Q. Zhang
Are Market-Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?
Zhang, Q.; Vallascas, F.; Keasey, K.; Cai, C.X.
Abstract
We analyze whether four market-based measures of the global systemic importance of financial institutions offer early warning signals during three financial crises. The tests based on the 2007–2008 crisis show that only one measure (∆CoVaR) consistently adds predictive power to conventional early warning models. However, the additional predictive power remains small and it is not normally confirmed for the Asian and the 1998 crises. We conclude that it is problematic to identify a market-based measure of systemic importance that remains valid across crises with different features. The same criticism also applies to several conventional proxies of systemic importance, of which size is the most consistent performer.
Citation
Zhang, Q., Vallascas, F., Keasey, K., & Cai, C. (2015). Are Market-Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?. Journal of Money, Credit and Banking, 47(7), 1403-1442. https://doi.org/10.1111/jmcb.12249
Journal Article Type | Article |
---|---|
Acceptance Date | Oct 7, 2014 |
Online Publication Date | Sep 29, 2015 |
Publication Date | Oct 1, 2015 |
Deposit Date | Dec 3, 2015 |
Publicly Available Date | Sep 29, 2017 |
Journal | Journal of Money, Credit and Banking |
Print ISSN | 0022-2879 |
Electronic ISSN | 1538-4616 |
Publisher | Wiley |
Peer Reviewed | Peer Reviewed |
Volume | 47 |
Issue | 7 |
Pages | 1403-1442 |
DOI | https://doi.org/10.1111/jmcb.12249 |
Keywords | G28, Market measures of systemic importance, Financial crises, Regulation. |
Public URL | https://durham-repository.worktribe.com/output/1425331 |
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Copyright Statement
This is the accepted version of the following article: Zhang, Q., Vallascas, F., Keasey, K. and Cai, C. X. (2015), Are Market-Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?. Journal of Money, Credit and Banking, 47(7): 1403-1442, which has been published in final form at https://doi.org/10.1111/jmcb.12249. This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
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