Risk exposures and financial spillovers in tranquil and crisis times: bank-level evidence
For a sample of 83 financial institutions during 2003-2011, this paper attempts to answer three questions: first, what is the evolution of banks' stock price exposure to country-level and global risk factors as approximated by equity indices; second, which bank-specific characteristics explain...
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| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, DC
IMF
2013
|
| Schriftenreihe: | IMF working paper
13/142 |
| Schlagworte: | |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | For a sample of 83 financial institutions during 2003-2011, this paper attempts to answer three questions: first, what is the evolution of banks' stock price exposure to country-level and global risk factors as approximated by equity indices; second, which bank-specific characteristics explain these risk exposures; third, are there clusters of banks with equity price linkages beyond market risk factors. The paper finds a rise in sensitivities to both country and global risk factors in 2011, although on average to levels still below those of the subprime crisis. The average sensitivity to European risk, specifically, has been steadily rising since 2008. Banks that are reliant on wholesale funding, have weaker capital levels and low valuations, and higher exposures to crisis countries are found to be the most vulnerable to shocks. The analysis of bank-to-bank linkages suggests that any "globalization" of the euro area crisis is likely to be channelled through U.K. and U.S. banks, with little evidence of direct spillover effects to other regions For a sample of 83 financial institutions during 2003-2011, this paper attempts to answer three questions: first, what is the evolution of banks' stock price exposure to country-level and global risk factors as approximated by equity indices; second, which bank-specific characteristics explain these risk exposures; third, are there clusters of banks with equity price linkages beyond market risk factors. The paper finds a rise in sensitivities to both country and global risk factors in 2011, although on average to levels still below those of the subprime crisis. The average sensitivity to European risk, specifically, has been steadily rising since 2008. Banks that are reliant on wholesale funding, have weaker capital levels and low valuations, and higher exposures to crisis countries are found to be the most vulnerable to shocks. The analysis of bank-to-bank linkages suggests that any "globalization" of the euro area crisis is likely to be channelled through U.K. and U.S. banks, with little evidence of direct spillover effects to other regions |
| Beschreibung: | Description based upon print version of record |
| Beschreibung: | 1 Online-Ressource (45 Seiten) graph. Darst |
| Format: | Systemvoraussetzungen: Acrobat Reader |
| ISBN: | 9781484311240 |
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| 245 | 1 | 0 | |a Risk exposures and financial spillovers in tranquil and crisis times |b bank-level evidence |c Hélène Poirson and Jochen Schmittmann |
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| 505 | 8 | |a Cover; Abstract; Contents; I. Introduction; II. Related Literature; A. Bank Exposures to Common Shocks; B. Bank Exposures to Other Banks; III. Estimation Framework; A. Factor Specification; B. Estimated Bank Betas: Relation with Bank Characteristics; C. Bank to Bank Spillovers; IV. Data; V. Regression Results: Financial Linkages from 2003H1 to 2011H2; A. Global vs. Country Risk; Figures; Figure 1. World and Country Beta; Figure 2. What explains stock return variance?; Figure 3. Average World Beta: Germany, France, UK, US, and All | |
| 505 | 8 | |a Figure 4. Average Country Beta: Germany, France, UK, US, and AllFigure 5. World and Europe Beta; Figure 6. What explains stock return variance?; Figure 7. US - What explains stock return variance?; Figure 8. UK - What explains stock return variance?; B. Bank Betas and Bank Characteristics; Figure 9. Germany -What explains stock return variance?; Figure 10. France -What explains stock return variance?; Tables; C. Bank Spillovers; D. Robustness Check; VI. Conclusions and Policy Implications; Table 1. Financial Institutions Sample | |
