Has the Global Banking System Become More Fragile over Time?

This paper examines time-series and cross-country variations in default risk co-dependence in the global banking system. The authors construct a default risk measure for all publicly traded banks using the Merton contingent claim model, and examine...

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Bibliographic Details
Main Authors:	Anginer, Deniz, Demirgüç-Kunt, Asli
Format:	Policy Research Working Paper
Language:	English
Published:	2012
Subjects:	ACCOUNTING ASSET LIQUIDITY ASSET PRICES ASSET VALUE ASSET VALUES ASSETS RATIO BACKED SECURITIES BALANCE SHEET BANK ASSETS BANK CAPITAL BANK DEPOSIT BANK DEPOSITS BANK OF ENGLAND BANK POLICY BANK SUPERVISION BANKING CRISES BANKING CRISIS BANKING REGULATION BANKING SECTOR BANKING SECTORS BANKING SUPERVISION BANKING SYSTEM BANKRUPTCY BANKS BARRIER BORROWING COSTS CALL OPTION CAPITAL ASSETS CAPITAL CONTROL CAPITAL FLOWS CAPITAL RATIO CAPITAL REQUIREMENTS CAPITALIZATION CDS CENTRAL BANK COMMERCIAL BANKS COMMUNICATIONS TECHNOLOGY CONNECTIVITY CONSOLIDATION CORPORATE DEBT COUNTRY DUMMY COUNTRY FIXED EFFECTS CREDIT RISK DEBT DEFAULT PROBABILITIES DEFAULT PROBABILITY DEFAULT RISK DEFAULTS DEMAND DEPOSITS DEPOSIT DEPOSIT INSURANCE DEPOSIT INSURANCE COVERAGE DEPOSIT MONEY BANKS DEREGULATION DEVELOPING COUNTRIES DIVIDEND DIVIDEND RATE DIVIDENDS DUMMY VARIABLE DUMMY VARIABLES ECONOMIC INTEGRATION ECONOMIC POLICY ECONOMICS EQUITY PORTFOLIOS EQUITY PRICES EQUITY RETURNS EQUITY VALUE EXPOSURE EXPOSURE TO RISK EXTERNALITIES FACE VALUE FEDERAL RESERVE FEDERAL RESERVE BANK FEDERAL RESERVE BANK OF NEW YORK FINANCIAL CONTAGION FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL DEVELOPMENT FINANCIAL FRAGILITY FINANCIAL INSTITUTIONS FINANCIAL INSTRUMENTS FINANCIAL INTERMEDIARY FINANCIAL LIBERALIZATION FINANCIAL MARKETS FINANCIAL OPENNESS FINANCIAL REFORM FINANCIAL REFORMS FINANCIAL REGULATION FINANCIAL SECTOR FINANCIAL STABILITY FINANCIAL STRUCTURE FINANCIAL STUDIES FINANCIAL SYSTEM FINANCIAL SYSTEMS FINANCIAL TRANSACTIONS FOREIGN INVESTORS GLOBAL BANKING GLOBALIZATION GOVERNMENT POLICIES HEDGE FUND HEDGE FUNDS ILLIQUIDITY IMPLICIT GUARANTEE INFLATION INFLATION RISK INTEREST RATES INTERNATIONAL BANK INTERNATIONAL CAPITAL INTERNATIONAL DIVERSIFICATION INTERNATIONAL EQUITY INTERNATIONAL FINANCIAL TRANSACTIONS INTERNATIONAL MARKETS INTERPOLATION JURISDICTIONS LIQUID ASSETS LIQUIDITY CREATION LIQUIDITY RISK LONG TERM LIABILITIES LONG-TERM LIABILITIES MARKET CAPITALIZATION MARKET CAPITALIZATIONS MARKET DATA MARKET EQUITY MARKET TURNOVER MARKET VALUE MORAL HAZARD MORTGAGE NEGATIVE SHOCK POLITICAL ECONOMY PORTFOLIO PORTFOLIOS PRICE DISCOVERY PRIVATE SECTOR DEVELOPMENT PROBABILITY OF DEFAULT PRODUCTIVITY PRUDENTIAL REGULATION PRUDENTIAL REGULATIONS RAPID DEVELOPMENT RECESSION REGULATORY FRAMEWORKS RESERVES RISK DIVERSIFICATION RISK PREMIUM RISK SHARING SAFETY NET SECURITIES MARKETS SECURITY MARKET SHARE OF ASSETS SHORT TERM DEBT SHORT-TERM BORROWING STOCK MARKET STOCK MARKET CAPITALIZATION STOCK MARKETS STOCK PRICES STOCK RETURNS SYSTEMIC RISK TRADE LIBERALIZATION TREASURY TREASURY BILL TREASURY BILL RATE TURNOVER RATIO UNION VALUE OF ASSETS VOLATILITY WORLD DEVELOPMENT INDICATOR WORLD ECONOMY
Online Access:	http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20111108124433 http://hdl.handle.net/10986/3644