TY - CHAP
T1 - Explaining Systemic Risk in Latin American Banking Industry over 2002-2015
AU - Bellavite Pellegrini, Carlo
AU - Pellegrini, Laura
AU - Sironi, Emiliano
PY - 2019
Y1 - 2019
N2 - 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.
AB - 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.
KW - CoVaR
KW - Global financial crises
KW - Latin American countries
KW - Panel data
KW - Systemic risk
KW - Traditional banking system
KW - Value at risk
KW - CoVaR
KW - Global financial crises
KW - Latin American countries
KW - Panel data
KW - Systemic risk
KW - Traditional banking system
KW - Value at risk
UR - http://hdl.handle.net/10807/143924
UR - http://www.emeraldinsight.com/products/books/series.htm?id=1571-0386
U2 - 10.1108/S1571-038620190000026014
DO - 10.1108/S1571-038620190000026014
M3 - Chapter
SN - 978-1-78973-274-0
VL - 26
T3 - INTERNATIONAL SYMPOSIA IN ECONOMIC THEORY AND ECONOMETRICS
SP - 288
EP - 309
BT - ASIA-PACIFIC CONTEMPORARY FINANCE AND DEVELOPMENT
ER -