| 505 | 8 | |a Table 2. Correlation of Daily Returns of MSCI Indices, 2003 H1-2011 H2Table 3. Cross-sectional regressions of the world stock market betas on firm-level measures of fundamental characteristics: 2006 H1; Table 4. Cross-sectional regressions of the world stock market betas on firm-level measures of fundamental characteristics: 2011 H1; Table 5. Cross-sectional regressions of the country stock market betas on firm-level measures of fundamental characteristics: 2006 H1 | |
| 505 | 8 | |a Table 6. Cross-sectional regressions of the country stock market betas on firm-level measures of fundamental characteristics: 2011 H1Table 7. Top Receivers of Spillovers from German Banks; Table 8. Top Receivers of Spillovers from French andU.K.Banks; Figure 11. Bank World Beta and Bank Fundamentals, 2006 H1; Figure 12. Bank World Beta and Bank Fundamentals, 2011 H1; Figure 13. Bank Country Beta and Bank Fundamentals, 2006 H1; Figure 14. Bank Country Beta and Bank Fundamentals, 2011 H1; References | |
| 520 | 3 | |a For a sample of 83 financial institutions during 2003-2011, this paper attempts to answer three questions: first, what is the evolution of banks' stock price exposure to country-level and global risk factors as approximated by equity indices; second, which bank-specific characteristics explain these risk exposures; third, are there clusters of banks with equity price linkages beyond market risk factors. The paper finds a rise in sensitivities to both country and global risk factors in 2011, although on average to levels still below those of the subprime crisis. The average sensitivity to European risk, specifically, has been steadily rising since 2008. Banks that are reliant on wholesale funding, have weaker capital levels and low valuations, and higher exposures to crisis countries are found to be the most vulnerable to shocks. The analysis of bank-to-bank linkages suggests that any "globalization" of the euro area crisis is likely to be channelled through U.K. and U.S. banks, with little evidence of direct spillover effects to other regions | |
| 520 | 3 | |a For a sample of 83 financial institutions during 2003-2011, this paper attempts to answer three questions: first, what is the evolution of banks' stock price exposure to country-level and global risk factors as approximated by equity indices; second, which bank-specific characteristics explain these risk exposures; third, are there clusters of banks with equity price linkages beyond market risk factors. The paper finds a rise in sensitivities to both country and global risk factors in 2011, although on average to levels still below those of the subprime crisis. The average sensitivity to European risk, specifically, has been steadily rising since 2008. Banks that are reliant on wholesale funding, have weaker capital levels and low valuations, and higher exposures to crisis countries are found to be the most vulnerable to shocks. The analysis of bank-to-bank linkages suggests that any "globalization" of the euro area crisis is likely to be channelled through U.K. and U.S. banks, with little evidence of direct spillover effects to other regions | |
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Datensatz im Suchindex
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| author | Poirson, Hélène Schmittmann, Jochen Markus 1981- |
| author_GND | (DE-588)171833538 (DE-588)1019867019 |
| author_facet | Poirson, Hélène Schmittmann, Jochen Markus 1981- |
| author_role | aut aut |
| author_sort | Poirson, Hélène |
| author_variant | h p hp j m s jm jms |
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| bvnumber | BV048341452 |
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| contents | Cover; Abstract; Contents; I. Introduction; II. Related Literature; A. Bank Exposures to Common Shocks; B. Bank Exposures to Other Banks; III. Estimation Framework; A. Factor Specification; B. Estimated Bank Betas: Relation with Bank Characteristics; C. Bank to Bank Spillovers; IV. Data; V. Regression Results: Financial Linkages from 2003H1 to 2011H2; A. Global vs. Country Risk; Figures; Figure 1. World and Country Beta; Figure 2. What explains stock return variance?; Figure 3. Average World Beta: Germany, France, UK, US, and All Figure 4. Average Country Beta: Germany, France, UK, US, and AllFigure 5. World and Europe Beta; Figure 6. What explains stock return variance?; Figure 7. US - What explains stock return variance?; Figure 8. UK - What explains stock return variance?; B. Bank Betas and Bank Characteristics; Figure 9. Germany -What explains stock return variance?; Figure 10. France -What explains stock return variance?; Tables; C. Bank Spillovers; D. Robustness Check; VI. Conclusions and Policy Implications; Table 1. Financial