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Risk spillovers and interconnectedness between systemically important institutions

Alin Marius Andrieş, Steven Ongena, Nicu Sprincean and Radu Tunaru
Authors registered in the RePEc Author Service: Alin Marius Andrieș

Journal of Financial Stability, 2022, vol. 58, issue C

Abstract: In this paper, we gauge the degree of interconnectedness and quantify the linkages between global and other systemically important institutions, and the global financial system. We document that the two groups and the financial system become more interconnected during the global financial crisis when linkages across groups grow. In contrast, during tranquil times linkages within groups prevail. Global systemically important banks (G-SIBs) contribute most to system-wide distress but are also most exposed. There are more links coming from G-SIBs to other systemically important institutions (O-SIIs) than the other way around, confirming the role of G-SIBs as major risk transmitters in the financial system. The two groups and the global financial system tend to co-vary for periods up to 60 days Prior to their official designation as G-SIBs or O-SIIs, the prevalent news sentiment about these institutions (we measure with a textual analysis) was negative. Importantly, the systemic importance and exposure of G-SIBs and O-SIIs is perceived differently by the Financial Stability Board (FSB) and the European Banking Authority (EBA).

Keywords: Systemic risk; Interconnectedness; Bank networks; Bayesian graphical VAR; Textual analysis (search for similar items in EconPapers)
JEL-codes: D85 G01 G21 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (8) Track citations by RSS feed

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Working Paper: Risk Spillovers and Interconnectedness between Systemically Important Institutions (2020) Downloads
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DOI: 10.1016/j.jfs.2021.100963

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