Risk Spillovers and Interconnectedness between Systemically Important Institutions

Alin Marius Andries, Steven Ongena, Nicu Sprincean and Radu Tunaru
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Alin Marius Andries: Alexandru Ioan Cuza University - Faculty of Economics and Business Administration
Radu Tunaru: University of Sussex
Authors registered in the RePEc Author Service: Alin Marius Andrieș

No 20-40, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

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 contribute most to system-wide distress, but are also most exposed. Other systemically important institutions bear more individual market risk. The two groups and the global financial system also co-vary for periods of up to 60 days. In sum, both groups perform in ways that defy any straightforward categorization.

Keywords: systemic risk; interconnectedness; bank networks (search for similar items in EconPapers)
JEL-codes: D85 G01 G21 (search for similar items in EconPapers)
Pages: 54 pages
Date: 2020-05
New Economics Papers: this item is included in nep-ban, nep-net and nep-rmg
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https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3597962 (application/pdf)

Related works:
Journal Article: Risk spillovers and interconnectedness between systemically important institutions (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp2040

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