Purpose

This study aims to examine the systemic risk contagion in banks from 15 US states using extreme shocks in their distance to risk.

Design/methodology/approach

The authors contemplate a model that inputs co-exceedances in the base US states’ banking sector as the dependent variable and the co-exceedances in other states’ banking sector (along with other underlying variables of a banking system) as the explanatory variables.

Findings

The authors find smaller states transmit and receive more systemic shocks than their larger counterparts and larger states exhibit a better shock-resisting capacity than their smaller counterparts. The authors also find that bigger shocks are more contagious than the smaller shocks.

Originality/value

This will be the first paper that will investigate the inner linkage of US states’ banking network using three different distance to risk methods, thus providing timely guidance for regulators.

中文翻译：

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美国各州的系统性风险传染

目的

本研究旨在检查来自美国 15 个州的银行在远离风险的范围内使用极端冲击的系统性风险传染。

设计/方法/方法

作者考虑了一个模型，该模型将美国基本州银行业的共同超出作为因变量，将其他州银行业的共同超出（以及银行系统的其他潜在变量）作为解释变量。

发现

作者发现较小的国家比较大的国家传输和接收更多的系统性冲击，而较大的国家比较小的国家表现出更好的抗冲击能力。作者还发现，较大的冲击比较小的冲击更具传染性。

原创性/价值

这将是第一篇使用三种不同的风险距离方法研究美国各州银行网络内部联系的论文，从而为监管机构提供及时的指导。