Spillover effects among financial institutions: a state-dependent sensitivity value-at-risk approach : [Version September 2012]
- In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system of quantile regressions for four sets of major financial institutions (commercial banks, investment banks, hedge funds, and insurance companies) we show that while small during normal times, equivalent shocks lead to considerable spillover effects in volatile market periods. Commercial banks and, especially, hedge funds appear to play a major role in the transmission of shocks to other financial institutions. Using daily data, we can trace out the spillover effects over time in a set of impulse response functions and find that they reach their peak after 10 to 15 days.
| Author: | Zeno AdamsGND, Roland FüssORCiDGND, Reint GroppGND |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-305737 |
| URL: | http://ssrn.com/abstract=2267853 |
| DOI: | https://doi.org/10.2139/ssrn.2267853 |
| Parent Title (German): | SAFE working paper series ; No. 20 |
| Series (Serial Number): | SAFE working paper (20) |
| Place of publication: | Frankfurt am Main |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2012 |
| Year of first Publication: | 2012 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2013/06/27 |
| Tag: | financial institutions; hedge funds; quantile regression; risk spillovers; state-dependent sensitivity value-at-risk (SDSVaR) |
| Issue: | Version September 2012 |
| Page Number: | 45 S. |
| Note: | First version January 2010 ; This version: September 2012 |
| HeBIS-PPN: | 348830203 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF) | |
| Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
