263
Views
4
CrossRef citations to date
0
Altmetric
Articles

Systemic Risk and Foreign Currency Positions of Banks: Evidence from Emerging Europe

ORCID Icon & ORCID Icon

References

  • Acharya, V. V., L. H. Pedersen, T. Philippon, and M. Richardson. 2017. “Measuring Systemic Risk.” Review of Financial Studies 30 (1):2–47. doi:10.1093/rfs/hhw088.
  • Adrian, T., and M. Brunnermeier. 2016. “CoVaR.” American Economic Review 106 (7):1705–41. doi:10.1257/aer.20120555.
  • Akinci, O., and J. Olmstead-Rumsey. 2018. “How Effective are Macroprudential Policies? An Empirical Investigation.” Journal of Financial Intermediation 33:33–57. doi:10.1016/j.jfi.2017.04.001.
  • Allen, F., O. Kowalewski, and X. Gu. 2013. “Corporate Governance and Intra-Group Transactions in European Bank Holding Companies During the Crisis.” In Global Banking, Financial Markets and Crises, edited by B. Jeon and M. Oliveiro, 365–431. Bingley, UK: Emerald. doi:10.1108/S1569-3767(2013)0000014016.
  • Allen, F., K. Jackowicz, O. Kowalewski, and L. Kozłowski. 2017. “Bank Lending, Crises, and Changing Ownership Structure in Central and Eastern European Countries.” Journal of Corporate Finance 42:494–515. doi:10.1016/j.jcorpfin.2015.05.001.
  • Andrieş, A. M., and M. Brown. 2017. “Credit Booms and Busts in Emerging Markets: The Role of Bank Governance and Regulation.” Economics of Transition 25 (3):377–437. doi:10.1111/ecot.12127.
  • Andrieș, A. M., and S. Nistor. 2016. “Systemic Risk, Corporate Governance and Regulation of Banks Across Emerging Countries.” Economics Letters 144:59–63. doi:10.1016/j.econlet.2016.04.031.
  • Augustin, P., and R. Tédongap. 2016. “Real Economic Shocks and Sovereign Credit Risk.” Journal of Financial and Quantitative Analysis 51 (2):541–87. doi:10.1017/S0022109016000259.
  • Barth, J. R., G. Caprio, and R. Levine. 2013. “Bank Regulation and Supervision in 180 Countries from 1999 to 2011.” Journal of Financial Economic Policy 5 (2):111–219. doi:10.1108/17576381311329661.
  • Basel Committee on Banking Supervision (BCBS). 2013. Global systemically important banks: updated assessment methodology and the higher loss absorbency requirement. July 2013. Available online at: http://www.bis.org/publ/bcbs255.pdf
  • Beckmann, E., and H. Stix. 2015. “Foreign Currency Borrowing and Knowledge about Exchange Rate Risk. Journal of Economic Behavior & Organization 112:1–16. doi:10.1016/j.jebo.2014.12.015.
  • Bethlendi, A. 2011. “Policy Measures and Failures on Foreign Currency Household Lending in Central and Eastern Europe.” Acta Oeconomica 61 (2):193–223. doi:10.1556/AOecon.61.2011.2.5.
  • Black, L., R. Correa, X. Huang, and H. Zhou. 2016. “The Systemic Risk of European Banks During the Financial and Sovereign Debt Crises.” Journal of Banking & Finance 63:107–25. doi:10.1016/j.jbankfin.2015.09.007.
  • Bonin, J. P., and D. Louie. 2017. “Did Foreign Banks Stay Committed to Emerging Europe During Recent Financial Crises? Journal of Comparative Economics 45 (4):793–808. doi:10.1016/j.jce.2016.08.003.
  • Bordo, M., C. Meissner, and D. Stuckler. 2010. “Foreign Currency Debt, Financial Crises and Economic Growth: A Long-Run View.” Journal of International Money and Finance 29:642–65. doi:10.1016/j.jimonfin.2010.01.002.
