Intra-Industry Contagion Effects of Earnings Surprises in the Banking Sector

2009 ◽  
Author(s):  
Marcel Prokopczuk
Keyword(s):  
Banking Sector ◽  
Contagion Effects ◽  
Earnings Surprises

scholarly journals Bail-In or Bail-Out? Correlation Networks to Measure the Systemic Implications of Bank Resolution

Risks ◽  
2019 ◽  
Vol 7 (1) ◽  
pp. 3 ◽  
Author(s):  
Paolo Giudici ◽  
Laura Parisi
Keyword(s):  
Risk Premium ◽  
Banking Sector ◽  
Financial Institution ◽  
Correlation Networks ◽  
Contagion Effects ◽  
Bank Resolution ◽  
Systemic Risks ◽  
Alternative Scenarios ◽  
Bail Out ◽  
Intervention Scenario

We propose a statistical measure, based on correlation networks, to evaluate the systemic risk that could arise from the resolution of a failing or likely-to-fail financial institution, under three alternative scenarios: liquidation, private recapitalization, or bail-in. The measure enhances the observed CDS spreads with a risk premium that derives from contagion effects across financial institutions. The empirical findings reveal that the recapitalization of a distressed bank performed by the other banks in the system and the bail-in resolution minimize the potential losses for the banking sector with respect to the liquidation scenario, thus posing limited systemic risks. A closer comparison between the private intervention recapitalization and the bail-in tool shows that the latter slightly reduces contagion effects with respect to the private intervention scenario.

scholarly journals Assessing the interconnectedness and systemic risk contagion in the Chinese banking network

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ming Qi ◽  
Danyang Shi ◽  
Shaoyi Feng ◽  
Pei Wang ◽  
Amuji Bridget Nnenna
Keyword(s):  
Network Topology ◽  
Network Structure ◽  
Banking Sector ◽  
Balance Sheet ◽  
Centrality Measures ◽  
Interbank Market ◽  
Content Type ◽  
Contagion Effects ◽  
Liquidity Shock ◽  
Chinese Banking

PurposeIn this paper, the authors use the balance sheet data to investigate the interconnectedness and risk contagion effects in China's banking sector. They firstly study the network structure and centrality of the interbank network. Then, they investigate how and to what extent the credit shock and liquidity shock can lead to the risk propagation in the banking network.Design/methodology/approachReferring to the theoretical framework by Haldane and May (2011), this paper uses the network topology theory to analyze the contagion mechanism of credit shock and liquidity shock. Centrality measures and log-log plot are used to evaluate the interconnectedness of China's banking network.FindingsThe network topology has shown clustering effects of large banks in China's financial network. If the Industrial and Commercial Bank of China (ICBC) is in distress, the credit shock has little impact on the Chinese banking sector. However, the liquidity shock has shown more substantial effects than that of the credit shock. The discount rate and the rollover ratio play significant roles in determining the contagion effects. If the credit shock and liquidity shock coincide, the contagion effects will be amplified.Research limitations/implicationsThe results of this paper reveal the network structure of China's interbank market and the resilience of banking system to the adverse shock. The findings are valuable for regulators to make policies and supervise the systemic important banks.Originality/valueThe balance sheet data of different types of banks are used to construct a bilateral exposure matrix. Based on the matrix, this paper investigates the knock-on effects of credit shock triggered by the debt default in the interbank market, the knock-on effects of liquidity effects, which is featured by “fire sale” of bank assets, and the contagion effects of combined shocks.

Characteristics of Banking Crises

2016 ◽  
Vol 236 (3) ◽  
pp. 349-388
Author(s):  
Ralf Fendel ◽  
Hanno Stremmel
Keyword(s):  
Early Warning ◽  
Banking Sector ◽  
Warning System ◽  
Banking Crises ◽  
Structural Features ◽  
Annual Data ◽  
Contagion Effects ◽  
Country Comparison ◽  
Crisis Events ◽  
Cross Country

Abstract This paper compares determinants of banking sector crises using an early warning system approach in a diverse cross-country panel. We cover 152 countries using annual data from 1990 to 2011. We provide three main contributions: (i) accommodating different influences on banking sector fragility (banking sector, macroeconomic and structural features) in a wide country panel; (ii) introducing a variable accounting for geographical contagion effects; and (iii) cross country comparison based on two subsamples: advanced and developing countries. We find systematic differences between country groups and evidence for the influence of geographical contagion effects. The specification produces reliable early warning signals to detect crisis events on the banking sector level.

Crisis Phones - Suicide Prevention Versus Suggestion/Contagion Effects

Crisis ◽  
2015 ◽  
Vol 36 (3) ◽  
pp. 220-224 ◽  
Author(s):  
Steven Stack
Keyword(s):  
Suicide Prevention ◽  
Contagion Effects ◽  
Long Term Impact

Abstract. Background: There has been no systematic work on the short- or long-term impact of the installation of crisis phones on suicides from bridges. The present study addresses this issue. Method: Data refer to 219 suicides from 1954 through 2013 on the Skyway Bridge in St. Petersburg, Florida. Six crisis phones with signs were installed in July 1999. Results: In the first decade after installation, the phones were used by 27 suicidal persons and credited with preventing 26 or 2.6 suicides a year. However, the net suicide count increased from 48 in the 13 years before installation of phones to 106 the following 13 years or by 4.5 additional suicides/year (t =3.512, p < .001). Conclusion: Although the phones prevented some suicides, there was a net increase after installation. The findings are interpreted with reference to suggestion/contagion effects including the emergence of a controversial bridge suicide blog.

Closeness, reactance, and goal contagion effects

2007 ◽  
Author(s):  
Tanya L. Chartrand ◽  
Pontus Leander ◽  
James Y. Shah
Keyword(s):  
Contagion Effects

The Systemic Effects of Prudential Regulation Toughening:The Results of a Stress-test for Russian Banks

2012 ◽  
pp. 4-31 ◽  
Author(s):  
M. Mamonov ◽  
A. Pestova ◽  
O. Solntsev
Keyword(s):  
Financial Services ◽  
Banking Sector ◽  
Stress Test ◽  
Credit Market ◽  
Capital Adequacy ◽  
Government Support ◽  
Government Ownership ◽  
Prudential Regulation ◽  
The Government ◽  
The Stability

The stability of Russian banking sector is threatened by three negative tendencies - overheating of the credit market, significant decrease of banks capital adequacy ratios, and growing problems associated with banks lending to affiliated non-financial corporations. The co-existence of these processes reflects the crisis of the model of private investments in Russian banking sector, which was observed during the last 20 years. This paper analyzes the measures of the Bank of Russia undertaken to maintain the stability of the banking sector using the methodology of credit risk stress-testing. Based on this methodology we conclude that the Bank of Russias actions can prevent the overheating of the credit market, but they can also lead to undesirable effects: further expansion of the government ownership in Russian banking sector and substitution of domestic credit supply by cross-border corporate borrowings. The later weakens the competitive positions of Russian banks. We propose a set of measures to harmonize the prudential regulation of banks. Our suggestions rely on design and further implementation of the programs aimed at developing new markets for financial services provided by Russian banks to their corporate and retail customers. The estimated effects of proposed policy measures are both the increase in profitability and capitalization of Russian banks and the decrease of banks demand for government support.

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