Rise of NBFIs and the global structural change in the transmission of market shocks

Yoshihiko Hogen, Yoshiyasu Kasai and Yuji Shinozaki

Journal of Financial Stability, 2025, vol. 79, issue C

Abstract: Fire-sale (FS) vulnerabilities, including those associated with nonbank financial intermediaries, are often measured using FS models. While existing studies use granular data to analyze these dynamics, the scope tends to focuses on a particular jurisdiction, leaving out the cross-jurisdictional dimension. This paper uses flow of funds data from Japan, the United States, and the Euro area to measure cross-border spillovers of market shocks (interlinkage effect) in the global financial system using a standard FS model. We find that the interlinkage effect has substantially increased at the global level since the global financial crisis, suggesting a global structural change in the transmission of market shocks.

Keywords: interconnectedness; NBFI; cross-border spillovers; fire sales; systemic risk (search for similar items in EconPapers)
JEL-codes: G10 G11 G21 G23 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finsta:v:79:y:2025:i:c:s1572308925000488

DOI: 10.1016/j.jfs.2025.101419

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