Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/102564
Authors: 
Fiala, Tomáš
Havránek, Tomáš
Year of Publication: 
2014
Series/Report no.: 
IES Working Paper 10/2014
Abstract: 
Foreign-dominated banking sectors, such as those prevalent in Central and Eastern Europe, are susceptible to two major sources of systemic risk: (i) linkages between local banks, and (ii) linkages between a foreign par- ent bank and its local subsidiary. Using a nonparametric method based on extreme value theory, which accounts for fat-tail shocks, we analyze interde- pendencies in downward risk in the banking sectors of the Czech Republic, Hungary, Poland, and Slovakia during 1994-2013. In contrast to the pre- sumptions of the current regulatory policy of these countries, we find that the risk of contagion from a foreign parent bank to its local subsidiary is substantially smaller than the risk between two local banks.
Subjects: 
systemic risk
extreme value theory
financial stability
Central Eastern Europe
banking
parent-subsidiary relationship
JEL: 
F23
F36
G01
G21
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size
571.69 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.