Has the Global Banking System Become More Fragile over Time?
This paper examines time-series and cross-country variations in default risk co-dependence in the global banking system. The authors construct a default risk measure for all publicly traded banks using the Merton contingent claim model, and examine...
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| Format: | Policy Research Working Paper |
| Language: | English |
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2012
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| Online Access: | http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20111108124433 http://hdl.handle.net/10986/3644 |
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okr-10986-3644 |
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| recordtype |
oai_dc |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English |
| topic |
ACCOUNTING ASSET LIQUIDITY ASSET PRICES ASSET VALUE ASSET VALUES ASSETS RATIO BACKED SECURITIES BALANCE SHEET BANK ASSETS BANK CAPITAL BANK DEPOSIT BANK DEPOSITS BANK OF ENGLAND BANK POLICY BANK SUPERVISION BANKING CRISES BANKING CRISIS BANKING REGULATION BANKING SECTOR BANKING SECTORS BANKING SUPERVISION BANKING SYSTEM BANKRUPTCY BANKS BARRIER BORROWING COSTS CALL OPTION CAPITAL ASSETS CAPITAL CONTROL CAPITAL FLOWS CAPITAL RATIO CAPITAL REQUIREMENTS CAPITALIZATION CDS CENTRAL BANK COMMERCIAL BANKS COMMUNICATIONS TECHNOLOGY CONNECTIVITY CONSOLIDATION CORPORATE DEBT COUNTRY DUMMY COUNTRY FIXED EFFECTS CREDIT RISK DEBT DEFAULT PROBABILITIES DEFAULT PROBABILITY DEFAULT RISK DEFAULTS DEMAND DEPOSITS DEPOSIT DEPOSIT INSURANCE DEPOSIT INSURANCE COVERAGE DEPOSIT MONEY BANKS DEREGULATION DEVELOPING COUNTRIES DIVIDEND DIVIDEND RATE DIVIDENDS DUMMY VARIABLE DUMMY VARIABLES ECONOMIC INTEGRATION ECONOMIC POLICY ECONOMICS EQUITY PORTFOLIOS EQUITY PRICES EQUITY RETURNS EQUITY VALUE EXPOSURE EXPOSURE TO RISK EXTERNALITIES FACE VALUE FEDERAL RESERVE FEDERAL RESERVE BANK FEDERAL RESERVE BANK OF NEW YORK FINANCIAL CONTAGION FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL DEVELOPMENT FINANCIAL FRAGILITY FINANCIAL INSTITUTIONS FINANCIAL INSTRUMENTS FINANCIAL INTERMEDIARY FINANCIAL LIBERALIZATION FINANCIAL MARKETS FINANCIAL OPENNESS FINANCIAL REFORM FINANCIAL REFORMS FINANCIAL REGULATION FINANCIAL SECTOR FINANCIAL STABILITY FINANCIAL STRUCTURE FINANCIAL STUDIES FINANCIAL SYSTEM FINANCIAL SYSTEMS FINANCIAL TRANSACTIONS FOREIGN INVESTORS GLOBAL BANKING GLOBALIZATION GOVERNMENT POLICIES HEDGE FUND HEDGE FUNDS ILLIQUIDITY IMPLICIT GUARANTEE INFLATION INFLATION RISK INTEREST RATES INTERNATIONAL BANK INTERNATIONAL CAPITAL INTERNATIONAL DIVERSIFICATION INTERNATIONAL EQUITY INTERNATIONAL FINANCIAL TRANSACTIONS INTERNATIONAL MARKETS INTERPOLATION JURISDICTIONS LIQUID ASSETS LIQUIDITY CREATION LIQUIDITY RISK LONG TERM LIABILITIES LONG-TERM LIABILITIES MARKET CAPITALIZATION MARKET CAPITALIZATIONS MARKET DATA MARKET EQUITY MARKET TURNOVER MARKET VALUE MORAL HAZARD MORTGAGE NEGATIVE SHOCK POLITICAL ECONOMY PORTFOLIO PORTFOLIOS PRICE DISCOVERY PRIVATE SECTOR DEVELOPMENT PROBABILITY OF DEFAULT