Examining the relationship between economic policy uncertainty and systemic banking risk in Iran’s economy

The present study examines the relationship between economic policy uncertainty and systemic banking risk. For this purpose, the systemic banking risk was initially estimated using the Conditional Value at Risk (\Delta CoVaR) metric over ۲۰۱۱-۲۰۲۱ for ۱۷ banks listed on the stock market. The results indicate that Ayandeh Bank has the highest systemic risk, while Eghtesad Novin Bank has the lowest systemic risk. Subsequently, the effect of economic policy uncertainty, along with other banking and macroeconomic variables, on systemic banking risk was analyzed using the system generalized method of moments (GMM). The results show that economic policy uncertainty leads to an increase in systemic banking risk. Therefore, to reduce systemic banking risk and prevent crises, it is necessary to avoid shocks and uncertainty as much as possible. Additionally, the variables of the debt-to-net-assets ratio of banks and gross loans as a percentage of total bank assets have the most significant impact on increasing systemic risk. Hence, monitoring and controlling the level of lending and reducing default risk can lead to a decrease in systemic banking risk. The return on assets and total loan loss reserves divided by the gross value of loans have the most significant impact on reducing systemic risk. Therefore, diversifying assets and maintaining adequate reserves for crisis conditions, where the likelihood of loan defaults is higher, play a significant role in improving the conditions of banks and reducing the risks of loan defaults and systemic risk in the banking network.

کلیدواژه ها:

systemic bank risk ، economic policy uncertainty ، Conditional Value at Risk ، system generalized method of moments