Changing Vulnerability in Asia: Contagion and Systemic Risk

Abstract

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.

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

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

Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach

“…Methodologies used to empirically assess hedging and safe-haven relationships as well as flight-to-quality and contagion effects have evolved in different strands of the literature, including the parametric model strand (Baur & Lucey, 2009, 2010; Baur & McDermott, 2010; Bekaert et al, 2014; Dungey et al, 2020), the nonparametric model strand (Bouri et al, 2017; Candelon & Tokpavi, 2016; Mensi et al, 2016) and the tail dependence strand (Apergis et al, 2020; Fry-McKibbin et al, 2019; C. S. Liu et al, 2016; Reboredo, 2013).…”