Strategic interaction on Liquidity Risk in Iranian Banks (in Persian)

Gholamhossein Asadi (), Hossein Abdo Tabrizi () and Tayebe Bakhtiarian ()
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Gholamhossein Asadi: Faculty of management and Accounting, Shahid Beheshti University
Hossein Abdo Tabrizi: Faculty of management and Accounting, Shahid Beheshti University
Tayebe Bakhtiarian: Faculty of management and Accounting , Shahid Beheshti University

Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2019, vol. 12, issue 40, 167-196

Abstract: The peer effects induced by social interactions have been studied empirically for several socio-economic phenomena in the last three decades. Before, economists have considered preferences of actors as exogenous parameters which are a tradition rooted in the work of Milton Friedman. But most recently, many economists have studied processes of preference formation of actors and have developed theoretical models of endogenous preferences. The aim of this study is also to examine strategic interaction or peer effect systemic component on funding liquidity risk in banking industry of Iran and whether banks’ liquidity and maturity mismatch decisions of assets and liabilities are affected by the choices of competitors or not. The research sample includes all active banks of Iran from 2002 to 2016 and the model used is the liner regression model based on Manskichr('39')s assumptions and instrumental variable approach. The evidences suggest that smaller banks are affected larger banks and learning and crises seems to drive the peer effect in funding liquidity risk of banks in those years.

JEL-codes: G21 G33 (search for similar items in EconPapers)
Date: 2019
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