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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

Spatial Dependence and Data-Driven Networks of International Banks

Craig, Ben R. - 2016

This paper computes data-driven correlation networks based on the stock returns of international banks and conducts a comprehensive analysis of their topological properties. We first apply spatial-dependence methods to filter the effects of strong common factors and a thresholding procedure to...

Persistent link: https://www.econbiz.de/10012977779

Variance Decomposition Networks : Potential Pitfalls and a Simple Solution

Chan-Lau, Jorge A. - 2017

Diebold and Yilmaz (2015) recently introduced variance decomposition networks as tools for quantifying and ranking the systemic risk of individual firms. The nature of these networks and their implied rankings depend on the choice decomposition method. The standard choice is the order invariant...

Persistent link: https://www.econbiz.de/10012945685

Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR

Gray, Dale - 2013

estimation and calibration of the global model, we simulate various negative and positive shock scenarios, particularly to bank …

Persistent link: https://www.econbiz.de/10013072601

The U.S. Oil Supply Revolution and the Global Economy

Mohaddes, Kamiar - 2016

This paper investigates the global macroeconomic consequences of falling oil prices due to the oil revolution in the United States, using a Global VAR model estimated for 38 countries/regions over the period 1979Q2 to 2011Q2. Set-identification of the U.S. oil supply shock is achieved through...

Persistent link: https://www.econbiz.de/10012998782

Crisis Transmission in the Global Banking Network

Hale, Galina - 2016

We study the transmission of financial sector shocks across borders through international bank connections. For this purpose, we use data on long-term interbank loans among more than 6,000 banks during 1997-2012 to construct a yearly global network of interbank exposures. We estimate the effect...

Persistent link: https://www.econbiz.de/10012977748

Market Frictions, Interbank Linkages and Excessive Interconnections

Deb, Pragyan - 2016

This paper studies banks' decision to form financial interconnections using a model of financial contagion that explicitly takes into account the crisis state of the world. This allows us to model the network formation decision as optimising behaviour of competitive banks, where they balance the...

Persistent link: https://www.econbiz.de/10012977783

Global Liquidity and Drivers of Cross-Border Bank Flows

Cerutti, Eugenio M. - 2014

This paper provides a definition of global liquidity consistent with its meaning as the “ease of financing” in international financial markets. Using a longer time series and broader sample of countries than in previous studies, it identifies global factors driving cross-border bank flows,...

Persistent link: https://www.econbiz.de/10013053045

International Fiscal-Financial Spillovers : The Effect of Fiscal Shocks on Cross-Border Bank Lending

Choi, Sangyup - 2019

This paper sheds new light on the degree of international fiscal-financial spillovers by investigating the effect of domestic fiscal policies on cross-border bank lending. By estimating the dynamic response of U.S. cross-border bank lending towards the 45 recipient countries to exogenous...

Persistent link: https://www.econbiz.de/10012864117

Drivers of Cross-Border Banking in Sub-Saharan Africa

Mathieu, Paul - 2019

Using data collected from pan-African banks' (PABs), balance sheets and other sources (Orbis, Fitch), this study identifies some key patterns of cross-border investment in bank subsidiaries by key banking groups in sub-Saharan Africa (SSA) and discusses some of the determinants of this...

Persistent link: https://www.econbiz.de/10012865119