دوفصلنامۀ علمی مطالعات و سیاست‌های اقتصادی

دوفصلنامۀ علمی مطالعات و سیاست‌های اقتصادی

شبیه‌سازی آثار اجرای مقررات بازل سه بر ریسک سیستمی در بانک‌های ایران با استفاده از مدل‌سازی مبتنی بر عامل

نوع مقاله : علمی - پژوهشی

نویسندگان
1 دانشجوی دکتری دانشگاه تهران
2 استاد، دانشکده اقتصاد، دانشگاه تهران، تهران، ایران.
چکیده
یکی از مهم‌ترین تفاوت‌ها میان بازل II و بازل III، فارغ از نسبت کفایت سرمایه بیشتر در بازل III نسبت به بازل II در مازاد الزامات سرمایه‌ای است که برای برخی بانک‌های دارای اهمیت سیستمی (systemically important financial institutions (SIFIs)) در نظر گرفته شده است. برای مقایسه این دو چهارچوب مقرراتی از مدل مبتنی بر عامل برای شبیه‌سازی نظام مالی و اقتصاد واقعی استفاده شده است. این شبیه‌سازی بر پایه داده‌های واقعی ترازنامه بانک‌های ایران و بانک مرکزی در سال 1400 انجام گرفته است.[1] خانوار، بنگاه، بانک‌ها و بانک مرکزی، عوامل موجود در این مدل‌سازی هستند. نتایج شبیه‌سازی نشان می‌دهد اعمال چهارچوب مقرراتی بازل  III منجر به کاهش ریسک سیستمی (بر مبنای شاخص رتبه‌بندی بدهی (DebtRank)) شده است. با این حال، کاهش ریسک سیستمی با انقباض در بازار بین‌بانکی همراه است. نتایج مؤید آن است که اجرای این مقررات منجر به کاهش کارایی در اقتصاد می‌شود. به عبارت دیگر، مازاد سرمایه پیش‌بینی‌شده برای بانک‌های با اهمیت سیستمی در چهارچوب بازل III می‌تواند آثار جانبی موافق چرخه‌ای (pro-cyclical) به همراه داشته باشد.
کلیدواژه‌ها

موضوعات


عنوان مقاله English

Assessing the Impact of Basel III Regulations on Systemic Risk in Iranian Banks: An Agent-Based Modeling Approach

نویسندگان English

monire hamldar 1
Akbar Komijani 2
Mohsen Mehrara 2
1 PHD Candidate in university of tehran
2 Professor, Faculty of Economics, University of Tehran, Tehran, Iran.
چکیده English

A key distinction between the Basel II and Basel III frameworks lies not only in the heightened capital requirements under the latter but also in the imposition of additional capital surcharges on systemically important financial institutions. This study examines the differential effects of these two regulatory regimes on systemic risk within the Iranian banking sector using an agent-based model that simulates interactions among key economic agents—households, firms, banks, and the central bank. The model is calibrated using actual balance sheet data from Iranian banks and the Central Bank of Iran for 2021. Systemic risk is measured via the DebtRank index, which captures the propagation of financial distress through interbank exposures. The simulation results indicate that adopting the Basel III framework reduces systemic risk. However, this improvement in financial stability is accompanied by a contraction in interbank market activity and a decline in overall economic efficiency. These findings suggest that the additional capital surcharges imposed on systemically important banks under Basel III may generate procyclical side effects, potentially constraining credit provision and real economic growth during non-crisis periods.

کلیدواژه‌ها English

Systemic Risk
Agent-Based Model
Basel III
DebtRank Index
Procyclical Effects
سیاهه منابع
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