Herculano, M. C. (2018) The role of contagion in the transmission of financial stress. Working Paper Series No. 81. Working Paper. European Systemic Risk Board. (doi: 10.2849/73011).
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Publisher's URL: https://www.esrb.europa.eu/pub/pdf/wp/esrb.wp81.en.pdf
Abstract
I examine the relevance of contagion in explaining financial distress in the US banking system by identifying the component of bank level probabilities that is due to contagion. Identification is achieved after controlling for macrofinancial and bank specific shocks that have similar consequences to contagion. I use a Bayesian spatial autoregressive model that allows for time-dependent network interactions, and find that bank default likelihoods depend, to a large extent, on peer effects that account on average for approximately 35 per cent of total distress. Furthermore, I find evidence of significant heterogeneity amongst banks and some institutions to be systemically more important that others, in terms of peer effects.
| Item Type: | Research Reports or Papers (Working Paper) |
|---|---|
| Status: | Published |
| Glasgow Author(s) Enlighten ID: | Colburn Herculano, Mr Miguel |
| Authors: | Herculano, M. C. |
| College/School: | College of Social Sciences > Adam Smith Business School > Economics |
| Publisher: | European Systemic Risk Board |
| ISBN: | 9789294720481 |
| Related URLs: |
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