Time-Varying Betas of Banking Sectors
This paper analyzes the evolution of the systematic risk of the banking industries in eight advanced countries using weekly data from 1990 to 2012. Time-varying betas are estimated by means of a Bayesian state-space model with stochastic volatility, whose results are contrasted with those of the standard M-GARCH and rolling-regression models. We show that both country-specific and global events affect the perceived systematic risk, while the impact of the latter differs considerably across countries. Finally, our results do not support the previous findings that the systematic risk of the banking sector was underestimated before the last financial crisis.
Volume (Year): 62 (2012)
Issue (Month): 6 (December)
|Contact details of provider:|| Postal: |
Phone: +420 2 222112330
Fax: +420 2 22112304
Web page: http://ies.fsv.cuni.cz/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kim, Sangjoon & Shephard, Neil & Chib, Siddhartha, 1998.
"Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models,"
Review of Economic Studies,
Wiley Blackwell, vol. 65(3), pages 361-93, July.
- Tom Doan, . "RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility," Statistical Software Components RTZ00105, Boston College Department of Economics.
- Tom Doan, . "KSCPOSTDRAW: RATS procedure to draw from posterior density needed in stochastic volatility model," Statistical Software Components RTS00101, Boston College Department of Economics.
- Sangjoon Kim, Neil Shephard & Siddhartha Chib, . "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996. "Stochastic Volatility: Likelihood Inference And Comparison With Arch Models," Econometrics 9610002, EconWPA.
- Sangjoon Kim & Neil Shephard, 1994. "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers 3., Economics Group, Nuffield College, University of Oxford.
- Buch, Claudia M. & Koch, Cathérine Tahmee & Koetter, Michael, 2009.
"Margins of international banking: is there a productivity pecking order in banking, too?,"
Discussion Paper Series 2: Banking and Financial Studies
2009,12, Deutsche Bundesbank, Research Centre.
- Claudia M. Buch & Cathérine Tahmee Koch & Michael Kötter, 2009. "Margins of International Banking: Is there a Productivity Pecking Order in Banking, too?," CESifo Working Paper Series 2891, CESifo Group Munich.
- Michelle L. Barnes & Jose A. Lopez, 2005.
"Alternative measures of the Federal Reserve banks' cost of equity capital,"
Public Policy Discussion Paper
05-2, Federal Reserve Bank of Boston.
- Barnes, Michelle L. & Lopez, Jose A., 2006. "Alternative measures of the Federal Reserve Banks' cost of equity capital," Journal of Banking & Finance, Elsevier, vol. 30(6), pages 1687-1711, June.
- Michelle L. Barnes & Jose Lopez, 2005. "Alternative measures of the Federal Reserve banks' cost of equity capital," Working Paper Series 2005-06, Federal Reserve Bank of San Francisco.
- Yener Altunbas & Leonardo Gambacorta & David Marquï¿½s-Ibï¿½ï¿½ez, 2009.
"Bank risk and monetary policy,"
Temi di discussione (Economic working papers)
712, Bank of Italy, Economic Research and International Relations Area.
- Michael R King, 2009. "The cost of equity for global banks: a CAPM perspective from 1990 to 2009," BIS Quarterly Review, Bank for International Settlements, September.
- Koop, Gary & Korobilis, Dimitris, 2010.
"Bayesian Multivariate Time Series Methods for Empirical Macroeconomics,"
Foundations and Trends(R) in Econometrics,
now publishers, vol. 3(4), pages 267-358, July.
- Gary Koop & Dimitris Korobilis, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Working Paper Series 47_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
- Koop, Gary & Korobilis, Dimitris, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," MPRA Paper 20125, University Library of Munich, Germany.
- Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February.
- Groenewold, Nicolaas & Fraser, Patricia, 1999. "Time-varying estimates of CAPM betas," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 531-539.
- Caporale, Tony, 2012. "Time varying CAPM betas and banking sector risk," Economics Letters, Elsevier, vol. 115(2), pages 293-295.
- Nicola Cetorelli & Linda S. Goldberg, 2012.
"Follow the Money: Quantifying Domestic Effects of Foreign Bank Shocks in the Great Recession,"
NBER Working Papers
17873, National Bureau of Economic Research, Inc.
- Nicola Cetorelli & Linda S. Goldberg, 2012. "Follow the Money: Quantifying Domestic Effects of Foreign Bank Shocks in the Great Recession," American Economic Review, American Economic Association, vol. 102(3), pages 213-18, May.
- Nicola Cetorelli & Linda S. Goldberg, 2012. "Follow the money: quantifying domestic effects of foreign bank shocks in the Great Recession," Staff Reports 545, Federal Reserve Bank of New York.
- Sascha Mergner & Jan Bulla, 2005.
"Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques,"
- Sascha Mergner & Jan Bulla, 2008. "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 771-802.
- Milan Rippel & Ivo Jánský, 2011. "Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility," Working Papers IES 2011/27, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2011.
- Lie, Frida & Brooks, Robert & Faff, Robert, 2000. "Modelling the Equity Beta Risk of Australian Financial Sector Companies," Australian Economic Papers, Wiley Blackwell, vol. 39(3), pages 301-11, September.
- Garratt, Rodney & Mahadeva, Lavan & Svirydzenka, Katsiaryna, 2011. "Mapping systemic risk in the international banking network," Bank of England working papers 413, Bank of England.
- Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
When requesting a correction, please mention this item's handle: RePEc:fau:fauart:v:62:y:2012:i:6:p:485-504. 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: (Lenka Herrmannova)
If references are entirely missing, you can add them using this form.