全球智库信息集成服务系统(G2TT): An Empirical Analysis of Funding Costs Spillovers in the EURO-zone with Application to Systemic Risk

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w21462
来源ID	Working Paper 21462
	An Empirical Analysis of Funding Costs Spillovers in the EURO-zone with Application to Systemic Risk
	Pietro Bonaldi; Ali Hortaçsu; Jakub Kastl
发表日期	2015-08-17
出版年	2015
语种	英语
摘要	We propose a framework for estimation of spillovers between funding costs of individual banks. The estimation proceeds in three steps: First, using data from liquidity auctions of the European Central Bank, we estimate the funding costs in a given week for each individual bank. In the second step, we apply the adaptive elastic net (a LASSO type estimator) to this panel to estimate the financial network. Finally, using the estimated network we propose new measures of the systemicness and vulnerability of each bank. Our measure of systemicness has quite a natural interpretation, since it can roughly be viewed as the total externality a bank would impose on the funding costs of all other banks in the system. We estimate that most of the banks have fairly weak links and, therefore, if one were to suffer an adverse shock there would likely be a rather limited effect on the other ones. On the other hand, there are a few banks that are quite central: an increase in their funding costs would result in a very significant increase (up to 95 bp per 100 bp shock) in the funding costs of the other banks. Our vulnerability scores estimated using data from 2007-2008 are positively correlated with the probability of a bank being bailed out later.
主题	Financial Economics ; Financial Markets ; Financial Institutions ; Industrial Organization
URL	https://www.nber.org/papers/w21462
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/579137
推荐引用方式 GB/T 7714	Pietro Bonaldi,Ali Hortaçsu,Jakub Kastl. An Empirical Analysis of Funding Costs Spillovers in the EURO-zone with Application to Systemic Risk. 2015.