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CONNECTEDNESS IN THE GLOBAL BANKING MARKET NETWORK: IMPLICATIONS FOR RISK MANAGEMENT AND FINANCIAL POLICY

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dc.creatorEDINSON EDGARDO CORNEJO SAAVEDRA
dc.date2024
dc.date.accessioned2025-01-10T15:52:50Z
dc.date.available2025-01-10T15:52:50Z
dc.date.issued2024
dc.description.abstractPREVIOUS STUDIES HAVE ANALYZED THE BANKING MARKET CONNECTEDNESS USING AGGREGATE INDICES OR A SMALL SAMPLE OF BANKS BUT IGNORE THAT THE LINKAGES MAY BE AFFECTED BY SYSTEMIC AND IDIOSYNCRATIC FACTORS. WE ANALYZE THE CONNECTEDNESS BETWEEN 205 BANKS FROM 42 COUNTRIES BETWEEN JANUARY 02, 2007, AND DECEMBER 29, 2023. USING A TWO-STEP APPROACH, WE FIRST REMOVED COMMON GLOBAL FACTORS FROM THE BANKING STOCK VOLATILITY, AND THEN WE USE THE LASSO-VAR MODEL TO ESTIMATE THE BANK STOCK MARKETS NETWORK AS A HIGH-DIMENSIONAL SYSTEM. OUR RESULTS REVEAL THAT THE UNOBSERVABLE COMMON GLOBAL FACTORS OF BANKING STOCK VOLATILITY ACT AS A SYSTEMIC VEHICLE THAT AMPLIFIES SHOCKS. WE IDENTIFY THE MARKETS AND BANKS THAT OFFER SIGNIFICANT ADVANTAGES TO DIVERSIFYING RISK, AND THOSE THAT TRANSMIT THE LARGEST IDIOSYNCRATIC SPILLOVERS AND INDUCE FINANCIAL CONTAGION WITHIN THE NETWORK. THESE RESULTS HAVE IMPORTANT IMPLICATIONS FOR INVESTMENT DECISION-MAKING AND POLICYMAKERS.
dc.formatapplication/pdf
dc.identifier.doi10.1016/j.irfa.2024.103470
dc.identifier.issn1873-8079
dc.identifier.issn1057-5219
dc.identifier.urihttps://repositorio.ubiobio.cl/handle/123456789/14084
dc.languagespa
dc.publisherInternational Review of Financial Analysis
dc.relation.uri10.1016/j.irfa.2024.103470
dc.rightsPUBLICADA
dc.subjectSpillovers
dc.subjectRisk
dc.subjectNetwork
dc.subjectConnectedness
dc.subjectBanking
dc.titleCONNECTEDNESS IN THE GLOBAL BANKING MARKET NETWORK: IMPLICATIONS FOR RISK MANAGEMENT AND FINANCIAL POLICY
dc.typeARTÍCULO
dspace.entity.typePublication
ubb.EstadoPUBLICADA
ubb.Otra ReparticionDEPARTAMENTO DE GESTION EMPRESARIAL
ubb.SedeCHILLÁN
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