Interconnectedness of Global Systemically-Important Banks and Insurers

Author/Editor:

Sheheryar Malik ; TengTeng Xu

Publication Date:

September 29, 2017

Electronic Access:

Free Full Text (PDF file size is 4314 KB).Use the free Adobe Acrobat Reader to view this PDF file

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary:

Interconnectedness among global systemically important banks (GSIBs) and global systemically important insurers (GSIIs) has important financial stability implications. This paper examines connectedness among United States, European and Asian GSIBs and GSIIs, using publicly-available daily equity returns and intra-day volatility data from October 2007 to August 2016. Results reveal strong regional clusters of return and volatility connectedness amongst GSIBs and GSIIs. Compared to Asia, selected GSIBs and GSIIs headquartered in the United States and Europe appear to be main sources of market-based connectedness. Total system connectedness—i.e., among all GSIBs and GSIIs—tends to rise during financial stress, which is corroborated by a balance sheet oriented systemic risk measure. Lastly, the paper demonstrates significant influence of economic policy uncertainty and U.S. long-term interest rates on total connectedness among systemically important institutions, and the important role of bank profitability and asset quality in driving bank-specific return connectedness.

Series:

Working Paper No. 17/210

English

Publication Date:

September 29, 2017

ISBN/ISSN:

9781484320716/1018-5941

Stock No:

WPIEA2017210

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

57

Please address any questions about this title to publications@imf.org