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نام و نام خانوادگی
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اطلاعات کتابشناختی
عنوان اصلی: سنجش ريسك سيستمي ناشي از شوك ارزي در بازارهاي مالي ايران در چارچوب اقتصاد مقاومتي
پدیدآورندگان : سعيد محمدي اقدم (پديدآور)
دانشگاه امام صادق(ع) (پديدآور)
معارف اسلامي و مديريت (پديدآور)
نوع : متن
جنس : مقاله
catalog
چاپ
صاحب محتوا :

دانشگاه امام صادق

توصیفگر : بازار سرمايه
اقتصاد مقاومتي
Capital market
Resistance economy
Insurance market
شوك ارزي
Systemic risk
ريسك سيتمي
Money market
Spillover of fluctuations
بازار بيمه
سرايت پذيري نواسانات
بازار پول
Currency shock
وضعیت نشر : تهران : : دانشگاه امام صادق(ع).دانشكده معارف اسلامي و مديريت ، ، ۱۳۹۷
مشخصات فیزیکی : ۱۶۰ ص.
خلاصه : Over the past few years, financial markets faced various types of disappointments, including financial crises, oil shocks, currency policy changes, and similar issues at different levels and levels of severity. The currency crisis is one of the crises that can threaten countries at the domestic and international levels. The crisis has the potential to affect the activity of firms and the decision makers on a general level, or at macro level, affect markets, including financial markets and the environmental economy. Over the past few decades, Iran has faced a currency crisis similar to other countries, and its effects have emerged in various sectors of the economy. A shock or a momentum that is considered a crisis is similar to the crisis, with different effects that in some circumstances are not limited to the target market and spill-over to other markets. Therefore, it is important to examine the intensity and direction of the diffusion of fluctuations from one market to another. The purpose of this study is to measure the effect of currency shock and the degree of systemic risk in the money, capital and insurance market. In this regard, by choosing the conditional value at risk named Covar and estimating it by using a quantile regression model, the estimated systemic risk based on seasonal frequency is presented from the second quarter of 2000 to the fourth quarter of 2016. The process of estimating the model is that in the beginning, the effects of currency shock on the level of financial markets, namely, insurance, capital and money markets, were calculated by using the conditional value at risk measure in terms of foreign exchange fluctuations. In the second stage, the value of the conditional risk conditional on fluctuations in other markets for each market was estimated to be used to estimate system risk. Finally, the volatility of fluctuations between markets was estimated using the Covar estimated through quantile regressions and in several stages. The results confirm the hypothesis of the effect of currency shock with different levels and intensity in the formation and strengthening of risk in all three markets; the second stage of the results showed that the insurance market was faced with the highest volatility in comparison with the other two markets In addition, the issue of the systemic risk position in a resilient economy can be explained in such a way that a resilient economy in its role of adopting an active approach to vulnerable points of crisis and impulses, including sanctions, is an artificial exogenous variable that can It can be the source of fluctuations and the risk of systemic risk. In this regard, the policymaker must first identify the vulnerabilities of the market or institution; based on the school of resistance and its components, different policies and strategies and their importance factor. Further, by writing a comprehensive plan and adopting appropriate policies and procedures to prevent a financial crisis, reduce the effects of fluctuations and transfer them to the minimum. Economic actors must also be implemented by adopting appropriate measures to guarantee the effective implementation of policies and regulations
یادداشت :
/ سعید محمدی اقدم
چكيده ها: فارسي - عربي - انگليسي
شناسه : 408803
تاریخ ایجاد رکورد : 1397/9/13
قیمت شيء دیجیتال : رایگان


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