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Systemic Risk and Financial Consolidation [electronic resource] : Are they Related? De Nicoló, Gianni.

Author/Creator:
De Nicoló, Gianni.
Publication:
Washington, D.C. : International Monetary Fund, 2002.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 02/55.
IMF Working Papers; Working Paper No. 02/55
Format/Description:
Government document
Book
1 online resource (26 p.)
Local subjects:
Bank consolidation. (search)
Bank deposit. (search)
Bank for international settlements. (search)
Bank holding. (search)
Bank holding companies. (search)
Bank loans. (search)
Bank of england. (search)
Bank supervisors. (search)
Banking. (search)
Banking industry. (search)
Banking institutions. (search)
Banking supervision. (search)
Banking system. (search)
Correlation. (search)
Correlations. (search)
Covariance. (search)
Covariances. (search)
Deposit insurance. (search)
Dummy variable. (search)
Equation. (search)
Equations. (search)
Financial risk. (search)
Holding company. (search)
Independent variable. (search)
Investment banking. (search)
Pooled time series. (search)
Probability. (search)
Sample selection. (search)
Statistic. (search)
Statistical significance. (search)
Statistical tests. (search)
Statistics. (search)
Subordinated debt. (search)
Survey. (search)
Surveys. (search)
Time series. (search)
Switzerland. (search)
United States. (search)
Summary:
We argue that firm interdependencies, as measured by correlations of stock returns, provide an indicator of systemic risk potential. We find a positive trend in stock return correlations net of diversification effects for a sample of U.S. Large and Complex Banking Organizations over 1988-99. This finding suggests that the systemic risk potential in the financial sector may have increased. In addition, we find a positive consolidation elasticity of correlations. However, such elasticity exhibits substantial time variation and likely declined in the latter part of the decade. Thus, factors other than consolidation have also been responsible for the upward trend in return correlations.
Notes:
Description based on print version record.
Contributor:
De Nicoló, Gianni.
Kwast, Myron L.
Other format:
Print Version:
ISBN:
1451847637:
9781451847635
ISSN:
1018-5941
Publisher Number:
10.5089/9781451847635.001
Access Restriction:
Restricted for use by site license.
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