Determinants of connectedness in financial institutions: Evidence from Taiwan

Yi-Pei Chen, Yu-Lun Chen, Shu-Hen Chiang and Wan-Shin Mo

Emerging Markets Review, 2023, vol. 55, issue C

Abstract: This study estimates the interconnectedness among financial holding companies (FHCs) in Taiwan to identify its determinants. Using the Diebold and Yilmaz's (2012) measure, we find that larger directional connectedness stems from state-owned FHCs, indicating their dominant role in transmitting systemic risk. In addition, we find that bank performance and monetary policy both play an important role in financial connectedness. Finally, we show that syndicated loans may affect interconnectedness because the arranger bank transmits systemic risk to other participating banks.

Keywords: Connectedness; Systemic risk; Financial holding companies; Monetary policy (search for similar items in EconPapers)
JEL-codes: E50 G18 G21 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000681

DOI: 10.1016/j.ememar.2022.100951

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