This working paper was written by Paul D. McNelis (Fordham University).This paper assesses sources of contagion emanating from both within the Hong Kong banking sector as well as from external sources. For robustness, the paper uses alternative measures of contagion, one based on Forecast Error...

We assess the dynamics of volatility spillovers among global systemically important banks (G-SIBs). We measure spillovers using vector-autoregressive models of range volatility of the equity prices of G-SIBs, together with machine learning methods. We then compare the size of these spillovers...

This paper shows that signals from the offshore Hong Kong, China spot market for the currency of the People's Republic of China (PRC), the renminbi (listed as CNH), directly affect the volatility of share prices of PRC banks and the overall risks to banking stability in the country. This is...