Contribution of Islamic banks to systemic risk

Mohamed Amin Chakroun and Mohamed Gallali

International Journal of Banking, Accounting and Finance, 2017, vol. 8, issue 1, 52-92

Abstract: This study aims to compare Islamic to conventional banks in order to examine their contribution to systemic risk. It examines listed banks from six Middle Eastern countries using the marginal expected shortfall (MES) method to measure dynamic individual systemic risk. We then try to determine the factors affecting these systemic risk levels for each type of bank. Finally, we refer to the panel VAR model estimated by GMM to determine the impact of the shock in each type of bank's effect on financial stability. The main results show that conventional banks present a significant systemic risk than Islamic banks. This result does not prove that Islamic banks do not present a real danger to the overall system's stability. On the contrary, they significantly contribute to systemic risk mainly during unstable periods. We conclude that market risk and bank size represent the main factors that positively affect systemic risk of Islamic banks.

Keywords: Islamic finance; systemic risk; marginal expected shortfall; MES; GJR-DCC; panel VAR. (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.inderscience.com/link.php?id=85329 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:injbaf:v:8:y:2017:i:1:p:52-92

Access Statistics for this article

More articles in International Journal of Banking, Accounting and Finance from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().