  • Brown, M., and R. De Haas. 2012. “Foreign Banks and Foreign Currency Lending in Emerging Europe.” Economic Policy 27 (69):57–98. doi:10.1111/ecop.2012.27.issue-69.
  • Brown, M., S. Ongena, and P. Yesin. 2011. “Foreign Currency Borrowing by Small Firms in the Transition Economies.” Journal of Financial Intermediation 20:285–302. doi:10.1016/j.jfi.2010.12.001.
  • Brown, M., M. Peter, and S. Wehrmüller. 2009. “Swiss Franc Lending in Europe.” Aussenwirtschaft 64 (2):167–81. http://ux-tauri.unisg.ch/RePEc/usg/auswrt/AW_64-02__03_Brown-et-al.pdf
  • Brownlees, C., and R. Engle. 2017. “SRISK: A Conditional Capital Shortfall Measure of Systemic Risk.” Review of Financial Studies 30 (1):48–79. doi:10.1093/rfs/hhw060.
  • Cerutti, E., S. Claessens, and L. Laeven. 2017. “The Use and Effectiveness of Macroprudential Policies: New Evidence.” Journal of Financial Stability 28:203–24. doi:10.1016/j.jfs.2015.10.004.
  • Christoffersen, P. 1998. “Evaluating Interval Forecasts.” International Economic Review 39:841–62. doi:10.2307/2527341.
  • Committee on the Global Financial System, 2011. “The Impact of Sovereign Credit Risk on Bank Funding Conditions.” CGFS Papers No 43.
  • Crespo Cuaresma, J., J. Fidrmuc, and M. Hake. 2014. “Demand and Supply Drivers of Foreign Currency Loans in CEECs: A Meta-Analysis.” Economic Systems 38 (1):26–42. doi:10.1016/j.ecosys.2013.09.001.
  • Cull, R., and M. S. Martínez Pería. 2013. “Bank Ownership and Lending Patterns During the 2008–2009 Financial Crisis: Evidence from Latin America and Eastern Europe.” Journal of Banking & Finance 37:4861–78. doi:10.1016/j.jbankfin.2013.08.017.
  • De Jonghe, O., M. Diepstraten, and G. Schepens. 2015. “Banks’ Size, Scope and Systemic Risk: What Role for Conflicts of Interest?” Journal of Banking & Finance 61:S3–S13. doi:10.1016/j.jbankfin.2014.12.024.
  • Ellis, L., A. Haldane, and F. Moshirian. 2014. “Systemic Risk, Governance and Global Financial Stability.” Journal of Banking & Finance 45:175–81. doi:10.1016/j.jbankfin.2014.04.012.
  • European Banking Authority (EBA). 2014. “Global systemically important institutions (G-SIIs).” EBA, London, UK.http://www.eba.europa.eu/risk-analysis-and-data/global-systemically-important-institutions
  • European Bank for Reconstruction and Development (EBRD). 2012. “Vienna Initiative—Moving to a new phase.” EBRD, London, UK. http://www.ebrd.com/downloads/research/factsheets/viennainitiative.pdf
  • European Central Bank (ECB), 2015. ECB Annual Report on supervisory activities. Available online at: https://www.bankingsupervision.europa.eu/ecb/pub/pdf/ssmar2015.en.pdf
  • European Systemic Risk Board (ESRB). 2011. “Recommendation of the European Systemic Risk Board of 21 September 2011: On lending in foreign currencies.” ESRB, Frankfurt am Main, Germany. https://www.esrb.europa.eu/pub/pdf/recommendations/2011/ESRB_2011_1.en.pdf
  • Fiala, T., and T. Havranek. 2017. “The Sources of Contagion Risk in a Banking Sector with Foreign Ownership.” Economic Modelling 60:108–21. doi:10.1016/j.econmod.2016.08.025.
  • Fidrmuc, J., M. Hake, and H. Stix. 2013. “Households’ Foreign Currency Borrowing in Central and Eastern Europe.” Journal of Banking & Finance 37:1880–97. doi:10.1016/j.jbankfin.2012.06.018.
  • Financial Stability Board and Basel Committee on Banking Supervision (FSB). 2014. “2014 update of list of global systemically important banks (G-SIBs).” FSB, Basel, Switzerland. http://www.fsb.org/wp-content/uploads/r_141106b.pdf
