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Bank volatility connectedness in South East Asia
Yılmaz, Kamil - 2018
This paper presents an analysis of the volatility connectedness of major bank stocks in the South East Asia (SEACEN …) region between 2004 and 2016. Applying the Diebold-Yilmaz Connectedness Index (DYCI) framework to daily stock return … dynamic bank volatility network. The volatility connectedness increased substantially during the US financial crisis (from …
Persistent link: https://www.econbiz.de/10011810501
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Interconnectedness of Global Systemically-Important Banks and Insurers
Malik, Sheheryar - 2017
) has important financial stability implications. This paper examines connectedness among United States, European and Asian … 2016. Results reveal strong regional clusters of return and volatility connectedness amongst GSIBs and GSIIs. Compared to …-based connectedness. Total system connectedness-i.e., among all GSIBs and GSIIs-tends to rise during financial stress, which is …
Persistent link: https://www.econbiz.de/10012944965
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Volatility connectedness of bank stocks across the Atlantic
Yılmaz, Kamil - 2014
This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and … direction of the volatility connectedness was from the US banks towards the EU banks. However, once the financial crisis became … global in the last quarter of 2008, volatility connectedness became bi-directional. The surge in volatility connectedness …
Persistent link: https://www.econbiz.de/10010239322
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Updating Forecasts in Vector Autoregression Models with an Application to the Canadian Banking Industry
Zhu, Hui - 2014
Forecasting firms' earnings has long been an interest of market participants and academics. Traditional forecasting studies in a multivariate time series setting do not take into account that the timing of data release for a specific time period of observation is often spread over several days...
Persistent link: https://www.econbiz.de/10013058897
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Evaluation of the post-crisis EU banking network connectedness in the global context
Legenzova, Renata; Gaigalienė, Asta; Jurakovaitė, Otilija - In: Oeconomia Copernicana 10 (2019) 1, pp. 37-53
Persistent link: https://www.econbiz.de/10012230279
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Do non-performing loans matter for bank lending and the business cycle in euro area countries?
Huljak, Ivan; Martin, Reiner; Moccero, Diego; Pancaro, … - 2020
We contribute to the empirical literature on the impact of non-performing loan (NPL) ratios on aggregate banking sector variables and the macroeconomy by estimating a panel Bayesian VAR model for twelve euro area countries. The model is estimated assuming a hierarchical prior that allows for...
Persistent link: https://www.econbiz.de/10012216605
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Estimating the impact of shocks to bank capital in the euro area
Kanngiesser, Derrick; Martin, Reiner; Maurin, Laurent; … - 2017
We contribute to the empirical literature on the impact of shocks to bank capital in the euro area by estimating a Bayesian VAR model identified with sign restrictions. The variables included in the VAR are those typically used in monetary policy analysis, extended to include aggregate banking...
Persistent link: https://www.econbiz.de/10011662933
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Measuring and stress-testing market-implied bank capital
Indergand, Martin; Jondeau, Eric; Fuster, Andreas - 2022
We propose a methodology for measuring the market-implied capital of banks by subtracting from the market value of equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that without such a correction, the estimated impact of a...
Persistent link: https://www.econbiz.de/10013168743
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The impact of domestic and global factors on individual public, domestic and foreign bank performances in Türkiye
Çiçek, Serkan; Yıldırım, Aynur - In: Central Bank review / Central Bank of the Republic of Turkey 24 (2024) 1, pp. 1-16
The Turkish economy has encountered significant shocks in interest rates and foreign exchange along with global risks in recent years. These shocks had an impact not only on the real sector but also on the banking sector's returns, depending on the ownership structure. This study examines the...
Persistent link: https://www.econbiz.de/10014518481
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Derivatives Holdings and Systemic Risk in the U.S. Banking Sector
Rodriguez-Moreno, Maria - 2013
This paper studies the impact of the banks' portfolio holdings of financial derivatives on the banks' individual contribution to systemic risk over and above the effect of variables related to size, interconnectedness, substitutability, and other balance sheet information. Using a sample of 95...
Persistent link: https://www.econbiz.de/10013091940