Did the collapse of Silicon Valley Bank catalyze financial contagion?
Md Akhtaruzzaman,
Sabri Boubaker and
John W. Goodell
Finance Research Letters, 2023, vol. 56, issue C
Abstract:
We investigate whether the failure of Silicon Valley Bank catalyzed financial contagion in the G7 countries as well as Brazil, China, India, and South Africa. We compare four groupings: markets, banks, non-financial, and financial firms. Dynamic conditional correlation and Diebold Yilmaz spillover analyses show that contagion was pronounced within global banks but minor in other areas. The contagion was also short-lived, being most prevalent during the week following the failure of the Silicon Valley Bank. It is noteworthy that contagion following the largest US bank failure since 2008 was, beyond the banking sector, quite limited.
Keywords: Silicon Valley Bank; Financial contagion; Spillovers; Hedge ratios (search for similar items in EconPapers)
JEL-codes: G15 G20 G21 G22 G23 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (21)
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Working Paper: Did the Collapse of Silicon Valley Bank Catalyze Financial Contagion? (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004543
DOI: 10.1016/j.frl.2023.104082
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