Changing Vulnerability in Asia:

Dungey, Mardi; Kangogo, Moses; Volkov, Vladimir

doi:10.22617/wps190180-2

Cited by 5 publications

(1 citation statement)

References 27 publications

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“…Our findings complement existing research on the implications and risks of cross‐border banking exposures, amid increasing financial interconnectedness in Asia, by adding the dimension of cross‐border bank concentration to the analysis (ADB, 2017, 2020; Dungey et al, 2019). Several existing studies identify cross‐border interbank exposures as a source of contagion and discuss its relevance for emerging economies, including in Asia and the Pacific (Matousek, 2019; Park & Shin, 2017, 2018).…”

Section: Introductionsupporting

confidence: 73%

Concentration in Asia's cross‐border banking: Determinants and impacts

Lapid¹,

Mercado²,

Rosenkranz³

2022

Pacific Economic Review

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The views expressed in this publication are those of the authors and do not necessarily reflect the views and policies of the Asian Development Bank (ADB) or its Board of Governors or the governments they represent.ADB does not guarantee the accuracy of the data included in this publication and accepts no responsibility for any consequence of their use. The mention of specific companies or products of manufacturers does not imply that they are endorsed or recommended by ADB in preference to others of a similar nature that are not mentioned.By making any designation of or reference to a particular territory or geographic area, or by using the term "country" in this document, ADB does not intend to make any judgments as to the legal or other status of any territory or area.

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Section: Introductionsupporting

confidence: 73%

Concentration in Asia's cross‐border banking: Determinants and impacts

Lapid¹,

Mercado²,

Rosenkranz³

2022

Pacific Economic Review

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Changing vulnerability in Asia: contagion and spillovers

2022

Self Cite

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An increasing involvement of the Asian market in the global context plays a fundamental role in spreading shocks across the financial system. This paper examines the extent of vulnerability across Asian equity markets and the United States (US) equity market by distinguishing between spillovers and contagion. Spillovers are detected using a generalised historical decomposition method, while contagion is identified using a portfolio mimicking factor framework using moment conditions. The transmission of spillovers is assessed to capture the direction, strength and signs of the spillovers. The findings show evidence of changing vulnerability in Asia and the US. This is as a result of increased spillovers during crisis events and the presence of contagion. Stronger connections during crisis periods are evident as well as a general deepening of the global network. These connections may result in reduced opportunities for emerging markets. The findings suggest that caution is needed when developing regulations or methods to create a stable financial system.

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