Abstract

SYSTEMIC RISK HAS BEEN ONE OF THE MOST INTERESTING ISSUES IN BANKING AND FINANCIAL LITERATURE DURING THE LAST YEARS, PARTICULARLY IN EVALUATING ITS EFFECTS ON THE STABILITY OF THE WHOLE FINANCIAL SYSTEM DURING CRISES. DIFFERENTLY FROM OTHER STUDIES WHICH ANALYSE SYSTEMIC RISK FOCUSING ON EUROPEAN COUNTRIES, WE EXPLORE THE DETERMINANT OF SYSTEMIC RISK IN OTHER REGIONAL OR CONTINENTAL BANKIN SYSTEM, AS LATIN AMERICA. USING THE COVAR APPROACH PROPOSED BY ADRIAN AND BRUNNERMEIER (2016), WE STUDY THE IMPACT OF CORPORATE VARIABLES ON SYSTEMIC RISK ON A SAMPLE OF 30 LATIN AMERICAN BANKS BELONGING TO SEVEN COUNTRIES, CONTINUOSLY LISTED FROM 200Q1 TO 2015 Q4. WE INVESTIGATE THE CONTRUBUTION OF THE CORPORATE VARIABLES OVER DIFFERENT ECONOMIC PERIODS: THE SUBPRIME CRISIS, THE EUROPEAN GREAT FINANCIAL DEPRESSION, AND THE SOVEREIGN DEBT CRISIS.
Original languageEnglish
Title of host publicationASIA-PACIFIC CONTEMPORARY FINANCE AND DEVELOPMENT
Pages288-309
Number of pages22
Volume26
DOIs
Publication statusPublished - 2019

Publication series

NameInternational Symposia in Economic Theory and Econometrics

Keywords

  • CoVaR
  • Global financial crises
  • Latin American countries
  • Panel data
  • Systemic risk
  • Traditional banking system
  • Value at risk

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