Factors driving systemic risk of banks in Latin America

Jacob Kleinow (), Andreas Horsch () and Mario Garcia-Molina ()
Additional contact information
Jacob Kleinow: Universidad Nacional de Colombia
Andreas Horsch: Technische Universität Bergakademie Freiberg
Mario Garcia-Molina: Universidad Nacional de Colombia
Authors registered in the RePEc Author Service: Mario García Molina

Journal of Economics and Finance, 2017, vol. 41, issue 2, No 1, 234 pages

Abstract: Abstract We investigate the drivers of systemic risk and contagion among banks in the Latin American financial sector. First, a systemic risk measure analysing tail co-movements of daily stock returns of all Latin American banks is derived. We then run panel regressions for our systemic risk measure using idiosyncratic bank characteristics and macroeconomic control variables. Our results include various significant drivers of systemic importance of banks in Latin America like bank size, market concentration and high government indebtedness. Interestingly, we empirically prove that during the financial/economic crisis (2006–2011) systemic risk was driven by banks with low earning prospects and relatively sound deposit management whereas poor capital regulation drove systemic risk of banks during the stable periods before (2003–2005) and after the crisis (2012–2014).

Keywords: Too big to fail; Systemic risk; Latin America; SIFI; Marginal expected shortfall (MES); Conditional value at risk (CoVaR) (search for similar items in EconPapers)
JEL-codes: G01 G21 G28 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://link.springer.com/10.1007/s12197-015-9341-7 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jecfin:v:41:y:2017:i:2:d:10.1007_s12197-015-9341-7

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/12197/PS2

DOI: 10.1007/s12197-015-9341-7

Access Statistics for this article

Journal of Economics and Finance is currently edited by James Payne

More articles in Journal of Economics and Finance from Springer, Academy of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().