The Sources of Contagion Risk in a Banking Sector with Foreign Ownership

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F17%3A10327542" target="_blank" >RIV/00216208:11230/17:10327542 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.econmod.2016.08.025" target="_blank" >http://dx.doi.org/10.1016/j.econmod.2016.08.025</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.econmod.2016.08.025" target="_blank" >10.1016/j.econmod.2016.08.025</a>

Result language
angličtina
Original language name
The Sources of Contagion Risk in a Banking Sector with Foreign Ownership
Original language description
Foreign-dominated banking sectors, such as those prevalent in Central and Eastern Europe, are susceptible to two major sources of systemic risk: (i) linkages between local banks and (ii) linkages between a foreign parent bank and its local subsidiary. During and after the global financial crisis, the second source of risk has been stressed by local regulators. Using a nonparametric method based on extreme value theory, we analyze interdependencies in downward risk in the banking sectors of the Czech Republic, Poland, Slovakia, and Turkey during 1994-2013. We find that the risk of contagion from a foreign parent bank to its local subsidiary is substantially smaller than the risk between two local banks.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50201 - Economic Theory

Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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