Bank systemic risk exposure and office market interconnectedness
- We empirically examine how systemic risk in the banking sector leads to correlated risk in office markets of global financial centers. In so doing, we compute an aggregated measure of systemic risk in financial centers as the cumulated expected capital shortfall of local financial institutions. Our identification strategy is based on a double counterfactual approach by comparing normal with financial distress periods as well as office with retail markets. We find that office market interconnectedness arises from systemic risk during financial turmoil periods. Office market performance in a financial center is affected by returns of systemically linked financial center office markets only during a systemic banking crisis. In contrast, there is no evidence of correlated risk during normal times and among the within-city counterfactual retail sector. The decline in office market returns during a banking crisis is larger in financial centers compared to non-financial centers.
Author: | Roland FüssORCiDGND, Daniel RufGND |
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URN: | urn:nbn:de:hebis:30:3-781032 |
DOI: | https://doi.org/10.1016/j.jbankfin.2021.106311 |
ISSN: | 0378-4266 |
Parent Title (English): | Journal of Banking & Finance |
Publisher: | Elsevier |
Place of publication: | Amsterdam |
Document Type: | Article |
Language: | English |
Date of Publication (online): | 2021/09/13 |
Date of first Publication: | 2021/09/02 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2023/10/12 |
Tag: | Commercial real estate; Correlated risk; Financial center; Spatial econometrics; Systemic risk |
Volume: | 133 |
Issue: | 106311 |
Article Number: | 106311 |
Page Number: | 22 |
HeBIS-PPN: | 516392557 |
Institutes: | Wirtschaftswissenschaften |
Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF) | |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Sammlungen: | Universitätspublikationen |
Licence (German): | Creative Commons - CC BY - Namensnennung 4.0 International |