Institutions Sample Table 2. Correlation of Daily Returns of MSCI Indices, 2003 H1-2011 H2Table 3. Cross-sectional regressions of the world stock market betas on firm-level measures of fundamental characteristics: 2006 H1; Table 4. Cross-sectional regressions of the world stock market betas on firm-level measures of fundamental characteristics: 2011 H1; Table 5. Cross-sectional regressions of the country stock market betas on firm-level measures of fundamental characteristics: 2006 H1 Table 6. Cross-sectional regressions of the country stock market betas on firm-level measures of fundamental characteristics: 2011 H1Table 7. Top Receivers of Spillovers from German Banks; Table 8. Top Receivers of Spillovers from French andU.K.Banks; Figure 11. Bank World Beta and Bank Fundamentals, 2006 H1; Figure 12. Bank World Beta and Bank Fundamentals, 2011 H1; Figure 13. Bank Country Beta and Bank Fundamentals, 2006 H1; Figure 14. Bank Country Beta and Bank Fundamentals, 2011 H1; References |
| ctrlnum | (ZDB-1-IMF)768411815 (OCoLC)857071542 (DE-599)GBV768411815 |
| format | Electronic eBook |
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| id | DE-604.BV048341452 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:13Z |
| indexdate | 2024-07-10T09:35:20Z |
| institution | BVB |
| isbn | 9781484311240 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033720719 |
| oclc_num | 857071542 |
| open_access_boolean | |
| owner | DE-20 DE-824 DE-70 DE-155 DE-BY-UBR DE-29 DE-22 DE-BY-UBG DE-473 DE-BY-UBG DE-1102 DE-703 DE-859 DE-706 DE-384 DE-860 DE-19 DE-BY-UBM DE-739 DE-355 DE-BY-UBR DE-Aug4 DE-1049 DE-12 DE-91 DE-BY-TUM |
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| physical | 1 Online-Ressource (45 Seiten) graph. Darst |
| psigel | ZDB-1-IMF |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | IMF |
| record_format | marc |
| series2 | IMF working paper |
| spelling | Poirson, Hélène Verfasser (DE-588)171833538 aut Risk exposures and financial spillovers in tranquil and crisis times bank-level evidence Hélène Poirson and Jochen Schmittmann Washington, DC IMF 2013 1 Online-Ressource (45 Seiten) graph. Darst txt rdacontent c rdamedia cr rdacarrier IMF working paper 13/142 Description based upon print version of record Cover; Abstract; Contents; I. Introduction; II. Related Literature; A. Bank Exposures to Common Shocks; B. Bank Exposures to Other Banks; III. Estimation Framework; A. Factor Specification; B. Estimated Bank Betas: Relation with Bank Characteristics; C. Bank to Bank Spillovers; IV. Data; V. Regression Results: Financial Linkages from 2003H1 to 2011H2; A. Global vs. Country Risk; Figures; Figure 1. World and Country Beta; Figure 2. What explains stock return variance?; Figure 3. Average World Beta: Germany, France, UK, US, and All Figure 4. Average Country Beta: Germany, France, UK, US, and AllFigure 5. World and Europe Beta; Figure 6. What explains stock return variance?; Figure 7. US - What explains stock return variance?; Figure 8. UK - What explains stock return variance?; B. Bank Betas and Bank Characteristics; Figure 9. Germany -What explains stock return variance?; Figure 10. France -What explains stock return variance?; Tables; C. Bank Spillovers; D. Robustness Check; VI. Conclusions and Policy Implications; Table 1. Financial Institutions Sample Table 2. Correlation of Daily Returns of MSCI Indices, 2003 H1-2011 H2Table 3. Cross-sectional regressions of the world stock market betas on firm-level measures of fundamental characteristics: 2006 H1; Table 4. Cross-sectional regressions of the world stock market betas on firm-level measures of fundamental characteristics: 2011 H1; Table 5. Cross-sectional regressions of the country stock market betas on firm-level measures of fundamental characteristics: 2006 H1 Table 6. Cross-sectional regressions of the country stock market betas on firm-level measures of fundamental characteristics: 2011 H1Table 7. Top Receivers of Spillovers from German Banks; Table 8. Top Receivers of Spillovers from French andU.K.Banks; Figure 11. Bank World Beta and Bank Fundamentals, 2006 H1; Figure 12. Bank World Beta and Bank Fundamentals, 2011 H1; Figure 13. Bank Country Beta and Bank Fundamentals, 2006 H1; Figure 14. Bank Country Beta and Bank Fundamentals, 2011 H1; References For a sample of 83 financial institutions during 2003-2011, this paper attempts to answer three questions: first, what is the evolution of banks' stock price exposure to country-level and global risk factors as approximated by equity indices; second, which