Cyclical Behavior of Systemic Risk in the Banking Sector

A. Andrieș, N. Sprincean
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Abstract

This paper examines cyclical behavior of banks’ systemic risk contribution and exposure. Using an unbalanced panel of 787 banks from countries members of the Organisation for Economic Co-operation and Development and the European Union covering the period 2000:Q1-2017:Q4, we document that both systemic risk contribution and exposure are positively related to business cycle. That is, systemic risk starts to accumulate in the financial sector during periods of boom, i.e., when the output gap is positive. Furthermore, during periods of robust economic growth, the level of credit tends to increase dramatically, going hand in hand with asset and property prices developments. We also find that contribution and exposure to system-wide distress move procyclically during credit and house cycles, meaning that during upturns in credit and house cycles bank interconnectedness increases, but tend to fall during downturns. However, individual risk of the banks, proxied by Value at Risk, evolves countercyclically during business and financial cycles, i.e., decreasing in upturns and raising in downturns. Thus, Value at Risk is not a good proxy for signalling the buit-up of financial imbalances. Dynamic conditional beta, however, is a more appropriate measure to quantify individual risk of the banks in relation with the market, being procyclical during the financial cycle. Additionally, the empirical analysis shows that both bank-specific and macroeconomic factors influence banks’ systemic distress. Particularly, size, credit risk and inflation boost systemic risk contribution and exposure of the banks, whereas capitalization, the share of loans in total assets, the share of non-interest income in total revenue and economic freedom help banks in reducing their systemic importance. The findings remain robust after controlling for nesting, cross-sectional dependence and reverse causality issues.
银行业系统性风险的周期性行为
本文考察了银行系统性风险贡献和暴露的周期性行为。利用经济合作与发展组织(oecd)成员国和欧盟(eu) 787家银行的不平衡面板,涵盖2000年第一季度至2017年第四季度,我们发现系统性风险贡献和敞口都与商业周期呈正相关。也就是说,在繁荣时期,即产出缺口为正值时,系统性风险开始在金融部门积累。此外,在经济强劲增长期间,信贷水平往往会急剧上升,与资产和房地产价格的发展密切相关。我们还发现,在信贷和房地产周期中,对全系统危机的贡献和风险敞口呈顺周期变化,这意味着在信贷和房地产周期的上行期间,银行的相互联系会增加,但在下行期间往往会下降。然而,以风险价值为代表的银行的个体风险在商业和金融周期中呈反周期演变,即在景气上升时下降,在景气下降时上升。因此,风险价值并不能很好地代表金融失衡的加剧。然而,动态条件贝塔是量化银行与市场相关的个体风险的更合适的措施,在金融周期中是顺周期的。此外,实证分析表明,银行自身因素和宏观经济因素都会影响银行的系统性危机。特别是,规模、信贷风险和通货膨胀增加了银行的系统性风险贡献和敞口,而资本化、贷款在总资产中的份额、非利息收入在总收入中的份额和经济自由有助于银行降低其系统重要性。在控制了嵌套、横截面依赖和反向因果关系问题后,研究结果仍然是稳健的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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