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Did the collapse of Silicon Valley Bank catalyze financial contagion?

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  • Akhtaruzzaman, Md
  • Boubaker, Sabri
  • Goodell, John W.

Abstract

We investigate whether the failure of Silicon Valley Bank catalyzed financial contagion in the G7 countries as well as Brazil, China, India, and South Africa. We compare four groupings: markets, banks, non-financial, and financial firms. Dynamic conditional correlation and Diebold Yilmaz spillover analyses show that contagion was pronounced within global banks but minor in other areas. The contagion was also short-lived, being most prevalent during the week following the failure of the Silicon Valley Bank. It is noteworthy that contagion following the largest US bank failure since 2008 was, beyond the banking sector, quite limited.

Suggested Citation

  • Akhtaruzzaman, Md & Boubaker, Sabri & Goodell, John W., 2023. "Did the collapse of Silicon Valley Bank catalyze financial contagion?," Finance Research Letters, Elsevier, vol. 56(C).
    • Handle: RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004543
    DOI: 10.1016/j.frl.2023.104082
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    More about this item

    Keywords

    Silicon Valley Bank; Financial contagion; Spillovers; Hedge ratios;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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