bank-specific characteristics explain these risk exposures; third, are there clusters of banks with equity price linkages beyond market risk factors. The paper finds a rise in sensitivities to both country and global risk factors in 2011, although on average to levels still below those of the subprime crisis. The average sensitivity to European risk, specifically, has been steadily rising since 2008. Banks that are reliant on wholesale funding, have weaker capital levels and low valuations, and higher exposures to crisis countries are found to be the most vulnerable to shocks. The analysis of bank-to-bank linkages suggests that any "globalization" of the euro area crisis is likely to be channelled through U.K. and U.S. banks, with little evidence of direct spillover effects to other regions Online-Ausg Systemvoraussetzungen: Acrobat Reader Electronic books Schmittmann, Jochen Markus 1981- Verfasser (DE-588)1019867019 aut http://elibrary.imf.org/view/IMF001/20555-9781484311240/20555-9781484311240/20555-9781484311240.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Poirson, Hélène Schmittmann, Jochen Markus 1981- Risk exposures and financial spillovers in tranquil and crisis times bank-level evidence Cover; Abstract; Contents; I. Introduction; II. Related Literature; A. Bank Exposures to Common Shocks; B. Bank Exposures to Other Banks; III. Estimation Framework; A. Factor Specification; B. Estimated Bank Betas: Relation with Bank Characteristics; C. Bank to Bank Spillovers; IV. Data; V. Regression Results: Financial Linkages from 2003H1 to 2011H2; A. Global vs. Country Risk; Figures; Figure 1. World and Country Beta; Figure 2. What explains stock return variance?; Figure 3. Average World Beta: Germany, France, UK, US, and All Figure 4. Average Country Beta: Germany, France, UK, US, and AllFigure 5. World and Europe Beta; Figure 6. What explains stock return variance?; Figure 7. US - What explains stock return variance?; Figure 8. UK - What explains stock return variance?; B. Bank Betas and Bank Characteristics; Figure 9. Germany -What explains stock return variance?; Figure 10. France -What explains stock return variance?; Tables; C. Bank Spillovers; D. Robustness Check; VI. Conclusions and Policy Implications; Table 1. Financial Institutions Sample Table 2. Correlation of Daily Returns of MSCI Indices, 2003 H1-2011 H2Table 3. Cross-sectional regressions of the world stock market betas on firm-level measures of fundamental characteristics: 2006 H1; Table 4. Cross-sectional regressions of the world stock market betas on firm-level measures of fundamental characteristics: 2011 H1; Table 5. Cross-sectional regressions of the country stock market betas on firm-level measures of fundamental characteristics: 2006 H1 Table 6. Cross-sectional regressions of the country stock market betas on firm-level measures of fundamental characteristics: 2011 H1Table 7. Top Receivers of Spillovers from German Banks; Table 8. Top Receivers of Spillovers from French andU.K.Banks; Figure 11. Bank World Beta and Bank Fundamentals, 2006 H1; Figure 12. Bank World Beta and Bank Fundamentals, 2011 H1; Figure 13. Bank Country Beta and Bank Fundamentals, 2006 H1; Figure 14. Bank Country Beta and Bank Fundamentals, 2011 H1; References |
| title | Risk exposures and financial spillovers in tranquil and crisis times bank-level evidence |
| title_auth | Risk exposures and financial spillovers in tranquil and crisis times bank-level evidence |
| title_exact_search | Risk exposures and financial spillovers in tranquil and crisis times bank-level evidence |
| title_exact_search_txtP | Risk exposures and financial spillovers in tranquil and crisis times bank-level evidence |
| title_full | Risk exposures and financial spillovers in tranquil and crisis times bank-level evidence Hélène Poirson and Jochen Schmittmann |
| title_fullStr | Risk exposures and financial spillovers in tranquil and crisis times bank-level evidence Hélène Poirson and Jochen Schmittmann |
| title_full_unstemmed | Risk exposures and financial spillovers in tranquil and crisis times bank-level evidence Hélène Poirson and Jochen Schmittmann |
| title_short | Risk exposures and financial spillovers in tranquil and crisis times |
| title_sort | risk exposures and financial spillovers in tranquil and crisis times bank level evidence |
| title_sub | bank-level evidence |
| url | http://elibrary.imf.org/view/IMF001/20555-9781484311240/20555-9781484311240/20555-9781484311240.xml |
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