Extreme spillover between shadow banking and regular banking

Item Type Monograph (Working Paper)
Abstract

The current financial crisis brought light to a large banking sector that existed for decades within the "darkness" of the financial system - the shadow banking sector. Shadow bank assets are widely traded in the financial markets and shadow banking activities are intertwined with the daily business of regular banks. This unregulated banking sector has become systematically important. Its failure affected the entire banking system. We present a model based on multivariate extreme value theory, which allows us to measure crashes and liquidity squeezes. Using the stable tail dependence structure, we measure the interdependency between the tail probabilities of the regular banking sector and the shadow banking sector. This allows us to calculate the conditional spillover likelihood between asset returns and liquidity spreads for selected crash levels. The empirical results indicate a fairly strong contagion probability between shadow bank assets and regular bank assets.

Authors Paraschiv, Florentina & Qin, Minzi
Language English
Subjects economics
HSG Classification contribution to practical use / society
Refereed No
Date 2013
Publisher Working Papers on Finance No. 2013/12, University of St. Gallen, School of Finance.
Depositing User Prof. Dr. Florentina Paraschiv
Date Deposited 28 Aug 2013 15:31
Last Modified 23 Aug 2016 11:17
URI: https://www.alexandria.unisg.ch/publications/225266

Download

[img]
Preview
Text
manuscript_Paraschiv_Qin.pdf

Download (1MB) | Preview

Citation

Paraschiv, Florentina & Qin, Minzi: Extreme spillover between shadow banking and regular banking. , 2013,

Statistics

https://www.alexandria.unisg.ch/id/eprint/225266
Edit item Edit item
Feedback?