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Has the global banking system become more fragile over time?

Deniz Anginer () and Asli Demirguc-Kunt

Journal of Financial Stability, 2014, vol. 13, issue C, 202-213

Abstract: We examine the evolution of credit risk co-dependence in the banking sectors of over 65 countries. We find that there has been a significant increase in default risk co-dependence over the 3-year period leading up to the financial crisis. We also find that countries that are more integrated with liberalized financial systems have seen a greater rise in co-dependence in their banking sectors. This negative effect of financial openness is mitigated by a strong institutional environment that allows for efficient public and private monitoring of financial institutions.

Keywords: Banking crises; Systemic risk; Systemic fragility; Bank default risk; Distance-to-default; Merton model (search for similar items in EconPapers)
JEL-codes: F36 G11 G12 G15 (search for similar items in EconPapers)
Date: 2014
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Working Paper: Has the global banking system become more fragile over time ? (2011) Downloads
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DOI: 10.1016/j.jfs.2014.02.003

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