Quantile Panel Estimation of Financial Contagion Effects

Author: 

SIEBENBRUNNER, C
Sigmund, M

Publication Date: 

15 June 2019

Journal: 

Panel Data Econometrics

Last Updated: 

2019-08-16T11:09:29.653+01:00

abstract: 

Financial contagion describes the cascading effects that an initially idiosyncratic shock to a small part of a financial system may have on the entire system. We use two types of quantile panel estimators to infer if certain bank-specific drivers used by leading regulatory authorities are good predictors of such extreme events, where small shocks to some part of the system may cause the collapse of the entire system. Comparing the results of the quantile estimation to a standard fixed-effects estimator,we conclude that quantile estimators are better suited for describing the distribution of systemic contagion losses. Comparing the results to the aforementioned regulations, we find several recommendations for improvement.

Symplectic id: 

1032957

Submitted to ORA: 

Not Submitted

Publication Type: 

Chapter

ISBN-13: 

9780128158593

ISBN-10: 

012815859X