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 |
| ISSN / ISBN: | |
| 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 |
