Determinants of connectedness in financial institutions: Evidence from Taiwan

被引：8
|
作者：
Chen, Yi-Pei [1 ]
Chen, Yu-Lun [2 ]
Chiang, Shu-Hen [2 ]
Mo, Wan-Shin [2 ,3 ]
机构：
[1] Natl Pingtung Univ, Coll Business, Dept Finance, Pingtung City, Taiwan
[2] Chung Yuan Christian Univ, Coll Business, Dept Finance, Taoyuan City, Taiwan
[3] 200 Chung Pei Rd, Jhongli, Taoyuan, Taiwan
来源：
EMERGING MARKETS REVIEW | 2023年 / 55卷
关键词：
Connectedness; Systemic risk; Financial holding companies; Monetary policy; MONETARY-POLICY; SYSTEMIC RISK; BANKING SYSTEM; OWNERSHIP; EXPOSURES; CONTAGION; NETWORK;
D O I：
10.1016/j.ememar.2022.100951
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study estimates the interconnectedness among financial holding companies (FHCs) in Taiwan to identify its determinants. Using the Diebold and Yilmaz's (2012) measure, we find that larger directional connectedness stems from state-owned FHCs, indicating their dominant role in transmitting systemic risk. In addition, we find that bank performance and monetary policy both play an important role in financial connectedness. Finally, we show that syndicated loans may affect interconnectedness because the arranger bank transmits systemic risk to other participating banks.
引用
收藏
页数：22
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