银行竞争对传染风险的影响:以墨西哥为例

IF 3.3 Q1 BUSINESS, FINANCE
Enrique Bátiz-Zuk , José Luis Lara-Sánchez
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引用次数: 0

摘要

本文利用2008年第一季度至2019年第一季度墨西哥所有银行的季度银行间风险敞口数据,研究了银行竞争措施与风险指标之间的联系。古典文献的重点是解开竞争与个别银行偿付能力风险之间的联系。在本文中,我们进一步分析了竞争与系统性风险的关系。我们使用反事实银行级传染风险指标作为系统风险的代理来评估它们与传统竞争措施的关系。我们的主要发现表明,银行层面的勒纳指数与系统性风险之间存在负相关关系。这意味着,竞争的加剧与系统性风险的增加有关。此外,我们发现,在研究期间实施监管改革并不影响这一关系。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The impact of bank competition on contagion risk: The case of Mexico

This paper examines the link between bank competition measures and risk indicators using quarterly interbank exposures data for all banks in Mexico during 2008Q1–2019Q1. The classical literature focuses on disentangling the link between competition and individual bank solvency risk. In this paper, we take one step forward in analyzing the relationship between competition and systemic risk. We use counterfactual bank-level contagion risk indicators as a proxy of systemic risk to assess their relationship with traditional competition measures. Our main finding indicates a negative relationship between the bank-level Lerner index and systemic risk. This means that an increase in competition is associated with an increase in systemic risk. Additionally, we find that the implementation of regulatory reform during the period studied does not affect this relationship.

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来源期刊
CiteScore
6.20
自引率
2.60%
发文量
31
期刊介绍: Journal of Economics and Business: Studies in Corporate and Financial Behavior. The Journal publishes high quality research papers in all fields of finance and in closely related fields of economics. The Journal is interested in both theoretical and applied research with an emphasis on topics in corporate finance, financial markets and institutions, and investments. Research in real estate, insurance, monetary theory and policy, and industrial organization is also welcomed. Papers that deal with the relation between the financial structure of firms and the industrial structure of the product market are especially encouraged.
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