PRODUCTIVITY PRUDENTIAL REGULATION PRUDENTIAL REGULATIONS RAPID DEVELOPMENT RECESSION REGULATORY FRAMEWORKS RESERVES RISK DIVERSIFICATION RISK PREMIUM RISK SHARING SAFETY NET SECURITIES MARKETS SECURITY MARKET SHARE OF ASSETS SHORT TERM DEBT SHORT-TERM BORROWING STOCK MARKET STOCK MARKET CAPITALIZATION STOCK MARKETS STOCK PRICES STOCK RETURNS SYSTEMIC RISK TRADE LIBERALIZATION TREASURY TREASURY BILL TREASURY BILL RATE TURNOVER RATIO UNION VALUE OF ASSETS VOLATILITY WORLD DEVELOPMENT INDICATOR WORLD ECONOMY |
| spellingShingle |
ACCOUNTING ASSET LIQUIDITY ASSET PRICES ASSET VALUE ASSET VALUES ASSETS RATIO BACKED SECURITIES BALANCE SHEET BANK ASSETS BANK CAPITAL BANK DEPOSIT BANK DEPOSITS BANK OF ENGLAND BANK POLICY BANK SUPERVISION BANKING CRISES BANKING CRISIS BANKING REGULATION BANKING SECTOR BANKING SECTORS BANKING SUPERVISION BANKING SYSTEM BANKRUPTCY BANKS BARRIER BORROWING COSTS CALL OPTION CAPITAL ASSETS CAPITAL CONTROL CAPITAL FLOWS CAPITAL RATIO CAPITAL REQUIREMENTS CAPITALIZATION CDS CENTRAL BANK COMMERCIAL BANKS COMMUNICATIONS TECHNOLOGY CONNECTIVITY CONSOLIDATION CORPORATE DEBT COUNTRY DUMMY COUNTRY FIXED EFFECTS CREDIT RISK DEBT DEFAULT PROBABILITIES DEFAULT PROBABILITY DEFAULT RISK DEFAULTS DEMAND DEPOSITS DEPOSIT DEPOSIT INSURANCE DEPOSIT INSURANCE COVERAGE DEPOSIT MONEY BANKS DEREGULATION DEVELOPING COUNTRIES DIVIDEND DIVIDEND RATE DIVIDENDS DUMMY VARIABLE DUMMY VARIABLES ECONOMIC INTEGRATION ECONOMIC POLICY ECONOMICS EQUITY PORTFOLIOS EQUITY PRICES EQUITY RETURNS EQUITY VALUE EXPOSURE EXPOSURE TO RISK EXTERNALITIES FACE VALUE FEDERAL RESERVE FEDERAL RESERVE BANK FEDERAL RESERVE BANK OF NEW YORK FINANCIAL CONTAGION FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL DEVELOPMENT FINANCIAL FRAGILITY FINANCIAL INSTITUTIONS FINANCIAL INSTRUMENTS FINANCIAL INTERMEDIARY FINANCIAL LIBERALIZATION FINANCIAL MARKETS FINANCIAL OPENNESS FINANCIAL REFORM FINANCIAL REFORMS FINANCIAL REGULATION FINANCIAL SECTOR FINANCIAL STABILITY FINANCIAL STRUCTURE FINANCIAL STUDIES FINANCIAL SYSTEM FINANCIAL SYSTEMS FINANCIAL TRANSACTIONS FOREIGN INVESTORS GLOBAL BANKING GLOBALIZATION GOVERNMENT POLICIES HEDGE FUND HEDGE FUNDS ILLIQUIDITY IMPLICIT GUARANTEE INFLATION INFLATION RISK INTEREST RATES INTERNATIONAL BANK INTERNATIONAL CAPITAL INTERNATIONAL DIVERSIFICATION INTERNATIONAL EQUITY INTERNATIONAL FINANCIAL TRANSACTIONS INTERNATIONAL MARKETS INTERPOLATION JURISDICTIONS LIQUID ASSETS LIQUIDITY CREATION LIQUIDITY RISK LONG TERM LIABILITIES LONG-TERM LIABILITIES MARKET CAPITALIZATION MARKET CAPITALIZATIONS MARKET DATA MARKET EQUITY MARKET TURNOVER MARKET VALUE MORAL HAZARD MORTGAGE NEGATIVE SHOCK POLITICAL ECONOMY PORTFOLIO PORTFOLIOS PRICE DISCOVERY PRIVATE SECTOR DEVELOPMENT PROBABILITY OF DEFAULT PRODUCTIVITY PRUDENTIAL REGULATION PRUDENTIAL REGULATIONS RAPID DEVELOPMENT RECESSION REGULATORY FRAMEWORKS RESERVES RISK DIVERSIFICATION RISK PREMIUM RISK SHARING SAFETY NET SECURITIES MARKETS SECURITY MARKET SHARE OF ASSETS SHORT TERM DEBT SHORT-TERM BORROWING STOCK MARKET STOCK MARKET CAPITALIZATION STOCK MARKETS STOCK PRICES STOCK RETURNS SYSTEMIC RISK TRADE LIBERALIZATION TREASURY TREASURY BILL TREASURY BILL RATE TURNOVER RATIO UNION VALUE OF ASSETS VOLATILITY WORLD DEVELOPMENT INDICATOR WORLD ECONOMY Anginer, Deniz Demirgüç-Kunt, Asli Has the Global Banking System Become More Fragile over Time? |
