The role of bank funding in systematic risk transmission

被引：1
|
作者：
Muijsson, Cherry [1 ]
Satchell, Stephen [2 ,3 ]
机构：
[1] Univ Cambridge, Darwin Coll, Cambridge, England
[2] Univ Sydney, Business Sch, Sydney, NSW, Australia
[3] Univ Cambridge, Trinity Coll, Cambridge, England
来源：
FINANCE RESEARCH LETTERS | 2020年 / 33卷
关键词：
Systematic risk; Balance sheet risk; Multivariate analysis; STOCK RETURNS; SENSITIVITY;
D O I：
10.1016/j.frl.2019.06.020
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The transmission of risk among financial institutions is not limited to systematic risk and interest rate factors, but is also affected by the interconnectedness of institutions through balance sheet exposures. It is recognized that univariate specifications have severe limitations in explaining banks observed performance and measurement of risk, and may obscure possible unintended effects of bank capital regulation. Consequently, we link systematic risk to balance sheet factors and allow for dependencies in the covariance structure. We find that funding structure and balance sheet factors asymmetrically affect observed systematic risk in the largest Australian banks.
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页数：6
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