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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Economic Modelling

ISSN

0264-9993

e-ISSN

—

Svazek periodika

60

Číslo periodika v rámci svazku

January 2017

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

14

Strana od-do

108-121

Kód UT WoS článku

000390502500010

EID výsledku v databázi Scopus

2-s2.0-84991781145