| geographic_facet |
The World Region The World Region |
| relation |
Policy Research working paper ; no. WPS 5849 |
| description |
This paper examines time-series and
cross-country variations in default risk co-dependence in
the global banking system. The authors construct a default
risk measure for all publicly traded banks using the Merton
contingent claim model, and examine the evolution of the
correlation structure of default risk for more than 1,800
banks in more than 60 countries. They find that there has
been a significant increase in default risk co-dependence
over the three-year period leading to the financial crisis.
They also find that countries that are more integrated, and
that have liberalized financial systems and weak banking
supervision, have higher co-dependence in their banking
sector. The results support an increase in scope for
international supervisory co-operation, as well as capital
charges for "too-connected-to-fail" institutions
that can impose significant externalities. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Anginer, Deniz Demirgüç-Kunt, Asli |
| author_facet |
Anginer, Deniz Demirgüç-Kunt, Asli |
| author_sort |
Anginer, Deniz |
| title |
Has the Global Banking System Become More Fragile over Time? |
| title_short |
Has the Global Banking System Become More Fragile over Time? |
| title_full |
Has the Global Banking System Become More Fragile over Time? |
| title_fullStr |
Has the Global Banking System Become More Fragile over Time? |
| title_full_unstemmed |
Has the Global Banking System Become More Fragile over Time? |
| title_sort |
has the global banking system become more fragile over time? |
| publishDate |
2012 |
| url |
http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20111108124433 http://hdl.handle.net/10986/3644 |
| _version_ |
1764387594825629696 |
| spelling |
okr-10986-36442021-04-23T14:02:11Z Has the Global Banking System Become More Fragile over Time? Anginer, Deniz Demirgüç-Kunt, Asli ACCOUNTING ASSET LIQUIDITY ASSET PRICES ASSET VALUE ASSET VALUES ASSETS RATIO BACKED SECURITIES BALANCE SHEET BANK ASSETS BANK CAPITAL BANK DEPOSIT BANK DEPOSITS BANK OF ENGLAND BANK POLICY BANK SUPERVISION BANKING CRISES BANKING CRISIS BANKING REGULATION BANKING SECTOR BANKING SECTORS BANKING SUPERVISION BANKING SYSTEM BANKRUPTCY BANKS BARRIER BORROWING COSTS CALL OPTION CAPITAL ASSETS CAPITAL CONTROL CAPITAL FLOWS CAPITAL RATIO CAPITAL REQUIREMENTS CAPITALIZATION CDS CENTRAL BANK COMMERCIAL BANKS COMMUNICATIONS TECHNOLOGY CONNECTIVITY CONSOLIDATION CORPORATE DEBT COUNTRY DUMMY COUNTRY FIXED EFFECTS CREDIT RISK DEBT DEFAULT PROBABILITIES DEFAULT PROBABILITY DEFAULT RISK DEFAULTS DEMAND DEPOSITS DEPOSIT DEPOSIT INSURANCE DEPOSIT INSURANCE COVERAGE DEPOSIT MONEY BANKS DEREGULATION DEVELOPING COUNTRIES DIVIDEND DIVIDEND RATE DIVIDENDS DUMMY VARIABLE