Systemic risk in ASEAN-6: a new empirical investigation

Le, Trung H.

doi:10.1108/ijoem-05-2020-0567

Cited by 4 publications

(3 citation statements)

References 62 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Some banks became relatively "too big" to systemically influence others. e study by Le [30], by applying the same measure to the banking sector of 6 ASEAN economies, has found that systemic risk is linked to size, quality of the loan, and market to book value. Banks experienced strong regional connectedness rather than the one experienced during the time of GFC.…”

Section: Literature Reviewmentioning

confidence: 99%

Systemic Risk Assessment: Aggregated and Disaggregated Analysis on Selected Indian Banks

et al. 2021

View full text Add to dashboard Cite

Exposure of the banking system to the Global Financial Crisis attracted attention to the study of riskiness and spillover. This paper studies the pattern of systemic risk and size effect in the Indian banking sector. Based on market capitalization, three public sector banks and three from the private sector were taken. Data are taken from the year 2007 to 2020. The analysis is done through quantile- CoVaR (Conditional Value at Risk) and TENET (Tail-Event-Driven Network) measure. State variables like Indian market volatility and global risk measures negatively influence the Indian banks’ returns. Liquidity risk is a crucial aspect of private banks. Public banks experience public confidence even in the distress period. Large banks like HDFC and SBI bank offer the highest degree of systemic risk contribution. The role of private banks in transmitting systemic risk has been intensifying since 2015. Small-sized banks like PNB and BOB have become significant receivers and transmitters of risk.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Systemic Risk Assessment: Aggregated and Disaggregated Analysis on Selected Indian Banks

et al. 2021

View full text Add to dashboard Cite

show abstract

“…(2019) proposed a contagion mapping method to simulate the extensive exposure network of euro area banks. Le (2021) used SRISK to measure the systemic risks of 49 listed banks in six ASEAN countries and argued that the level of systemic risk between 2000 and 2018 was higher than that at the global financial crisis during 2007–2008. Dahir et al.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Gorpe et al (2019) proposed a contagion mapping method to simulate the extensive exposure network of euro area banks. Le (2021) used SRISK to measure the systemic risks of 49 listed banks in six ASEAN countries and argued that the level of systemic risk between 2000 and 2018 was higher than that at the global financial crisis during 2007-2008. Dahir et al (2018) employed the system generalized method of moments (GMM) technique to examine the effects of funding liquidity risk and found that the liquidity risk is a risk factor which drives the potential bank default.…”

Section: Introductionmentioning

confidence: 99%

Assessing the interconnectedness and systemic risk contagion in the Chinese banking network

Shi

Feng

et al. 2022

IJOEM

View full text Add to dashboard Cite

PurposeIn this paper, the authors use the balance sheet data to investigate the interconnectedness and risk contagion effects in China's banking sector. They firstly study the network structure and centrality of the interbank network. Then, they investigate how and to what extent the credit shock and liquidity shock can lead to the risk propagation in the banking network.Design/methodology/approachReferring to the theoretical framework by Haldane and May (2011), this paper uses the network topology theory to analyze the contagion mechanism of credit shock and liquidity shock. Centrality measures and log-log plot are used to evaluate the interconnectedness of China's banking network.FindingsThe network topology has shown clustering effects of large banks in China's financial network. If the Industrial and Commercial Bank of China (ICBC) is in distress, the credit shock has little impact on the Chinese banking sector. However, the liquidity shock has shown more substantial effects than that of the credit shock. The discount rate and the rollover ratio play significant roles in determining the contagion effects. If the credit shock and liquidity shock coincide, the contagion effects will be amplified.Research limitations/implicationsThe results of this paper reveal the network structure of China's interbank market and the resilience of banking system to the adverse shock. The findings are valuable for regulators to make policies and supervise the systemic important banks.Originality/valueThe balance sheet data of different types of banks are used to construct a bilateral exposure matrix. Based on the matrix, this paper investigates the knock-on effects of credit shock triggered by the debt default in the interbank market, the knock-on effects of liquidity effects, which is featured by “fire sale” of bank assets, and the contagion effects of combined shocks.

show abstract

The impacts of capital inflows on bank lending in the ASEAN-6 countries

Nguyen

Pham

2023

IJOEM

View full text Add to dashboard Cite

PurposeThe authors investigate the impacts of international capital inflows on bank lending in the Association of Southeast Asian Nations-6 (ASEAN-6) countries on the dynamics of both bank loan volumes and credit risk-taking. The authors further explore the heterogenous impacts of different components of the foreign capital. As a robustness check, the authors also examine the role of crisis periods and agency problem on the relationship between international capital inflows and bank lending.Design/methodology/approachThe authors explore the impacts of international capital inflows on bank lending in the ASEAN-6 countries, including Malaysia, Indonesia, Thailand, Philippines, Singapore and Vietnam. The authors employ quarterly data from 2005Q1 to 2021Q2 from 45 commercial banks in the ASEAN-6 countries. The article uses bank-fixed and time-fixed effects in the panel dataset to account for any unobserved heterogeneity.FindingsThe authors find that capital inflows to the ASEAN-6 countries are associated with higher bank loan growth and lower loan loss provisions to net interest income ratios. Moreover, the positive relationships between capital inflows to the bank loan growth and credit risk-taking are mainly driven by the dynamics in foreign direct investments (FDIs) and other inflow (OI) components. Contrary to the global financial crisis (GFC), the authors note that the mediating role of capital inflows on bank lending is of particular importance in the COVID-19 pandemic.Research limitations/implicationsThis study has some limitations that provide vendors for future research. First, while the authors focus on the impact of capital inflows on bank-level lending activities, future research can also explore the role of foreign capital on bank efficiency and financial stability. Second, although foreign capital fluctuates the most during crisis periods, the movement of capital inflows is also sensitive to other periods of heightened global uncertainty. Thus, rather than focus on the behavior of foreign capital during crisis periods, future research can examine and explore the impacts of capital inflows in different periods of “stop” and “surge” for sudden contraction and boom in capital inflows to the ASEAN-6 countries.Originality/valueFirst, the authors provide a comprehensive analysis of international capital inflows' impact on bank lending in the ASEAN region on both bank loan volumes and credit risk-taking. Second, the authors provide evidence of the impact of different forms of foreign capital on the bank lending. Third, the authors investigate the heterogeneous impact of foreign capital on crisis periods and bank sizes, which the authors emphasize the unusual characteristics of the COVID-19 crisis compared with the GFC.

show abstract

Systemic risk in ASEAN-6: a new empirical investigation

Cited by 4 publications

References 62 publications

Systemic Risk Assessment: Aggregated and Disaggregated Analysis on Selected Indian Banks

Systemic Risk Assessment: Aggregated and Disaggregated Analysis on Selected Indian Banks

Assessing the interconnectedness and systemic risk contagion in the Chinese banking network

The impacts of capital inflows on bank lending in the ASEAN-6 countries

Contact Info

Product

Resources

About