00000nam 2200000zi 4500 9.942545 CaOODSP 20240828141921 m o d f cr mn||||||||| 240828t20242024onca ob f000 0 eng d CaOODSP eng rda CaOODSP eng eng fre n-cn--- FB3-5/2024-19E-PDF Hałaj, Grzegorz, author. Decomposing systemic risk : the roles of contagion and common exposures / by Grzegorz Hałaj and Ruben Hipp. [Ottawa] : Bank of Canada = Banque du Canada, 2024. ©2024 1 online resource (ii pages, 1 unnumbered page, 35 pages) : illustrations (chiefly colour). text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2024-19 ISSN assigned to different series. "Last updated: May 28, 2024." Includes bibliographical references (pages 30-33). "We estimate a structural model derived from the balance sheet identity to evaluate the effects of contagion and common exposure on banks' capital, which varies endogenously as a function of assets and liabilities. Through a regression approach inspired by the literature on structural vector autoregression, we infer the interdependence of banks' financial conditions. In this model, contagion can occur through direct exposures, fire sales, and market-based sentiment, while common exposures result from portfolio overlaps. We apply this model to granular balance sheet and interbank exposure data of the Canadian banking market. First, we document that contagion varies over time, with the highest levels around the Great Financial Crisis (GFC) in 2008 and somewhat lower levels for the pandemic period. Second, we find that since the introduction of Basel III, the relative importance of risks has changed, hinting that sources of systemic risk have changed structurally. Our new framework complements traditional stress-testing exercises focused on single institutions by providing a holistic view of risk transmission"--Abstract, page ii. Includes abstracts in English and French. Banks and banking Canada Econometric models. Interbank market Canada Econometric models. Risk Canada Econometric models. Banques Canada Modèles économétriques. Marché interbancaire Canada Modèles économétriques. Risque Canada Modèles économétriques. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2024-19. (CaOODSP)9.806221 PDF 2.97 MB https://publications.gc.ca/collections/collection_2024/banque-bank-canada/FB3-5-2024-19-eng.pdf