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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 spillovers from 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.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir (Majalah) | 1 |
| Penerbit | Jakarta: Bank Indonesia 2022 |
|---|---|
| Edisi | Volume 25, Number 3, 2022 |
| Subjek | Systemic risk Banking sectors Covar approach |
| ISBN/ISSN | 2460-9196 |
| Klasifikasi | NONE |
| Deskripsi Fisik | 494 p. |
| Info Detail Spesifik | Bulletin Of Monetary Economics And Banking |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |