TY - JOUR ID - 113332 TI - The Effects of Monetary and Fiscal Policies on the Systemic Risk of Iran's Financial Markets (SURE Approach in Panel Data) JO - Iranian Journal of Finance JA - IJF LA - en SN - 2676-6337 AU - Ranjandish, Neda AU - Damankeshideh, Marjan AU - Momeni Vesalian, Houshang AU - Afsharirad, Majid AD - Ph.D. Candidate, Department of Economics, Central branch of Tehran, Islamic Azad University, Tehran, Iran. AD - Assistant Prof., Department of Economics, Central branch of Tehran, Islamic Azad University, Tehran, Iran. AD - Associate Prof., Department of Economics, Kharazmi University, Tehran, Iran. Y1 - 2020 PY - 2020 VL - 4 IS - 1 SP - 1 EP - 24 KW - Monetary and Fiscal Policies KW - systemic risk KW - Financial Markets KW - Iran KW - SURE in Panel Data Approach DO - 10.22034/ijf.2020.230256.1123 N2 - The mutual relationship between monetary and fiscal policies and value at risk is one of the most important topics in the financial economics literature and accounts for the vast majority of empirical studies. Therefore, the main objective of this paper is to investigate the effects of monetary and fiscal policies on conditional value at risk in the financial sectors of the stock exchange, bank and insurance during the years 1995-2017. For this purpose, by quantile regression method and in the form of Adrian and Brunnermeier approach, the conditional value at risk of these three financial sectors is estimated and then by using the seemingly unrelated regression equation approach in panel data evaluated the effect of liquidity money variables. The interest rate on facility payments, the real exchange rate, the government's budget deficit, real GDP growth, and the degree of economic openness are subject to conditional risk. The results of the model estimation indicate the significance of the effect of liquidity money, interest rate on facility payments and real exchange rate variables on conditional value at risk in each of three relevant equations, and real GDP growth variable in the model, Exposure to the conditional value at risk of the insurance sector has a negative and significant effect. Also, the degree of openness of the economy in any of the three estimated equations has no significant effect on the conditional value at risk.  UR - https://www.ijfifsa.ir/article_113332.html L1 - https://www.ijfifsa.ir/article_113332_8704c54d1c83a33e437c0f18f4161d95.pdf ER -