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Bail-in and interbank contagion risk: an application of FSQCA methodology

Author

Listed:
  • Marc Sanchez-Roger

    (University of Seville, Spain)

  • María Dolores Oliver-Alfonso

    (University of Seville, Spain)

  • Carlos Sanchís-Pedregosa

    (University of Seville, Spain)

  • Carlos Sanchís-Pedregosa

    (Universidad del Pacífico, Peru)

  • Norat Roig-Tierno

    (ESIC Business & Marketing School, Spain)

Abstract

This work uses fuzzy set theory and qualitative comparative analysis (QCA) to determine the causal configurations leading to interbank contagion in a resolution event. This study pioneers the introduction of fsQCA methodology in banking crisis analyses. The event providing the necessary data for this study is the resolution of the Spanish bank Banco Popular. We develop sufficient and necessary condition analyses to find the key metrics that lead to interbank contagion. The results demonstrate that weak solvency metrics, low asset quality and belonging to the same country where the resolution has been triggered tend to lead to higher contagion.

Suggested Citation

  • Marc Sanchez-Roger & María Dolores Oliver-Alfonso & Carlos Sanchís-Pedregosa & Carlos Sanchís-Pedregosa & Norat Roig-Tierno, 2020. "Bail-in and interbank contagion risk: an application of FSQCA methodology," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 7(4), pages 2604-2614, June.
    • Handle: RePEc:ssi:jouesi:v:7:y:2020:i:4:p:2604-2614
    DOI: 10.9770/jesi.2020.7.4(3)
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    References listed on IDEAS

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    1. Hüser, Anne-Caroline & Hałaj, Grzegorz & Kok, Christoffer & Perales, Cristian & van der Kraaij, Anton, 2018. "The systemic implications of bail-in: A multi-layered network approach," Journal of Financial Stability, Elsevier, vol. 38(C), pages 81-97.
    2. Martin R Schneider & Conrad Schulze-Bentrop & Mihai Paunescu, 2010. "Mapping the institutional capital of high-tech firms: A fuzzy-set analysis of capitalist variety and export performance," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 41(2), pages 246-266, February.
    3. Viral V. Acharya & Tanju Yorulmazer, 2008. "Information Contagion and Bank Herding," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(1), pages 215-231, February.
    4. Rajkamal Iyer & José-Luis Peydró, 2011. "Interbank Contagion at Work: Evidence from a Natural Experiment," The Review of Financial Studies, Society for Financial Studies, vol. 24(4), pages 1337-1377.
    5. José María García Álvarez-Coque & Francisco Mas-Verdú & Norat Roig-Tierno, 2017. "Technological innovation versus non-technological innovation: different conditions in different regional contexts?," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(5), pages 1955-1967, September.
    6. Marcello Pericoli & Massimo Sbracia, 2003. "A Primer on Financial Contagion," Journal of Economic Surveys, Wiley Blackwell, vol. 17(4), pages 571-608, September.
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    More about this item

    Keywords

    bail-in; banking resolution; FSQCA; contagion risk;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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