Seminar 'Systemic Risk in the Scandinavian Banking Sector'
- Place: SOC-417
On Tuesday, October 22 from 4 pm to 5 pm, at SOC-417 the Department of Economics and Finance will host a seminar on Systemic Risk in the Scandinavian Banking Sector.
Presentation by Gazi Salah Uddin (Linköping University)
Abstract: The banking sectors in the Scandinavian countries are concentrated and suffered through a banking crises in the 1990’s followed by international shocks in combination with undercapitalization. This paper analyses the systemic risk in Denmark, Norway and Sweden focusing on the risk transmission from individual banks to the whole sector by using, partly in a new way, conditional cross-quantilograms. We find that the cross-quantilograms are positive and statistically significant in the low and high quantiles, indicating that the Scandinavian banks are systemically linked and show a tendency to boom and crush along with the market. These results hold even after controlling for equity market volatility and economic policy uncertainty. We further observe that the systemic risk was insignificant from the early-2000 to the outbreak of the global financial crisis (GFC). After the GFC and the euro zone crises it has increased substantially. Finally, we find that bank size has a positive relationship with systemic risk while return on asset and loan to deposit ratio exhibits a negative influence. Further, these relationships are asymmetric across quantiles.