Spain: Financial Sector Assessment Program-Technical Note-Interconnectedness and Spillover Analysis in Spain’s Financial System

International Monetary Fund

No 2017/344, IMF Staff Country Reports from International Monetary Fund

Abstract: This Technical Note discusses the findings of the Financial Sector Assessment Program about interconnectedness and spillover in Spain’s financial system. Financial intermediaries in Spain are interconnected through conglomerate ownership, common exposures, and inter-sectoral claims. The main source of cross-sectoral connectedness appears to be insurance companies’ exposures to banks, while exposures of banks to insurers or to mutual funds appear limited at present. Empirical analysis using both exposure and market data suggest strong cross-border interconnectedness. Contagion within the domestic interbank market appears to be limited at present. There are also strong cross-sectoral linkages between banks and other parts of the financial system in Spain, but systemic risks from those linkages appear to be limited.

Keywords: ISCR; CR; bank; market; Spain; banking sector; banking system; private sector; Banco de España; mortgage portfolio; fixed income; bank claim; parent bank; mutual fund; other financial institutions; credit shock; banks ownership; Commercial banks; Insurance companies; Credit; Nonbank financial institutions; Global; North America (search for similar items in EconPapers)
Pages: 67
Date: 2017-11-13
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