What factors drive systemic risk during international financial crises?

Gregor N.F. Weiß, Denefa Bostandzic and Sascha Neumann

Journal of Banking & Finance, 2014, vol. 41, issue C, 78-96

Abstract: We analyze the determinants of the contribution of international banks to both global and local systemic risk during prominent financial crises. We find no empirical evidence supporting conjectures that bank size, leverage, non-interest income or the quality of the bank’s credit portfolio are persistent determinants of systemic risk across financial crises. In contrast, our results show that global systemic risk in particular is predominantly driven by characteristics of the regulatory regime. We also confirm for the subprime crisis that the banks’ contribution to moderately bad tail events in the past predicts the financial sector’s crash risk.

Keywords: Financial crises; Systemic risk; Determinants (search for similar items in EconPapers)
JEL-codes: F30 G01 G21 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (45)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:41:y:2014:i:c:p:78-96

DOI: 10.1016/j.jbankfin.2014.01.001

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