Bail-in and interbank contagion risk: an application of FSQCA methodology

Marc Sanchez-Roger (), María Dolores Oliver-Alfonso (), Carlos Sanchís-Pedregosa (), Carlos Sanchís-Pedregosa () and Norat Roig-Tierno ()
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Marc Sanchez-Roger: University of Seville, Spain
María Dolores Oliver-Alfonso: University of Seville, Spain
Carlos Sanchís-Pedregosa: University of Seville, Spain
Carlos Sanchís-Pedregosa: Universidad del Pacífico, Peru
Norat Roig-Tierno: ESIC Business & Marketing School, Spain

Entrepreneurship and Sustainability Issues, 2020, vol. 7, issue 4, 2604-2614

Abstract: This work uses fuzzy set theory and qualitative comparative analysis (QCA) to determine the causal configurations leading to interbank contagion in a resolution event. This study pioneers the introduction of fsQCA methodology in banking crisis analyses. The event providing the necessary data for this study is the resolution of the Spanish bank Banco Popular. We develop sufficient and necessary condition analyses to find the key metrics that lead to interbank contagion. The results demonstrate that weak solvency metrics, low asset quality and belonging to the same country where the resolution has been triggered tend to lead to higher contagion.

Keywords: bail-in; banking resolution; FSQCA; contagion risk (search for similar items in EconPapers)
JEL-codes: G10 G20 G21 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:ssi:jouesi:v:7:y:2020:i:4:p:2604-2614

DOI: 10.9770/jesi.2020.7.4(3)

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