Spillovers from Systemic Bank Defaults

22 Pages Posted: 4 Jun 2014

See all articles by Mark Mink

Mark Mink

De Nederlandsche Bank (DNB)

Jakob de Haan

University of Groningen - Faculty of Economics and Business; De Nederlandsche Bank; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: May 3, 2014

Abstract

We examine to what extent banks’ stock market values during the 2007-2012 financial crisis were driven by increases in the default risk of banks designated as globally systemically important by the Financial Stability Board. We find that bank market values hardly respond to changes in the default risk of individual systemic banks. Together, however, changes in systemic banks’ default risk explain a substantial part of changes in other banks’ market values. This result is robust across several sub-samples, using both credit default swap spreads and Moody’s expected default frequencies as indicators of default risk.

Keywords: systemic banks, spillovers, global financial crisis, financial regulation

JEL Classification: G01, G15, G21, G28

Suggested Citation

Mink, Mark and de Haan, Jakob, Spillovers from Systemic Bank Defaults (May 3, 2014). CESifo Working Paper Series No. 4792, Available at SSRN: https://ssrn.com/abstract=2445364

Mark Mink (Contact Author)

De Nederlandsche Bank (DNB) ( email )

PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

HOME PAGE: http://www.dnb.nl/en/onderzoek-2/onderzoekers/overzicht-persoonlijke-paginas/dnb278721.jsp

Jakob De Haan

University of Groningen - Faculty of Economics and Business ( email )

PO Box 800
Groningen, 9700 AV
Netherlands
+31 0 50 3633706 (Fax)

De Nederlandsche Bank ( email )

P.O. Box 98
Amsterdam, 1000 AB
Netherlands

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

HOME PAGE: http://www.CESifo.de

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