Interconnectedness between stock and credit markets: The role of European G-SIBs in a multilayer perspective

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-13 DOI:10.1016/j.intfin.2024.101942

Matteo Foglia , Caterina Di Tommaso , Gang-Jin Wang , Vincenzo Pacelli

引用次数: 0

Abstract

This paper investigates the interplay between two types of banking risk: market and credit. By verifying the volatility feedback loop hypothesis, we employ a multilayer information spillover network to explore information flow (risk spillover) between market and credit risks of European Global Systemically Important banks (G-SIBs). We analyse their role in transmitting market and credit risk, showing that capturing spillovers of both risks provides a more comprehensive perspective on financial risk contagion. Our findings have important implications for policymakers and risk managers, aiding in better risk assessment and timely crisis response, improving financial stability.

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股票市场与信贷市场之间的相互联系：多层视角下欧洲 G-SIBs 的作用

本文研究了市场风险和信贷风险这两类银行风险之间的相互作用。通过验证波动反馈回路假设，我们采用多层信息溢出网络来探讨欧洲全球系统重要性银行（G-SIBs）的市场风险和信贷风险之间的信息流（风险溢出）。我们分析了它们在传递市场风险和信贷风险方面的作用，结果表明，捕捉这两种风险的溢出效应可以更全面地透视金融风险的蔓延。我们的研究结果对政策制定者和风险管理者具有重要意义，有助于更好地进行风险评估和及时应对危机，从而提高金融稳定性。

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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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.

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