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Bank fragility and contagion: evidence from the bank CDS market

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dc.contributor.authorBallester Miquel, Laura
dc.contributor.authorCasu, Barbara
dc.contributor.authorGonzález Urteaga, Ana
dc.contributor.departmentGestión de Empresases_ES
dc.contributor.departmentEnpresen Kudeaketaeu
dc.date.accessioned2019-09-06T07:11:27Z
dc.date.available2019-09-06T07:11:27Z
dc.date.issued2016
dc.description.abstractUnderstanding how contagion works among financial institutions is a top priority for regulators and policy makers who aim to foster financial stability and to prevent financial crises. Using bank credit default swap (CDS) data, we provide a framework for the evaluation of contagion among banks in different countries and regions during a period of prolonged financial distress. We measure contagion in terms of return spillovers, following a Generalized VAR (GVAR) approach. In addition, we propose an innovative framework to distinguish between two types of contagion: systematic (linked to global factors), and idiosyncratic (linked to bank specific factors). We find evidence of both types of contagion, although the spillover dynamics changed over time. Our measure of systematic contagion is always greater than the idiosyncratic component, thus highlighting the importance of common factors in the propagation of risk spillovers. This indicates that international linkages among banking markets are central to the transmission of shocks.en
dc.description.sponsorshipLaura Ballester and Ana González-Urteaga would like to express their gratitude for the funding received from Fundación Ramón Areces. Ana González-Urteaga acknowledges financial support from ECO2012-34268, ECO2012-35946 and from Cass Business School under the Pump Priming Grant Scheme.en
dc.format.extent53 p.
dc.format.mimetypeapplication/pdfen
dc.identifier.doi10.1016/j.jempfin.2016.01.011
dc.identifier.issn0927-5398
dc.identifier.urihttps://academica-e.unavarra.es/handle/2454/34752
dc.language.isoengen
dc.publisherElsevieren
dc.relation.ispartofJournal of Empirical Finance, 38 (2016) 394-416en
dc.relation.projectIDinfo:eu-repo/grantAgreement/MINECO//ECO2012-35946-C02-01/ES/en
dc.relation.projectIDinfo:eu-repo/grantAgreement/MINECO//ECO2012-34268/ES/en
dc.relation.publisherversionhttps://doi.org/10.1016/j.jempfin.2016.01.011
dc.rights© 2016 Elsevier B.V. The manuscript version is made available under the CC BY-NC-ND 4.0 license.en
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectCredit default swapsen
dc.subjectContagionen
dc.subjectGVARen
dc.subjectSpillover indicesen
dc.subjectFinancial stabilityen
dc.titleBank fragility and contagion: evidence from the bank CDS marketen
dc.typeinfo:eu-repo/semantics/article
dc.type.versioninfo:eu-repo/semantics/acceptedVersionen
dc.type.versionVersión aceptada / Onetsi den bertsioaes
dspace.entity.typePublication
relation.isAuthorOfPublication095d724d-61c5-408c-b091-6ea37e9beb6b
relation.isAuthorOfPublication.latestForDiscovery095d724d-61c5-408c-b091-6ea37e9beb6b

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