What Factors Drive Systemic Risk during International Financial Crises?

67 Pages Posted: 28 May 2013 Last revised: 6 Jan 2014

See all articles by Gregor N. F. Weiss

Gregor N. F. Weiss

University of Leipzig - Faculty of Economics and Management Science

Denefa Bostandzic

Heinrich Heine University Dusseldorf

Sascha Neumann

Ruhr University of Bochum

Date Written: January 5, 2014

Abstract

We analyze the determinants of the contribution of international banks to both global and local systemic risk during prominent financial crises. We find no empirical evidence supporting the hypotheses that bank size, leverage, non-interest income or the quality of the bank’s credit portfolio are persistent determinants of systemic risk across financial crises. In contrast, our results show that global systemic risk in particular is predominantly driven by characteristics of the regulatory regime. We also confirm, for the subprime crisis, the hypothesis that the banks’ contribution to moderately bad tail events in the past predicts the financial sector’s crash risk.

Keywords: Financial Crises, Systemic Risk, Determinants

JEL Classification: G01, G21, F30

Suggested Citation

Weiss, Gregor N. F. and Bostandzic, Denefa and Neumann, Sascha, What Factors Drive Systemic Risk during International Financial Crises? (January 5, 2014). Journal of Banking and Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1986762 or http://dx.doi.org/10.2139/ssrn.1986762

Gregor N. F. Weiss (Contact Author)

University of Leipzig - Faculty of Economics and Management Science ( email )

Grimmaische Str. 12
Leipzig, 04109
Germany
+49 341 97 33821 (Phone)
+49 341 97 33829 (Fax)

HOME PAGE: http://www.wifa.uni-leipzig.de/nfdl

Denefa Bostandzic

Heinrich Heine University Dusseldorf ( email )

Universitätsstrasse 1
Duesseldorf, DE NRW 40225
Germany

Sascha Neumann

Ruhr University of Bochum ( email )

Universitätsstraße 150
Bochum, NRW 44780
Germany

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