Assessing systemic risk and its determinants for advanced and major emerging economies: the case of ΔCoVaR

Stolbov, Mikhail

doi:10.1007/s10368-015-0330-2

Cited by 11 publications

(3 citation statements)

References 50 publications

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“…High government debt restricts the policymakers to bail out the banks in the financial distress. Similar findings are reported by Stolbov (2017). Lastly, regulatory quality has an insignificant impact on MES across all economic conditions.…”

Section: Graphical Illustration Of Average Messupporting

confidence: 82%

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Dynamic modeling of marginal expected shortfall under economic sensitivity: empirical evidence from Pakistan

Hanif¹

2023

SAJBS

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PurposeSystemic risk is of concern for economic welfare as it can lower the credit supply to all the sectors within an economy. This study examines for the first time the complete hierarchy of variables that drive systemic risk during normal and crisis periods in Pakistan, a developing economy.Design/methodology/approachSecondary data of the bank, sector and country variables are used for the purpose of the analysis spanning from 2000 to 2020. Systemic risk is computed using marginal expected shortfall (MES). One-step and two-step system GMM is performed to estimate the impact of firm, sector and country-level variables on systemic risk.FindingsThe findings of the study highlight that sector-level variables are also highly significant in explaining the systemic risk dynamics along with bank and country-level variables. In addition, economic sensitivity influences the significance level of variables across crisis and post-crisis periods and modifies the direction of relationships in some instances.Research limitations/implicationsThe study examines the systemic risk of a developing economy, and findings may not be generalizable to developed economies.Practical implicationsThe outcome of the study provides a comprehensive framework for the central bank and other regulatory authorities that can be translated into timely policies to avoid systemic financial crisis.Social implicationsThe negative externalities generated by systemic risk also affect the general public. The study results can be used to avoid the systemic financial crisis and resultantly save the loss of the general public's hard-earned holdings.Originality/valueThe firm, sector and country-level variables are modeled for the first time to estimate systemic risk across different economic conditions in a developing economy, Pakistan. The study can also act as a reference for researchers in developed economies as well regarding the role of sector-level variables in explaining systemic risk.

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Section: Graphical Illustration Of Average Messupporting

confidence: 82%

“…(2017) also state that increase in government debt exacerbates the systemic risk. Similarly, Stolbov (2017) also shows a significant positive effect of the government debt ratio on systemic risk. In the same vein, Bruyckere et al .…”

Section: Munificencementioning

confidence: 84%

Dynamic modeling of marginal expected shortfall under economic sensitivity: empirical evidence from Pakistan

Hanif¹

2023

SAJBS

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“…The CoVaR identifies the tail dependence between two different VaR (Value-at-Risk) distributions (De Mendonça and Da Silva 2018 ). Measuring the risk of the financial system through CoVaR can work as a check tool for the robustness of our results for measuring the impact of terrorism on the systemic risk and financial stability (Roengpitya and Rungcharoenkitkul 2011 ; Borri et al 2014 ; Adrian 2016 ; Stolbov 2017 ; De Mendonça and Da Silva 2018 ; Hanif et al 2019 ; Huang et al 2019 ). CoVaR allows the quantification of systemic risk as to the impact of a financial institution, market or system on the value-at-risk (VaR) of other financial institutions, stock markets or systems (Huang et al 2019 ).…”

Section: Additional Analyses and Robustness Checksmentioning

confidence: 99%

Terrorist attacks and bank financial stability: evidence from MENA economies

Elnahass

Marie

Elgammal

2022

Rev Quant Finan Acc

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This study examines the impact of terrorism on bank stability, represented by bank risk and financial performance. We consider banks from 14 countries located in the Middle East and North Africa region for the period 2010–2018 using both the three-stage least-square and the generalised method of moments. The results provide strong evidence that banks located in countries with high exposure to terrorist attack exhibit low financial stability, due to high bank risk (i.e., high credit and insolvency risk). However, these banks show high financial performance (i.e., high profitability and cost efficiency), on average. Our results also show differential impacts on bank stability for countries marked as more (less) exposed to risk of attacks. For banks located in high-income-generating countries, we find that exposure to terrorism is associated with low financial performance and high credit risk, which is the opposite case for low-income-generating countries. Our results also indicate high systemic risk for listed banks operating under high terrorism risk exposure.

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Tail dependence network of new energy vehicle industry in mainland China

Wang

Jiang

et al. 2022

Ann Oper Res

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Assessing systemic risk and its determinants for advanced and major emerging economies: the case of ΔCoVaR

Abstract: The paper examines conditional risk relationships among sovereign CDS prices and stock market indices for 11 economies with particular relevance for international portfolio investment holdings (

Cited by 11 publications

References 50 publications

Dynamic modeling of marginal expected shortfall under economic sensitivity: empirical evidence from Pakistan

Dynamic modeling of marginal expected shortfall under economic sensitivity: empirical evidence from Pakistan

Terrorist attacks and bank financial stability: evidence from MENA economies

Tail dependence network of new energy vehicle industry in mainland China

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