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Interbank exposures: an empirical examination of systemic risk in the Belgian banking system

Degryse, Hans; Nguyen, Grégory - 2004

interbank market is a potential important driving factor in the risk and impact of interbank contagion. We investigate the … evolution of contagion risk for the Belgian banking system over the period 1993-2002 using detailed information on aggregate … decreased the risk and impact of contagion. Moreover, an increase in the proportion of cross-border interbank assets has lowered …

Persistent link: https://www.econbiz.de/10011506565

Risk, uncertainty and monetary policy

Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - 2012

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility (“uncertainty”), we find that a lax monetary policy decreases...

Persistent link: https://www.econbiz.de/10011506749

Regime switches in the volatility and correlation of financial institutions

Boudt, Kris; Daníelsson, Jón; Koopman, Siem Jan; … - 2012

We propose a parsimonious regime switching model to characterize the dynamics in the volatilities and correlations of US deposit banks' stock returns over 1994-2011. A first innovative feature of the model is that the within-regime dynamics in the volatilities and correlation depend on the shape...

Persistent link: https://www.econbiz.de/10011506747