On the Contagion Effect in the US Banking Sector

Pino, Gabriel; Sharma, Subhash C.

doi:10.1111/jmcb.12489

Cited by 34 publications

(13 citation statements)

References 57 publications

(79 reference statements)

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“…The literature on the methodological approach is relatively recent. Pino and Sharma (2019) use spatial econometrics to investigate the channels of bank contagion, that can be useful to preserve the stability of the US banking sector. The results show that there is no contagion when the change in the risk-taking of a specific bank is assumed to affect all other banks in the US banking sector.…”

Section: Literature Reviewmentioning

confidence: 99%

Bad or good neighbours: a spatial financial contagion study

Foglia

Ortolano

Febo

et al. 2020

SEF

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Purpose The purpose of this paper is to study the evolution of financial contagion between Eurozone banks, observing the credit default swaps (CDSs) market during the period 2009–2017. Design/methodology/approach The authors use a dynamic spatial Durbin model that enables to explore the direct and indirect effects over the short and long run and the transmission channels of the contagion. Findings The results show how contagion emerges through physical and financial market links between banks. This finding implies that a bank can fail because people expect other related financial institutions to fail as well (self-fulfilling crisis). The study provides statistically significant evidence of the presence of credit risk spillovers in CDS markets. The findings show that equity market dynamics of “neighbouring” banks are important factors in risk transmission. Originality/value The research provides a new contribution to the analysis of EZ banking risk contagion, studying CDS spread determinants both under a temporal and spatial dimension. Considering the cross-dependence of credit spreads, the study allowed to verify the non-linearity between the probability of default of a debtor and the observed credit spreads (credit spread puzzle). The authors provide information on the transmission mechanism of contagion and, on the effects among the largest banks. In fact, through the study of short- and long-term impacts, direct and indirect, the paper classify banks of systemic importance according to their effect on the financial system.

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Section: Literature Reviewmentioning

confidence: 99%

Bad or good neighbours: a spatial financial contagion study

Foglia

Ortolano

Febo

et al. 2020

SEF

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“…1 For some recent papers using this methodology, see e.g. Pino and Sharma (2019), Caiazza et al (2018), Berger et al (2016), Doumpos et al (2015), Vazquez and Federico (2015), Hakenes et al (2014), Berger et al (2014), Delis et al (2014), Fang et al (2014), Fu et al (2014. 2 The standard Chebyshev inequality states that for a random variable X with …nite mean and variance 2 , it holds for any k > 0 that P fjX j kg 2 =k 2 (see e.g.…”

Section: Introductionmentioning

confidence: 99%

An alternative Z-score measure for downside bank insolvency risk

Lepetit

Strobel

Tran

2020

Applied Economics Letters

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Where a licence is displayed above, please note the terms and conditions of the licence govern your use of this document.When citing, please reference the published version. Take down policyWhile the University of Birmingham exercises care and attention in making items available there are rare occasions when an item has been uploaded in error or has been deemed to be commercially or otherwise sensitive.

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“…This process started in 2006; however, it was not successfully completed due to changes in the EU financial market in [2007][2008][2009]. These changes resulted from the financial crisis, which started on the mortgage market in the United States in 2007 and later spread to other countries, including European countries (Pino & Sharma, 2018). The crisis highlighted the weakness of the European financial system, which could not resist its negative impact.…”

Section: Introductionmentioning

confidence: 99%

The Influence of the CRD/CRR Package and the Banking Union on the Banking Market in Poland

Mikita¹

2019

SiM WZ UW

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and the banking union have a big influence on all countries within the European Union. The main research problem tackled in the paper is to show the consequences of the CRD/CRR package and the banking union on the banking market in Poland. The paper discusses the main regulations resulting from the CRD/CRR package and the banking union, as well as their influence on the functioning of banks in Poland. Among major regulations there are own funds standards, their liquidity and capital buffers encumbering banking assets. Moreover, three pillars of the banking union, i.e. the Single Supervisory Mechanism, the Single Resolution Mechanism and the Single Deposit Guarantee Scheme, have been also addressed. The main conclusion that can be drawn from the article is the statement that, from the Polish perspective, the CRD/CRR package and the banking union offer more benefits than costs for the financial sector in Poland.

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On the Contagion Effect in the US Banking Sector

Cited by 34 publications

References 57 publications

Bad or good neighbours: a spatial financial contagion study

Bad or good neighbours: a spatial financial contagion study

An alternative Z-score measure for downside bank insolvency risk

The Influence of the CRD/CRR Package and the Banking Union on the Banking Market in Poland

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