DUMMY VARIABLES ECONOMIC INTEGRATION ECONOMIC POLICY ECONOMICS EQUITY PORTFOLIOS EQUITY PRICES EQUITY RETURNS EQUITY VALUE EXPOSURE EXPOSURE TO RISK EXTERNALITIES FACE VALUE FEDERAL RESERVE FEDERAL RESERVE BANK FEDERAL RESERVE BANK OF NEW YORK FINANCIAL CONTAGION FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL DEVELOPMENT FINANCIAL FRAGILITY FINANCIAL INSTITUTIONS FINANCIAL INSTRUMENTS FINANCIAL INTERMEDIARY FINANCIAL LIBERALIZATION FINANCIAL MARKETS FINANCIAL OPENNESS FINANCIAL REFORM FINANCIAL REFORMS FINANCIAL REGULATION FINANCIAL SECTOR FINANCIAL STABILITY FINANCIAL STRUCTURE FINANCIAL STUDIES FINANCIAL SYSTEM FINANCIAL SYSTEMS FINANCIAL TRANSACTIONS FOREIGN INVESTORS GLOBAL BANKING GLOBALIZATION GOVERNMENT POLICIES HEDGE FUND HEDGE FUNDS ILLIQUIDITY IMPLICIT GUARANTEE INFLATION INFLATION RISK INTEREST RATES INTERNATIONAL BANK INTERNATIONAL CAPITAL INTERNATIONAL DIVERSIFICATION INTERNATIONAL EQUITY INTERNATIONAL FINANCIAL TRANSACTIONS INTERNATIONAL MARKETS INTERPOLATION JURISDICTIONS LIQUID ASSETS LIQUIDITY CREATION LIQUIDITY RISK LONG TERM LIABILITIES LONG-TERM LIABILITIES MARKET CAPITALIZATION MARKET CAPITALIZATIONS MARKET DATA MARKET EQUITY MARKET TURNOVER MARKET VALUE MORAL HAZARD MORTGAGE NEGATIVE SHOCK POLITICAL ECONOMY PORTFOLIO PORTFOLIOS PRICE DISCOVERY PRIVATE SECTOR DEVELOPMENT PROBABILITY OF DEFAULT PRODUCTIVITY PRUDENTIAL REGULATION PRUDENTIAL REGULATIONS RAPID DEVELOPMENT RECESSION REGULATORY FRAMEWORKS RESERVES RISK DIVERSIFICATION RISK PREMIUM RISK SHARING SAFETY NET SECURITIES MARKETS SECURITY MARKET SHARE OF ASSETS SHORT TERM DEBT SHORT-TERM BORROWING STOCK MARKET STOCK MARKET CAPITALIZATION STOCK MARKETS STOCK PRICES STOCK RETURNS SYSTEMIC RISK TRADE LIBERALIZATION TREASURY TREASURY BILL TREASURY BILL RATE TURNOVER RATIO UNION VALUE OF ASSETS VOLATILITY WORLD DEVELOPMENT INDICATOR WORLD ECONOMY This paper examines time-series and cross-country variations in default risk co-dependence in the global banking system. The authors construct a default risk measure for all publicly traded banks using the Merton contingent claim model, and examine the evolution of the correlation structure of default risk for more than 1,800 banks in more than 60 countries. They find that there has been a significant increase in default risk co-dependence over the three-year period leading to the financial crisis. They also find that countries that are more integrated, and that have liberalized financial systems and weak banking supervision, have higher co-dependence in their banking sector. The results support an increase in scope for international supervisory co-operation, as well as capital charges for "too-connected-to-fail" institutions that can impose significant externalities. 2012-03-19T18:06:06Z 2012-03-19T18:06:06Z 2011-10-01 http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20111108124433 http://hdl.handle.net/10986/3644 English Policy Research working paper ; no. WPS 5849 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank Publications & Research :: Policy Research Working Paper The World Region The World Region |