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What factors drive systemic risk during international financial crises?

Listed author(s):
  • Weiß, Gregor N.F.
  • Bostandzic, Denefa
  • Neumann, Sascha
Registered author(s):

    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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    File URL: http://www.sciencedirect.com/science/article/pii/S0378426614000090
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 41 (2014)
    Issue (Month): C ()
    Pages: 78-96

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    Handle: RePEc:eee:jbfina:v:41:y:2014:i:c:p:78-96
    DOI: 10.1016/j.jbankfin.2014.01.001
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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