Instability spillovers in the banking sector: A spatial econometrics approach

Jan Acedański and Renata Karkowska

The North American Journal of Economics and Finance, 2022, vol. 61, issue C

Abstract: In the study, we employ a dynamic spatial panel model to identify factors that are the sources of instability spillover in the banking sector. Using a sample of publicly listed banks, we document that the stability of a bank depends not only on its own characteristics and the macroeconomic conditions of its home country, but also on the stability of other banks in the same and other countries. We find weak evidence that the spillover effects are greater from domestic banks than from foreign ones. This study has significant implications for market regulators in terms of the role of country interdependence as a spillover mechanism during times of financial turbulence.

Keywords: Banking; Spillover effect; Spatial econometrics; Cross-sectional dependence (search for similar items in EconPapers)
JEL-codes: C31 G21 G33 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000493

DOI: 10.1016/j.najef.2022.101694

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