| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12009 |
| DP12009 Bank sectoral concentration and (systemic) risk: Evidence from a worldwide sample of banks | |
| Thorsten Beck; Olivier De Jonghe; Klaas Mulier | |
| 发表日期 | 2017-04-28 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We propose a new stock return-based methodology to measure three dimensions of banks' sectoral concentration (specialization, differentiation, financial sector exposure). Using these measures for a broad cross-section of banks and countries between 2002 and 2012, we estimate both the short- and long-run relationship between banks' secttoral concentration and banks' performance and stability. We find that bank volatility and systemic risk exposure decrease with banks' sectoral specialization and increase with banks' sectoral differentiation and financial sector exposure. These effects are significantly stronger in the long-run. Moreover, there exists important time and cross- country variation, with effects generally stronger during systemic stress periods. |
| 主题 | Financial Economics |
| 关键词 | Bank concentration Sectoral specialization Differentiation Bank risk Systemic stability Factor model |
| URL | https://cepr.org/publications/dp12009 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540821 |
| 推荐引用方式 GB/T 7714 | Thorsten Beck,Olivier De Jonghe,Klaas Mulier. DP12009 Bank sectoral concentration and (systemic) risk: Evidence from a worldwide sample of banks. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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