Systemic interconnectedness among Asian Banks

Mensah, Jones Odei; Premaratne, Gamini

doi:10.1016/j.japwor.2016.12.004

Cited by 22 publications

(15 citation statements)

References 17 publications

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“…There are also some other empirical studies which the applied CoVaR in different sectors, countries and geographical areas. Mensaha and Premaratne (2017) used CoVaR and Granger causality network to analyze the systemically important financial institutes in the Asian financial market. In another paper, Yun and Moon (2014) applied DCC to estimate the values of CoVaR and SRISK as the systemic risk measures in the South Korean banking system.…”

Section: Literature Reviewmentioning

confidence: 99%

What are the most effective and vulnerable firms in financial crisis? A network representation of CoVaR in an emerging market

Dastkhan

2019

J. Finan. Eng.

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In this paper, financial networks are applied to develop new measures of systemic risk. Using the CoVaR as a well-defined systemic risk measure, risk spillovers among different firms are estimated in Tehran Stock Exchange. Networks of systemic risk exposures are represented across time and two indices of vulnerability and systemic importance are introduced to define the most effective and vulnerable firms. The results show that the proposed network-based indices have a good performance to identify the vulnerable and systemically important firms. The results also show that when the market is in periods of financial downturn/crisis, the network interconnectedness was maximized.

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Section: Literature Reviewmentioning

confidence: 99%

What are the most effective and vulnerable firms in financial crisis? A network representation of CoVaR in an emerging market

Dastkhan

2019

J. Finan. Eng.

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“…The broad issue of financial contagion and interconnectedness is not limited to Euro area, which offers a natural laboratory of studying the shocks' transmissions among different economies under the same monetary framework. Other papers focus on the concept of financial contagion in Latin American stock markets [Romero-Meza et al (2015)], the interconnectedness of Asian banks [Mensah and Premaratne (2017)], as well as spillover effects from US to Asian financial markets [Kim et al (2015)].…”

Section: Literature Reviewmentioning

confidence: 99%

The Financial Connectedness Between Eurozone Core and Periphery: A Disaggregated View

Magkonis

Tsopanakis

2019

Macroecon. Dynam.

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This paper examines the financial stress interconnectedness among Greece, Ireland, Italy, Portugal, and Spain (GIIPS) economies and Germany. Based on market-level financial stress indices, we examine the stress transmission process as well as the causal network relationships in banking sector, bond, money, and stock markets. The period under investigation, 2001–2013, allows to test the effects of the 2007–2009 financial crisis as well as the subsequent European sovereign crisis. Using two alternative techniques for connectedness analysis, our evidence suggests that the peripheral economies of Italy and Spain play a highly significant role in the stress transmission in all markets, especially in the cases of banks and equity markets. Moreover, we visualize our results using network analysis. Contrary to common wisdom, Portugal, Ireland, and mainly Greece do not seem to have an important role in amplifying stress levels.

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“…Some other studies have been conducted to analyse the results of empirical studies on the application of CoVaR in various economic sectors, countries, and geographic regions. For example, Mensaha and Premaratne (2017) reviewed the systemic risk and systemically important financial institutions in the Asian financial markets. Using the CoVaR and Granger causality network, they investigated the effects of interconnectedness on the systemic risk in the Asian financial market.…”

Section: Introductionmentioning

confidence: 99%

Network‐based early warning system to predict financial crisis

Dastkhan

2019

Int. J Fin Econ

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In recent years, early warning systems have been developed as a significant tool to prevent financial and economic crises. In this paper, we applied the forward‐looking conditional value at risk (COVaR) as a market‐based systemic risk measure to analyse the systemic risk in an emerging market. A network representation of asset exposures is presented based on the values of ΔCoVaR. According to the exposure networks, two new network‐based indices are introduced. Furthermore, regarding the dependence of the new indices on the values of forward‐looking CoVaR, they are applied as the indicators for the proposed early warning system to predict downturns and crises in the level of firms and the whole market. The results of the early warning system for the market return show that the indicators based on both proposed models have a good ability to predict the crises in the market. In other words, the indicators issued a warning signal up to seven periods before the real crisis in the market. Similarly, the results of the early warning system to predict downturns at the level of firms also indicate the ability of indicators to issue the true warning signals. The results of the proposed system can help policymakers and authorities to determine the appropriate microprudential and macroprudential policies to avoid systemic risks.

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Systemic interconnectedness among Asian Banks

Cited by 22 publications

References 17 publications

What are the most effective and vulnerable firms in financial crisis? A network representation of CoVaR in an emerging market

What are the most effective and vulnerable firms in financial crisis? A network representation of CoVaR in an emerging market

The Financial Connectedness Between Eurozone Core and Periphery: A Disaggregated View

Network‐based early warning system to predict financial crisis

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