Short-term wholesale funding and systemic risk: A global CoVaR approach

被引：158

作者：

Lopez-Espinosa, German ^{[2
]}

Moreno, Antonio ^{[2
]}

Rubia, Antonio ^{[3
]}

Valderrama, Laura ^{[1
]}

机构：

[1] Int Monetary Fund, Washington, DC 20431 USA

[2] Univ Navarra, Sch Econ & Business Adm, E-31080 Pamplona, Spain

[3] Univ Alicante, Dept Financial Econ, Alicante, Spain

来源：

JOURNAL OF BANKING & FINANCE | 2012年 / 36卷 / 12期

关键词：

Systemic importance; Liquidity risk; Macroprudential regulation; LIQUIDITY;

D O I：

10.1016/j.jbankfin.2012.04.020

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We use the CoVaR approach to identify the main factors behind systemic risk in a set of large international banks. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find weaker evidence that either size or leverage contributes to systemic risk within the class of large international banks. We also show that asymmetries based on the sign of bank returns play an important role in capturing the sensitivity of system-wide risk to individual bank returns. Since short-term wholesale funding emerges as the most relevant systemic factor, our results support the Basel Committee's proposal to introduce a net stable funding ratio, penalizing excessive exposure to liquidity risk. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：3150 / 3162

页数：13