Contagion risk in global banking sector
Contagion risk in global banking sector
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DOI：
10.1016/j.intfin.2019.101136
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发表时间：
2019-11-01
影响因子：
4
通讯作者：
Choudhury, Tonmoy
中科院分区：
文献类型：
--
作者：
Daly, Kevin;Batten, Jonathan A.;Choudhury, Tonmoy
本文使用三种不同的风险距离度量(违约距离、资本距离和资不抵债距离)考察了全球银行业环境下的传染风险。这项研究的时间框架涵盖了一段时期，其特点是在银行环境中经历的监管、货币和技术变化方面的重大金融创新。我们的假设是，一个特定国家银行结构的波动性会加剧另一个国家金融波动性的前景。我们通过复制四种不同的金融压力条件来模拟银行的极端冲击。我们使用多项Logistic模型来计算这些国家从一个国家的银行系统转移到另一个国家的概率。总而言之，我们调查了一个国家的银行系统发生极端事件的可能性，作为整个样本期间其他国家银行系统发生极端事件的函数。我们的样本包括来自20个国家的91家银行，包括从2006年1月6日到2015年12月31日期间运营的所有八国集团和金砖国家。总体而言，我们发现有证据表明，各国银行体系之间存在很强的相关性，尤其是英国和美国的银行体系之间。我们的发现表明，有必要加强对作为全球系统重要性银行(GSIB)运营的银行的监管。(C)2019爱思唯尔B.V.保留所有权利。
This paper investigates contagion risk for the global banking environment using three different distance to risk measures (distance to default, distance to capital, and distance to insolvency). The timeframe for this research covers a period that is characterized by substantial financial innovation in regards to regulatory, monetary and technological change experienced in the banking environment. Our hypothesis is that volatility in the banking structure of a particular country upsurges the prospect of financial volatility in another. We model extreme shocks for banks by replicating four separate conditions of financial stress. We compute the probability of these states moving from one country's banking system to another by employing multinomial logistic model. In total, we investigate the possibility of extreme event in one country's banking system as a function of extreme events in other countries banking systems throughout our sample period. Our sample consists of ninety-one banks from twenty countries including all G8 and BRICS countries in operation from 6th January 2006 up to 31st December 2015. Overall, we find evidence of strong correlations between countries' banking systems especially between those of UK and US. Our findings suggest the need for greater regulatory control over banks operating as global systemically important banks (GSIBs). (C) 2019 Elsevier B.V. All rights reserved.