Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/193588
Authors: 
Herculano, Miguel C.
Year of Publication: 
2018
Series/Report no.: 
ESRB Working Paper Series 81
Abstract: 
I examine the relevance of contagion in explaining financial distress in the US banking system by identifying the component of bank level probabilities that is due to contagion. Identification is achieved after controlling for macrofinancial and bank specific shocks that have similar consequences to contagion. I use a Bayesian spatial autoregressive model that allows for time-dependent network interactions, and find that bank default likelihoods depend, to a large extent, on peer effects that account on average for approximately 35 per cent of total distress. Furthermore, I find evidence of significant heterogeneity amongst banks and some institutions to be systemically more important that others, in terms of peer effects.
Subjects: 
Systemic Risk
Contagion
Spatial Econometrics
Bayesian Methods
JEL: 
E44
G01
C11
G21
Persistent Identifier of the first edition: 
ISBN: 
978-92-9472-048-1
Document Type: 
Working Paper
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