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TalTech seminar: Systemic Risk in the Scandinavian Banking Sector

October 22 @ 08:00 - 17:00

Olete oodatud TalTech majandusanalüüsi ja rahanduse instituudi teadusseminarile:
 
Teisipäeval, 22. oktoobril 2019
16:00–17:00 ruumis SOC-417
Akadeemia tee 3, Tallinn
 
Inglise keelse ettekandega esineb Gazi Salah Uddin (Linköping University).
 
Palun andke oma osalemisest teada emailile tiia.sarv@taltech.ee
 
Ettekande pealkiri:
Systemic Risk in the Scandinavian Banking Sector
 
Abstract: The banking sectors in the Scandinavian countries are concentrated and suffered through a banking crises in the 1990’s followed by international shocks in combination with undercapitalization. This paper analyses the systemic risk in Denmark, Norway and Sweden focusing on the risk transmission from individual banks to the whole sector by using, partly in a new way, conditional cross-quantilograms. We find that the cross-quantilograms are positive and statistically significant in the low and high quantiles, indicating that the Scandinavian banks are systemically linked and show a tendency to boom and crush along with the market. These results hold even after controlling for equity market volatility and economic policy uncertainty. We further observe that the systemic risk was insignificant from the early-2000 to the outbreak of the global financial crisis (GFC). After the GFC and the euro zone crises it has increased substantially. Finally, we find that bank size has a positive relationship with systemic risk while return on asset and loan to deposit ratio exhibits a negative influence. Further, these relationships are asymmetric across quantiles.

undercapitalization. This paper analyses the systemic risk in Denmark, Norway and Sweden focusing on the risk transmission from individual banks to the whole sector by using, partly in a new way, conditional cross-quantilograms. We find that the cross-quantilograms are positive and statistically significant in the low and high quantiles, indicating that the Scandinavian banks are systemically linked and show a tendency to boom and crush along with the market. These results hold even after controlling for equity market volatility and economic policy uncertainty. We further observe that the systemic risk was insignificant from the early-2000 to the outbreak of the global financial crisis (GFC). After the GFC and the euro zone crises it has increased substantially. Finally, we find that bank size has a positive relationship with systemic risk while return on asset and loan to deposit ratio exhibits a negative influence. Further, these relationships are asymmetric across quantiles.

 

 

Details

Date:
October 22
Time:
08:00 - 17:00
Event Category:

Venue

TalTech majandusanalüüsi ja rahanduse instituut
Akadeemia tee 3
Tallinn, ruum SOC-417 Estonia
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