Banks’ Interbank Exposure and Systemic Risk

• Main Authors: Hsin-Yu Lin, 林馨佑
• Other Authors: 楊聲勇
• Format: Others
• Language: en_US
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/52950380692745758509

碩士 === 國立中興大學 === 財務金融學系所 === 105 === The financial crisis of 2008 has raised the awareness of the need to reinforce the control of systemic risk stem from the connections between financial institutions, particularly focus on the issue about the connection between the interconnectedness among banks and systemic risk. This paper studies whether interconnectedness stem from interbank exposure and maturity mismatch cause banks to bring about higher marginal contribution to the whole system. We first use ∆CoVaR to measure externality each bank imposes on the financial system, then we employ panel data techniques to analyze the relationship between bank characteristics and systemic risk. Our sample focus on Top 100 publicly traded commercial banks in the United States over the period 2006-2016. Our results demonstrate banks with higher interbank exposure and maturity mismatch have a higher contribution to systemic risk. Using interbank exposure variable can let supervisors be aware of the systemic risk present in the whole system. Furthermore, we find bank with higher maturity mismatch contribute adversely to the financial system. Our finding support the view of IMF (2013) that it is important for supervisors to implement a systemic perspective on bank liquidity regulation related to maturity mismatch.