The sources of contagion risk in a banking sector with foreign ownership

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• 作者：Tomas Fiala^a ; ^b ; Tomas Havranek^c ; ^d ; ^{tomas.havranek@ies-prague.org}
• 关键词：F23 ; F36 ; G01 ; G21
• 刊名：Economic Modelling
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：60
• 期：Complete
• 页码：108-121
• 全文大小：498 K
• 卷排序：60

文摘

We compare the risk of contagion between local banks and their foreign owners. The data set covers the Czech Republic, Poland, Slovakia, and Turkey. We use a method based on extreme value theory and account for fat-tail shocks. The risk of contagion between local banks reaches 10%. The risk of contagion between a foreign bank and its local subsidiary is only 5%.