Did the collapse of Silicon Valley Bank catalyze financial contagion?

被引：54

作者：

Akhtaruzzaman, Md ^{[1
,2
]}

Boubaker, Sabri ^{[3
,4
,5
]}

Goodell, John W. ^{[6
]}

机构：

[1] Australian Catholic Univ, Peter Faber Business Sch, Sydney, Australia

[2] UCB Stock Brokerage Ltd, Dhaka, Bangladesh

[3] EM Normandie Business Sch, Metis Lab, Clichy, France

[4] Vietnam Natl Univ, Int Sch, Hanoi, Vietnam

[5] Swansea Univ, Swansea, Wales

[6] Univ Akron, Coll Business, Akron, OH 44325 USA

来源：

FINANCE RESEARCH LETTERS | 2023年 / 56卷

关键词：

Silicon Valley Bank; Financial contagion; Spillovers; Hedge ratios; INTERDEPENDENCE;

D O I：

10.1016/j.frl.2023.104082

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate whether the failure of Silicon Valley Bank catalyzed financial contagion in the G7 countries as well as Brazil, China, India, and South Africa. We compare four groupings: markets, banks, non-financial, and financial firms. Dynamic conditional correlation and Diebold Yilmaz spillover analyses show that contagion was pronounced within global banks but minor in other areas. The contagion was also short-lived, being most prevalent during the week following the failure of the Silicon Valley Bank. It is noteworthy that contagion following the largest US bank failure since 2008 was, beyond the banking sector, quite limited.

引用

页数：11

共 25 条

[21] TIME-VARYING DISTRIBUTIONS AND DYNAMIC HEDGING WITH FOREIGN-CURRENCY FUTURES [J].