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What factors drive systemic risk during international financial crises?

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  • Weiß, Gregor N.F.
  • Bostandzic, Denefa
  • Neumann, Sascha

Abstract

We analyze the determinants of the contribution of international banks to both global and local systemic risk during prominent financial crises. We find no empirical evidence supporting conjectures that bank size, leverage, non-interest income or the quality of the bank’s credit portfolio are persistent determinants of systemic risk across financial crises. In contrast, our results show that global systemic risk in particular is predominantly driven by characteristics of the regulatory regime. We also confirm for the subprime crisis that the banks’ contribution to moderately bad tail events in the past predicts the financial sector’s crash risk.

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  • Weiß, Gregor N.F. & Bostandzic, Denefa & Neumann, Sascha, 2014. "What factors drive systemic risk during international financial crises?," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 78-96.
  • Handle: RePEc:eee:jbfina:v:41:y:2014:i:c:p:78-96
    DOI: 10.1016/j.jbankfin.2014.01.001
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    More about this item

    Keywords

    Financial crises; Systemic risk; Determinants;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • F30 - International Economics - - International Finance - - - General

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