Common asset holdings and systemic vulnerability across multiple types of financial institution

Barucca, Paolo; Mahmood, Tahir; Silvestri, Laura

doi:10.1016/j.jfs.2020.100810

Cited by 24 publications

(13 citation statements)

References 26 publications

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“…Therefore, given that FM development improves labor productivity in the long run, the hypothetical impact is presumed to be consistently long-and short-run events for SSA countries. This result is in line with the findings of Ibrahim and Alagidede (2017) for SSA countries and Barucca et al (2021) for the United Kingdom region.…”

Section: Discussionsupporting

confidence: 92%

“…According to Sarwar et al (2020), the relationship between FD and human capital development is significant and positive in developing economies. Barucca et al (2021) and Shahbaz et al (2011) examined the relationship between FI, output, and the unindustrialized sector in Pakistan using the Cobb-Douglas production function, which incorporates FD as the central production factor, for the period from 1971 to 2011. To examine the long-run relationships among the variables, the ARDL bounds test technique for cointegration was used.…”

Section: Impacts Of Fd and Fi On Labor Productivitymentioning

confidence: 99%

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Effects of financial development and capital accumulation on labor productivity in sub-Saharan Africa: new insight from cross sectional autoregressive lag approach

Zoaka

Güngör

2023

Financ Innov

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This study aims to shed light on the effects of financial development and accumulation of capital on the productivity of labor in the sub-Sahara African region within the period of 1990–2018. In this work, we used the (dynamic) common correlated effects estimator-mean group and additional techniques such as cross-section autoregressive distributed lag to calibrate the sample into the African subregion to ensure robustness. The findings reveal that financial progress in the region over time leads to an increase in productivity of labor and also the accumulation of capital. Furthermore, financial markets have a progressive impact on the productivity of labor within sub-Saharan African regions. We extend the very limited literature on the nexus between financial development and labor productivity by incorporating capital accumulation into our model which has not been previously studied.

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Section: Discussionsupporting

confidence: 92%

Section: Impacts Of Fd and Fi On Labor Productivitymentioning

confidence: 99%

Effects of financial development and capital accumulation on labor productivity in sub-Saharan Africa: new insight from cross sectional autoregressive lag approach

Zoaka

Güngör

2023

Financ Innov

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“…Apart from direct connection, it's apparent that banks are indirectly connected by holding overlapping portfolio outside the banking system as in Figure 1 (b). Barucca et al (2021) empirically find significant overlapping equity and debt portfolios between different types of financial institution, providing evidence for the existence of a price-mediated channel of contagion between banks. The third type of network is much more complex, including not only direct cross-holding, but also indirect dependency by holding mutual assets as in Figure 1 (c).…”

Section: Introductionmentioning

confidence: 82%

Hierarchical contagions in the interdependent financial network

Barnett¹,

Wang²,

Xu³

et al. 2021

Preprint

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We model hierarchical cascades of failures among banks linked through an interdependent network. The interaction among banks include not only direct cross-holding, but also indirect dependency by holding mutual assets outside the banking system. Using data extracted from the European Banking Authority, we present the interdependency network composed of 48 banks and 21 asset classes. Since interbank exposures are not public, we first reconstruct the asset/liability cross-holding network using the aggregated claims. For the robustness, we employ three reconstruction methods, called Anan, Hała and Maxe. Then we combine the external portfolio holdings of each bank to compute the interdependency matrix. The interdependency network is much denser than the direct cross-holding network, showing the complex latent interaction among banks. Finally, we perform macroprudential stress tests for the European banking system, using the adverse scenario in EBA stress test as the initial shock. For different reconstructed networks, we illustrate the hierarchical cascades and show that the failure hierarchies are roughly the same except for a few banks, reflecting the overlapping portfolio holding accounts for the majority of defaults. Understanding the interdependency network and the hierarchy of the cascades should help to improve policy intervention and implement rescue strategy.

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“…In this respect, some studies have looked at portfolio similarity between U.S. investment funds (Georg et al, 2019;Braverman and Minca, 2018;Fricke, 2019;Delpini et al, 2019) and U.S. insurers (Girardi et al, 2018). Our work is the closest to Barucca et al (2020), who study common asset holdings across UK banks and European funds. However, they consider portfolio holdings at the security issuer (where each asset is identified by a LEI -Legal Entity Identifier), while we focus on those at the ISIN level (where each asset is identified by using the International Securities Identification Number).…”

Section: Literature Reviewmentioning

confidence: 99%

Modelling fire sale contagion across banks and non-banks

Caccioli,

Ferrara,

Ramadiah

2024

Journal of Financial Stability

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Common asset holdings and systemic vulnerability across multiple types of financial institution

Cited by 24 publications

References 26 publications

Effects of financial development and capital accumulation on labor productivity in sub-Saharan Africa: new insight from cross sectional autoregressive lag approach

Effects of financial development and capital accumulation on labor productivity in sub-Saharan Africa: new insight from cross sectional autoregressive lag approach

Hierarchical contagions in the interdependent financial network

Modelling fire sale contagion across banks and non-banks

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