Ailing Mothers, Healthy Daughters? Contagion in the Central European Banking Sector
dc.contributor.author | Fiala, Tomas | |
dc.contributor.author | Havranek, Tomas | |
dc.date.accessioned | 2016-08-30T19:50:43Z | |
dc.date.available | 2016-08-30T19:50:43Z | |
dc.date.issued | 2014-01-01 | |
dc.identifier.other | RePEc:wdi:papers:2014-1069 | |
dc.identifier.uri | https://hdl.handle.net/2027.42/133089 | |
dc.description.abstract | Foreign-dominated banking sectors, such as those prevalent in Central and Eastern Europe, are susceptible to two major sources of systemic risk: (i) linkages between local banks and (ii) linkages between a foreign mother bank and its local subsidiary. Using a nonparametric method based on extreme value theory, which accounts for fat-tail shocks, we analyze interdependencies in downward risk in the banking sector of the Czech Republic, Hungary, Poland, and Slovakia during 1994-2013. In contrast to the pre-sumptions of the current regulatory policy of these countries, we find that the risk of contagion from a foreign mother bank to its local subsidiary is substantially smaller than the risk between two local banks. | |
dc.relation.ispartofseries | wp1069 | |
dc.subject | systemic risk | |
dc.subject | extreme value theory | |
dc.subject | financial stability | |
dc.subject | Central Eastern Europe | |
dc.subject | banking | |
dc.subject | parent-subsidiary | |
dc.subject.other | F23 | |
dc.subject.other | F36 | |
dc.subject.other | G01 | |
dc.subject.other | G21 | |
dc.title | Ailing Mothers, Healthy Daughters? Contagion in the Central European Banking Sector | |
dc.type | Working Paper | |
dc.subject.hlbsecondlevel | Economics | |
dc.subject.hlbtoplevel | Business | |
dc.contributor.affiliationum | William Davidson Institute | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/133089/1/wp1069.pdf | |
dc.contributor.authoremail | t.fiala@tilburguniversity.edu | |
dc.owningcollname | William Davidson Institute (WDI) - Working Papers |
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