JFS-D-21-00307_manuscript_CLEAN_09_2021_RT.pdf (593.75 kB)
Risk spillovers and interconnectedness between systemically important institutions
journal contribution
posted on 2023-06-10, 01:59 authored by Alin Marius Andries, Steven Ongena, Nicu Sprincean, Radu TunaruRadu TunaruIn this paper, we gauge the degree of interconnectedness and quantify the linkages between global and other systemically important institutions, and the global financial system. We document that the two groups and the financial system become more interconnected during the global financial crisis when linkages across groups grow. In contrast, during tranquil times linkages within groups prevail. Global systemically important banks (G-SIBs) contribute most to system-wide distress but are also most exposed. There are more links coming from G-SIBs to other systemically important institutions (O-SIIs) than the other way around, confirming the role of G-SIBs as major risk transmitters in the financial system. The two groups and the global financial system tend to co-vary for periods up to 60 days Prior to their official designation as G-SIBs or O-SIIs, the prevalent news sentiment about these institutions (we measure with a textual analysis) was negative. Importantly, the systemic importance and exposure of G-SIBs and O-SIIs is perceived differently by the Financial Stability Board (FSB) and the European Banking Authority (EBA).
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Publication status
- Published
File Version
- Accepted version
Journal
Journal of Financial StabilityISSN
1572-3089Publisher
ElsevierExternal DOI
Page range
1-59Article number
a100963Department affiliated with
- Accounting and Finance Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2021-12-13First Compliant Deposit (FCD) Date
2021-12-13Usage metrics
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