Ailing mothers, healthy daughters? Contagion in the Central European banking sector

Arbeitspapier

Foreign-dominated banking sectors, such as those prevalent in Central and Eastern Europe, are susceptible to two major sources of systemic risk: (i) linkages between local banks, and (ii) linkages between a foreign par- ent bank and its local subsidiary. Using a nonparametric method based on extreme value theory, which accounts for fat-tail shocks, we analyze interde- pendencies in downward risk in the banking sectors of the Czech Republic, Hungary, Poland, and Slovakia during 1994-2013. In contrast to the pre- sumptions of the current regulatory policy of these countries, we find that the risk of contagion from a foreign parent bank to its local subsidiary is substantially smaller than the risk between two local banks.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IES Working Paper ; No. 10/2014

Classification and Topics

• Classification: Wirtschaft ; Multinational Firms; International Business ; Financial Aspects of Economic Integration ; Financial Crises ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Subject: systemic risk ; extreme value theory ; financial stability ; Central Eastern Europe ; banking ; parent-subsidiary relationship

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Fiala, Tomáš ; Havránek, Tomáš
• Event: Veröffentlichung
• (who): Charles University in Prague, Institute of Economic Studies (IES)
• (where): Prague
• (when): 2014

Further information

• Handle: http://hdl.handle.net/10419/102564
• Last update: 10.03.2025, 11:44 AM CET