Advanced Search
MyIDEAS: Login to save this paper or follow this series

Concentração Bancária, Lucratividade e Risco Sistêmico: uma abordagem de Contágio Indireto

Contents:

Author Info

  • Bruno Silva Martins
  • Leonardo S. Alencar

Abstract

We investigate the impact of the banking system concentration on the perception of financial institutions interdependencies, as measured by the correlations of their return on assets. This correlation is observed by the market, and may provide an indicator of systemic risk potential, which we argue represents an indirect contagion channel. By changing this correlation, the degree of concentration may change the systemic risk exposure of the banking sector. Our findings suggest the existence of an indirect contagion channel in Brazil, and that a more concentrated financial system is associated with an increase in the potential of systemic risk among banks with similar characteristics of credit volume, leverage and ownership (state or private-owned). Our findings call attention to the implications of financial system consolidation to the contagion of idiosyncratic shocks. Banking consolidation may bring benefits by improving the diversification of the portfolios of banks, reducing their idiosyncratic risks, but may also increase the systemic risk, by increasing the probability of an idiosyncratic shock be interpreted as an aggregate shock.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.bcb.gov.br/pec/wps/port/wps190.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 190.

as in new window
Length:
Date of creation: Sep 2009
Date of revision:
Handle: RePEc:bcb:wpaper:190

Contact details of provider:
Web page: http://www.bcb.gov.br/?english

Related research

Keywords:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bcb:wpaper:190. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Francisco Marcos Rodrigues Figueiredo).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.