Explaining Systemic Risk in Latin American Banking Industry over 2002–2015
Carlo Bellavite Pellegrini (),
Laura Pellegrini and
A chapter in Asia-Pacific Contemporary Finance and Development, 2019, vol. 26, pp 287-309 from Emerald Publishing Ltd
Abstract Systemic risk has been one of the most interesting issues in banking and financial literature during the last years, particularly in evaluating its effects on the stability of the whole financial system during crises. Differently from other studies which analyze systemic risk focusing on European countries, we explore the determinant of systemic risk in other regional or continental banking systems, as Latin America. Using the CoVaR approach proposed by Adrian and Brunnermeier (2016), we study the impact of corporate variables on systemic risk on a sample of 30 Latin American banks belonging to seven countries, continuously listed from 2002Q1 to 2015Q4. We investigate the contribution of the corporate variables over different economic periods: the Subprime crisis (2007Q3–2008Q3), the European Great Financial Depression (2008Q4–2010Q2), and the Sovereign debt crisis (2010Q3–2012Q3).
Keywords: systemic risk; traditional banking system; global financial crises; Latin American countries; value at risk; CoVaR; panel data; G01; G15; G021; C23 (search for similar items in EconPapers)
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