Measuring tail-risk cross-country exposures in the banking Industry

  1. Antonio Rubia 1
  2. Lidia Sanchis Marco 2
  1. 1 Universitat d'Alacant
    info

    Universitat d'Alacant

    Alicante, España

    ROR https://ror.org/05t8bcz72

  2. 2 Universidad de Castilla-La Mancha
    info

    Universidad de Castilla-La Mancha

    Ciudad Real, España

    ROR https://ror.org/05r78ng12

Revista:
Revista de economía aplicada

ISSN: 1133-455X

Año de publicación: 2017

Volumen: 25

Número: 74

Páginas: 27-74

Tipo: Artículo

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Otras publicaciones en: Revista de economía aplicada

Resumen

Este artículo analiza la vulnerabilidad de la industria bancaria en economías avanzadas y emergentes frente a shocks en distintas áreas en periodos de inestabilidad financiera. El principal objetivo es, por un lado, medir las sensibilidades cruzadas entre las diferentes zonas que caracterizan el contagio sistémico en el sistema bancario internacional. Por otro lado, se pretende caracterizar la forma en la que se propagan los shocks sistémicos a lo largo del tiempo. Para ello estimamos las sensibilidades de la función de pérdida esperada en la industria bancaria del cada área local frente a shocks contemporáneos en las funciones de pérdida esperada de las áreas extranjeras utilizando un sistema de ecuaciones dinámico. Controlamos por exposiciones globales a factores comunes y consideramos diferentes escenarios o estados de inestabilidad económica. Para asegurar la robustez de las estimaciones frente a la endogeneidad implementamos una estimación instrumental y calculamos las funciones de impulso respuesta para analizar la duración esperada del contagio en las colas. El estudio revela que las vulnerabilidades cruzadas entre países dependen del estado de la economía de tal forma que se incrementan durante periodos de gran inestabilidad económica y tienen un mayor efecto a largo plazo en el resto de sistemas. Por el contrario, para periodos más tranquilos los shocks tienen muy poco impacto y son rápidamente absorbidos por los sistemas domésticos. El análisis también muestra evidencia acerca de la existencia de direccionalidad en el contagio siendo US el sector bancario que produce mayores contagios y el más resistente frente a shocks en otras áreas. Obtenemos también que las exposiciones sistemáticas al área de Europa Central son más significativas que a la Europa Periférica, siendo US el país más vulnerable frente a shocks originados en Europa Central. Finalmente, US y la Eurozona son sensibles frente a shocks en el sistema bancario de la zona de países emergentes.

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Información de financiación

Financial support from the Spanish Department of Education and Innovation (projects ECO2012-33619 and ECO2014-58434P) is gratefully acknowledged.

Financiadores

  • Spanish Department of Education and Innovation Spain
    • ECO2012-33619
    • ECO2014-58434P

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