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Journal of Financial Economics Vol. 86 No. 3 2007

Estimating systemic risk in the international financial system

Söhnke M. Bartram1; Gregory W. Brown2; John Hund3

1 Lancaster University · 2 University of North Carolina at Chapel Hill · 3 The University of Texas at Austin

Abstract

This paper develops three distinct methods to quantify the risk of a systemic failure in the global banking system. We examine a sample of 334 banks (representing 80% of global bank equity) in 28 countries around five global financial crises. Our results suggest statistically significant, but economically small, increases in systemic risk. Although policy responses are endogenous, the low estimated probabilities suggest that the distress of central bankers, regulators and politicians about the events we study could be overstated and that current policy responses to financial crises could be adequate to handle major macroeconomic events.

DOI
10.1016/j.jfineco.2006.10.001
Volume
86
Issue
3
Pages
835-869
Language
en
Sources
openalex crossref bibtex:phds-export.bib

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