海湾合作委员会国家股票市场和银行业的系统性风险：动态COVAR方法

Q2 Economics, Econometrics and Finance

Buletin Ekonomi Moneter dan Perbankan Pub Date : 2022-11-30 DOI:10.21098/bmeb.v25i3.1870

A. Maghyereh, N. Virk, B. Awartani, Mohammad Al Shboul

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引用次数: 0

摘要

本文使用条件风险价值框架研究了海湾合作委员会（GCC）地区银行业的系统性风险及其溢出。我们使用该地区11家具有系统重要性（SIB）的大型银行构建了国别银行指数。我们报告了系统性风险从系统重要性银行溢出到基础广泛的海湾合作委员会市场指数的证据。增量尾部溢出对其他国内银行的尾部风险具有统计学意义，并夸大了跨国GCC银行的系统性风险。

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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THE SYSTEMIC RISK IN THE GULF COOPERATION COUNCIL COUNTRIES’ EQUITY MARKETS AND BANKING SECTORS: A DYNAMIC COVAR APPROACH

This paper examines the systemic risk and its spillover between banking sectors of the Gulf Cooperation Council (GCC) region using the conditional value-at-risk framework. We construct country-specific banking indices using 11 large banks in the region that are systemically important (SIB). We report evidence of systemic risk spilloversfrom SIBs to the broad-based GCC market indices. The incremental tail spillovers are statistically significant for other domestic banks’ tail risk and inflate the systemic risk of cross-country GCC banks.

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来源期刊

Buletin Ekonomi Moneter dan Perbankan Economics, Econometrics and Finance-Finance

CiteScore

2.20

自引率

0.00%

发文量

审稿时长

5 weeks