Estimating systemic risk in the international financial system

• 成果类型: Article
• 署名作者: Bartram, Soehnke M.; Brown, Gregory W.; Hund, John E.
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; Lancaster University; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.10.001
• 发表日期: 2007
• 页码: 835-869
• 关键词: systemic risk; default risk; Credit risk; banks; exposure; Emerging markets

摘要

This paper develops three distinct methods to quantify the risk of a systemic failure in the global banking system. We examine a sample of 334 banks (representing 80% of global bank equity) in 28 countries around five global financial crises. Our results suggest statistically significant, but economically small, increases in systemic risk. Although policy responses are endogenous, the low estimated probabilities suggest that the distress of central bankers, regulators and politicians about the events we study could be overstated and that current policy responses to financial crises could be adequate to handle major macroeconomic events. (c) 2007 Elsevier B.V. All rights reserved.