Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/297369 
Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
ECB Working Paper No. 2929
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
We evaluate the effects of contagion and common exposure on banks' capital through a regression design inspired by the structural VAR literature and derived from the balance sheet identity. Contagion can occur through direct exposures, fire sales, and market-based sentiment, while common exposures result from portfolio overlaps. We estimate the structural regression on granular balance sheet and interbank exposure data of the Canadian banking market. First, we document that contagion varies in time, with the highest levels around the Great Financial Crisis and lowest levels during the pandemic. Second, we find that after the introduction of Basel III the relative importance of risks has changed, hinting that sources of systemic risk have changed structurally. Our new framework complements traditional stress-tests focused on single institutions by providing a holistic view of systemic risk.
Schlagwörter: 
Systemic Risk
Contagion
Networks
Structural estimation
Banking
JEL: 
G21
C32
C51
L14
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-6677-1
Dokumentart: 
Working Paper

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