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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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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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Measuring Interconnectedness Between Financial Institutions with Bayesian Time-Varying Vector Autoregressions
Geraci, Marco Valerio - 2018
We propose a market-based framework that exploits time-varying parameter vector autoregressions to estimate the dynamic network of financial spillover effects. We apply it to financials in the Standard & Poor's 500 index and estimate interconnectedness at the sector and institution level. At the...
Persistent link: https://www.econbiz.de/10012936644
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Measuring the Systemic Importance of Banks
Moratis, George - 2020
CDS movements. We apply this to all banks that issue publicly traded CDS contracts among the world's biggest 150 and …
Persistent link: https://www.econbiz.de/10012830827
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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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Credit Ratings as Indicators of Implicit Government Support for Global Systemically Important Banks
Araten, Michel - 2013
We examine the assertion that ratings from the ratings agencies that explicitly assume governmental support for Global Systemically Important Banks (G-SIBs) translate into lower spreads and a funding cost advantage for those G-SIBs. We analyze whether the market over the past 14 years in fact...
Persistent link: https://www.econbiz.de/10013081236
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Understanding the Funding Cost Differences between Global Systemically Important Banks (G-SIBs) and Non-G-SIBs in the United States
Araten, Michel - 2013
We seek to determine the sources and the extent of funding cost differences between Global Systemically Important Banks (G-SIBs) and non-G-SIBs in the U.S. We build on earlier studies that have asserted that G-SIBs have had lower funding costs, and have attributed this to an assumed...
Persistent link: https://www.econbiz.de/10013085894
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The Financial Stability Board and Global Systemically Important Banks : Unintended Consequences?
Dewenter, Kathryn L. - 2013
We identify, measure and compare the characteristics of Global Systemically Important Banks (G-SIBs) vis-à-vis banks not chosen by the Financial Stability Board (FSB) to be in the 2011 G-SIB group; investors' responses to banks being classified as a G-SIB and how these responses relate to...
Persistent link: https://www.econbiz.de/10013074670
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Playing it Safe : Global Systemically Important Banks after the Crisis
Goel, Tirupam - 2019
Post-crisis reforms aim to mitigate the systemic risks that arise from global systemically important banks (G-SIBs). Based on our estimates of G-SIBs' probability of distress, we find that their resilience has improved in recent years on the back of higher capital ratios. Furthermore, by...
Persistent link: https://www.econbiz.de/10012861338
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Cross-Border Bank Flows and Systemic Risk
Karolyi, George Andrew - 2018
Using Bank for International Settlements (BIS) data on cross-border bank flows across 128 countries and over two decades, we find that heightened bank flows are associated with improved financial stability in a recipient country's bank system. The reductions in marginal expected shortfall (MES)...
Persistent link: https://www.econbiz.de/10012934409