Zhang, Q, Vallascas, F orcid.org/0000-0003-3332-0601, Keasey, K orcid.org/0000-0001-7645-3274 et al. (1 more author) (2015) Are Market‐Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors? Journal of Money, Credit and Banking, 47 (7). pp. 1403-1442. ISSN 0022-2879
Abstract
We analyze whether four market-based measures of the global systemic importance of financial institutions offer early warning signals during three financial crises. The tests based on the 2007–2008 crisis show that only one measure (∆CoVaR) consistently adds predictive power to conventional early warning models. However, the additional predictive power remains small and it is not normally confirmed for the Asian and the 1998 crises. We conclude that it is problematic to identify a market-based measure of systemic importance that remains valid across crises with different features. The same criticism also applies to several conventional proxies of systemic importance, of which size is the most consistent performer.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2015 The Ohio State University. This is the peer reviewed version of the following article: ZHANG, Q., VALLASCAS, F., KEASEY, K. and CAI, C. X. (2015), Are Market-Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?. Journal of Money, Credit and Banking, 47: 1403–1442. doi: 10.1111/jmcb.12249, which has been published in final form at http://dx.doi.org/10.1111/jmcb.12249. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving. |
Keywords: | G28; market measures of systemic importance; financial crises; regulation |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 25 Nov 2015 10:15 |
Last Modified: | 28 Jan 2021 11:33 |
Published Version: | http://dx.doi.org/10.1111/jmcb.12249 |
Status: | Published |
Publisher: | Wiley |
Identification Number: | 10.1111/jmcb.12249 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:92006 |