2016
DOI: 10.1016/j.rfe.2016.09.003
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Size is everything: Explaining SIFI designations

Abstract: In this paper, we study the determinants of the systemic importance of banks and insurers during the financial crisis. We investigate the methodology of regulators to identify global systemically important financial institutions and find that firm size is the only significant predictor of the decision of regulators to designate a financial institution as systemically important. Further, using a cross‐sectional quantile regression approach, we find that Marginal Expected Shortfall and ΔCoVaR as two common measu… Show more

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Cited by 11 publications
(3 citation statements)
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“…Finally, we conclude our findings support the studies of Zhou ( 2009), Caccioli et al (2012), Elliott et al (2014), andTarashev et al (2016) who approve theoretically that financial stability is negatively affected by large banks through higher contribution to systemic risk. Our findings are aligned with evidence from empirical studies showing larger banks are the most important determinant of systemic importance for the U.S. banks (Hovakimian et al, 2012;Vallascas and Keasely, 2012;Adrian and Brunnermeier, 2016;Irresberger et al, 2017;Varotto and Zhao, 2018;Brunnermeier et al, 2020), for the European banks (Karimalis and Nomikos, 2018;Borri et al, 2022), and international banks (Lahmann and Kaserer, 2011; Moratis and Sakellaris, 2021;Pham et al, 2021;Maghyereh and Hussein, 2021;Maghyereh and Yamani, 2022).…”
Section: Resultssupporting
confidence: 89%
“…Finally, we conclude our findings support the studies of Zhou ( 2009), Caccioli et al (2012), Elliott et al (2014), andTarashev et al (2016) who approve theoretically that financial stability is negatively affected by large banks through higher contribution to systemic risk. Our findings are aligned with evidence from empirical studies showing larger banks are the most important determinant of systemic importance for the U.S. banks (Hovakimian et al, 2012;Vallascas and Keasely, 2012;Adrian and Brunnermeier, 2016;Irresberger et al, 2017;Varotto and Zhao, 2018;Brunnermeier et al, 2020), for the European banks (Karimalis and Nomikos, 2018;Borri et al, 2022), and international banks (Lahmann and Kaserer, 2011; Moratis and Sakellaris, 2021;Pham et al, 2021;Maghyereh and Hussein, 2021;Maghyereh and Yamani, 2022).…”
Section: Resultssupporting
confidence: 89%
“…An increase in the Lerner index indicates a deterioration of the competitive conduct of financial intermediaries, a result that aligns with results on concentration. Connectedly, bank size appears to have a negative and significant impact on systematic risk in national bank mergers, but not in cross-border ones, justifying a similar behaviour pertaining to concentration, competition and moral hazard in relation to bank risk (Beck et al , 2006; Demsetz and Strahan, 1997; Irresberger et al , 2016).…”
Section: Resultsmentioning
confidence: 94%
“…This paper is also related to the literature about determinants of systemic risk. Commercial banks have been extensively studied and several papers have explored the role of size, market power, VaR, leverage, and maturity mismatch (Anginer et al, 2014;Black et al, 2016;Irresberger et al, 2017;Laeven et al, 2016;Varotto and Zhao, 2018;Buch et al, 2019), their dependence on short-term wholesale funding (Karim et al, 2013;Lopez-Espinosa et al, 2013;Mayordomo et al, 2014;Moore and Zhou, 2013), the relevance of non-interest rate income (De Jonghe, 2010;De Jonghe et al, 2015;Bostandzic and Weiβ, 2018;Kamani, Forthcoming), and interconnectedness (Markose et al, 2012;Battiston et al, 2012). Likewise, commercial banks in this paper play a major role as they are the most important financial institution at the financial conglomerate, and consequently whatever happens to them will also affect the latter.…”
Section: Introductionmentioning
confidence: 99%