  • Hasan, I., K. Jackowicz, O. Kowalewski, and L. Kozłowski. 2013. “Market Discipline During Crisis: Evidence from Bank Depositors in Transition Countries.” Journal of Banking & Finance 37:5436–51. doi:10.1016/j.jbankfin.2013.06.007.
  • International Monetary Fund (IMF). 2010, May. Regional Economic Outlook, Europe: Fostering Sustainability. Washington, DC: IMF. doi:10.5089/9781589069190.086
  • Iqbal, J., Strobl, S., Vähämaa, S., 2015. Corporate governance and the systemic risk of financial institutions. Journal of Economics and Business, 82:42–61.
  • Koenker, R., and G. S. Bassett. 1978. “Regression Quantiles.” Econometrica 46:33–50. doi:10.2307/1913643.
  • Kress, J. C. 2011. “Credit Default Swaps, Clearinghouses, and Systemic Risk: Why Centralized Counterparties Must Have Access to Central Bank Liquidity?” Harvard Journal on Legislation 48 (1):49–93. http://harvardjol.wpengine.com/wp-content/uploads/2013/10/Kress-Article1.pdf
  • Kupiec, P. 1995. “Techniques for Verifying the Accuracy of Risk Measurement Models.” Journal of Derivatives 3:73–84. doi:10.3905/jod.1995.407942.
  • Kuttner, K., and I. Shim. 2016. “Can Non-Interest Rate Policies Stabilise Housing Markets? Evidence from a Panel of 57 Economies.” Journal of Financial Stability 26:31–44. doi:10.1016/j.jfs.2016.07.014.
  • Laeven, L., L. Ratnovski, and H. Tong. 2016. “Bank Size, Capital, and Systemic Risk: Some International Evidence.” Journal of Banking & Finance 69:S25–S34. doi:10.1016/j.jbankfin.2015.06.022.
  • López-Espinosa, G., A. Rubia, L. Valderrama, and M. Antón. 2013. “Good for One, Bad for All: Determinants of Individual versus Systemic Risk.” Journal of Financial Stability 9:287–99. doi:10.1016/j.jfs.2013.05.002.
  • Raffestin, L. 2014. “Diversification and Systemic Risk.” Journal of Banking & Finance 46:85–106. doi:10.1016/j.jbankfin.2014.05.014.
  • Ranciere, R., A. Tornell, and A. Vamvakidis. 2010. “Currency Mismatch, Systemic Risk and Growth in Emerging Europe.” Economic Policy 25 (64):597–658. doi:10.1111/ecop.2010.25.issue-64.
  • Schoenmaker, D., and W. Wagner. 2013. “Cross-Border Banking in Europe and Financial Stability.” International Finance 16 (1):1–22. doi:10.1111/infi.v16.1.
  • Stulz, R. N. 2010. “Credit Default Swaps and the Credit Crisis.” Journal of Economic Perspectives 24 (1):73–92. doi:10.1257/jep.24.1.73.
  • Temesvary, J. 2016. “The Drivers of Foreign Currency-Based Banking in Central and Eastern Europe.” Economics of Transition 24 (2):233–57. doi:10.1111/ecot.12089.
  • Vandenbussche, J., U. Vogel, and E. Detragiache. 2015. “Macroprudential Policies and Housing Prices: A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe.” Journal of Money, Credit and Banking 47 (1):343–77. doi:10.1111/jmcb.12206.
  • Weiß, G., D. Bostandzic, and S. Neumann. 2014. “What Factors Drive Systemic Risk During International Financial Crises?” Journal of Banking & Finance 41:78–96. doi:10.1016/j.jbankfin.2014.01.001.
  • Yeşin, P. 2013. “Foreign Currency Loans and Systemic Risk in Europe.” Federal Reserve Bank of St. Louis Review 95 (3):219–35. https://files.stlouisfed.org/files/htdocs/publications/review/13/03/219-236Yesin.pdf

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.