نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشکده علوم اقتصادی و اداری، دانشگاه قم
2 گروه اقتصاد/دانشگاه قم
3 دانشجوی کارشناسی ارشد اقتصاد دانشگاه قم
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
The purpose of this study is to investigate the quantitative relationship of risk spillover using the TVP-VAR-BK model for insurance companies, banks, and investment in Iran's economy. In order to analyze the results, the TVP-VAR-BK model method was used in the period of 2012-2023 based on the frequency of daily data. The results obtained from the network analysis of the research showed that, in general, the risk spillover from investment companies was transferred with a high intensity to the insurance companies and with a lower intensity to the banking industry, and also the risk spillover as it has been weakly transferred from the insurance industry to banking. In the short-term period, the risk spillover has been strongly transferred from investment to the bank and less intensively from investment to the insurance industry. In the medium-term period, risk spillover has been from investments to insurance and weakly from banks to investments. Also, during this period, there has been a transfer of profits from the insurance industry to the bank. In the long-term period, the return has been strongly transferred from investment to insurance and more strongly from insurance to bank.
The purpose of this study is to investigate the quantitative relationship of risk spillover using the TVP-VAR-BK model for insurance companies, banks, and investment in Iran's economy. In order to analyze the results, the TVP-VAR-BK model method was used in the period of 2012-2023 based on the frequency of daily data. The results obtained from the network analysis of the research showed that, in general, the risk spillover from investment companies was transferred with a high intensity to the insurance companies and with a lower intensity to the banking industry, and also the risk spillover as it has been weakly transferred from the insurance industry to banking. In the short-term period, the risk spillover has been strongly transferred from investment to the bank and less intensively from investment to the insurance industry. In the medium-term period, risk spillover has been from investments to insurance and weakly from banks to investments. Also, during this period, there has been a transfer of profits from the insurance industry to the bank. In the long-term period, the return has been strongly transferred from investment to insurance and more strongly from insurance to bank.
کلیدواژهها [English]
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