks in period of 2009 and 2021. Lerner index and Herfindahl–Hirschman index are proxies of market power and concentration respectively. ΔCoVaR is our systemic risk measure which can be decomposed into its components.
Lerner index had a statistically significant positive relationship with ΔCoVaR while HHI didn’t. Market power haven’t shown any effect on idiosyncratic tail risk and the risk caused by macroeconomic and financial factors, as well as the combination of the two, and in other words, it doesn’t affect the overall systemic risk through this channel. However, the HHI has had a positive and significant effect. Also, market power has a positive and significant relationship with the interconnectedness component, while the concentration index has not shown a significant relationship.
This study has proven that the more competitive system, the more stable. Meanwhile, market power affects systemic risk through interconnectedness, but idiosyncratic risk is the effective channel for concentration.
JEL Classification: D40, G11, G21
Keywords
Bank Competition; Lerner Index; Market Power; Systemic Risk; ΔCoVaR
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