Detail publikace

Ailing Mothers, Healthy Daughters? Contagion in the Central European Banking Sector

Autor: prof. PhDr. Tomáš Havránek Ph.D., Tomáš Fiala
Typ: IES Working Papers
Rok: 2014
Číslo: 10
Publikováno v: IES Working Papers 10/2014
Místo vydání: Prague
Klíčová slova: systemic risk, extreme value theory, financial stability, Central Eastern Europe, banking, parent-subsidiary relationship
JEL kódy: F23, F36, G01, G21
Citace: Fiala, T., Havránek, T. (2014). “Ailing Mothers, Healthy Daughters? Contagion in the Central European Banking Sector” IES Working Paper 10/2014. IES FSV. Charles University.
Abstrakt: 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 par- ent bank and its local subsidiary. Using a nonparametric method based on extreme value theory, which accounts for fat-tail shocks, we analyze interde- pendencies in downward risk in the banking sectors 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 parent bank to its local subsidiary is substantially smaller than the risk between two local banks.
Ke stažení: WP_2014_10_Fiala_Havranek




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