IDEAS home Printed from
MyIDEAS: Login to save this paper or follow this series

Measuring the Interdependence of Banks in Hong Kong

  • Tom Fong

    (Research Department, Hong Kong Monetary Authority)

  • Laurence Fung

    (Research Department, Hong Kong Monetary Authority)

  • Lillie Lam

    (Research Department, Hong Kong Monetary Authority)

  • Ip-wing Yu

    (Research Department, Hong Kong Monetary Authority)

Registered author(s):

    This paper assesses systemic linkages among banks in Hong Kong using the risk measure "CoVaR" derived from quantile regression. The CoVaR measure captures the co-movements of banks¡¯ default risk by taking into account their nonlinear relationship when the banks are in distress. Based on equity price information, our estimation results show that the default risks of the banks were interdependent during the recent crisis. Although local banks are generally smaller, their systemic importance is found to be similar to their international and Mainland counterparts, which may be due to a higher degree of commonality in the risk profile of local banks. Regarding the impact of external shocks on the banks, international banks are more likely to be affected by the equity price fall in the US market, while local banks are relatively more responsive to funding liquidity risk.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    Paper provided by Hong Kong Monetary Authority in its series Working Papers with number 0919.

    in new window

    Length: 16 pages
    Date of creation: Dec 2009
    Date of revision:
    Handle: RePEc:hkg:wpaper:0919
    Contact details of provider: Postal: 55th Floor, Two International Finance Centre, 8 Finance Street, Central
    Phone: (852)28788261
    Fax: (852)28781892
    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:hkg:wpaper:0919. 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: (Simon Chan)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.