The Systemic Importance of Banks – Name and Shame Seems to Work

Posted: 11 May 2016

See all articles by Piotr Banbula

Piotr Banbula

National Bank of Poland

Malgorzata Iwanicz-Drozdowska

Warsaw School of Economics, Institute of Finance

Date Written: May 7, 2016

Abstract

We test the impact of announcements of the list of global systemically important banks by the Financial Stability Board on the systemic importance of these banks. To this end we estimate the Systemic Importance Index introduced by Zhou (2010) for 110 banks, including global systemically important banks, over the period 1991-2014. For each bank we control for a number of variables, including size, quality of the bank balance sheet and business model that can affect systemic importance. We find that the announcement has decreased the systemic importance of these institutions by about 25%, a substantial and statistically significant amount.

Keywords: Systemic importance

JEL Classification: G14, G18, G21

Suggested Citation

Banbula, Piotr and Iwanicz-Drozdowska, Malgorzata, The Systemic Importance of Banks – Name and Shame Seems to Work (May 7, 2016). Finance Research Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2778576

Piotr Banbula

National Bank of Poland ( email )

00-919 Warsaw
Poland

Malgorzata Iwanicz-Drozdowska (Contact Author)

Warsaw School of Economics, Institute of Finance ( email )

Warsaw
Poland

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