U.S. interbank risk spillover network: Temporal dynamics and external shocks

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-07-07 DOI:10.1016/j.frl.2025.107910

Yue He , Miaomiao Tao , Xiaohang Ren

引用次数: 0

Abstract

This study develops an interbank risk spillover framework using a dynamic Bayesian network and wavelet local multiple correlation to analyze the relationship between spillover risk, geopolitical risk, and economic policy uncertainty. We demonstrate that risk spillovers tend to cluster regionally and shift in response to market conditions. During 2019–2021, spillover risk surged, reflecting the pandemic’s disruptions. Strong correlations persist over time, while short-term market sensitivity to economic policy and geopolitical events increases. These findings underscore the need for stricter oversight of regional banking networks, tighter capital and liquidity rules for key banks, and more effective expectation management during periods of uncertainty.

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美国银行间风险溢出网络：时间动态和外部冲击

本研究利用动态贝叶斯网络和小波局部多重相关建立银行间风险溢出框架，分析溢出风险、地缘政治风险和经济政策不确定性之间的关系。我们证明了风险溢出在区域内聚集，并随着市场条件的变化而变化。2019-2021年期间，溢出风险激增，反映出大流行造成的破坏。随着时间的推移，强相关性持续存在，而短期市场对经济政策和地缘政治事件的敏感性会增加。这些发现强调，有必要对地区银行网络进行更严格的监督，对主要银行实施更严格的资本和流动性规定，并在不确定时期进行更有效的预期管理。

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

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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