Contagion risk in the Australian banking and property sectors

Journal of Banking and Finance

Volumn 35, Issue 3, 2011, Pages 681-697

  Pais, Amelia ^a   Stork, Philip A ^a  

^a MASSEY UNIVERSITY   (New Zealand)

Author keywords

Australia; Banks; C14; Contagion risk; Extreme value theory; G01; G15; G21

Indexed keywords

EID: 78651442113     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2010.05.012     Document Type: Article

References (37)

1. Allen F., Gale D. Financial contagion. Journal of Political Economy 2000, 108:1-33.
2. Bae K.-H., Karolyi G.A., Stulz R.M. A new approach to measuring financial contagion. Review of Financial Studies 2003, 16:717-763.
3. Bessler W., Nohel T. Asymmetric information, dividend reduction and contagion effects in bank stock returns. Journal of Banking and Finance 2000, 24:1831-1848.
4. Chan-Lau, J.A., Mitra, S., Ong, L.L., 2007. Contagion risk in the international banking system and implications for London as a global financial center. IMF Working paper WP/07/74.
5. Cole R., Moshirian F., Wu Q. Bank stock returns and economic growth. Journal of Banking and Finance 2008, 32:995-1007.
6. Cristiansen C., Ranaldo A. Extreme coexceedances in new EU members states' stock markets. Journal of Banking and Finance 2009, 33:1048-1057.
7. Danielsson J., Jorgensen B.N., Sarma M., de Vries C.G. Comparing downside risk measures for heavy tailed distributions. Economics Letters 2006, 92:202-208.
8. de Haan L., Jansen D.W., Koedijk K., de Vries C.G. Safety first portfolio selection, extreme value theory and long run asset risks. Extreme Value Theory and Applications 1994, Kluwer Press, Dordrecht. J. Galambos, J. Lechner, E. Simiu (Eds.).
9. de Vries C.G. The simple economics of bank fragility. Journal of Banking and Finance 2005, 29:803-825.
10. Duggar, E., Mitra, S., 2007. External linkages and contagion risks in Irish banks. IMF Working paper WP/07/44.
11. Edwards, J., 2008. Australian experience in the sub-prime crisis. Address to Flinders University International Expert Symposium on The Sub-Prime Mortgage Meltdown: Origins, Trajectories and Regional Implication," Adelaide, 16 May.
12. Forbes K.J., Rigobon R. No contagion, only interdependence: Measuring stock market comovements. Journal of Finance 2002, 57:2223-2261.
13. Furfine C.H. Interbank exposures: Quantifying the risk of contagion. Journal of Money, Credit and Banking 2003, 35:111-128.
14. Gropp R., Hartmann P. Financial contagion: Myth or reality. European Central Bank Research Bulletin 2004, 1:2-6.
15. Hall P., Horowitz J.L., Jing B.Y. On blocking rules for the bootstrap with dependent data. Biometrika 1995, 82:561-574.
16. Hartmann P., Straetmans S., de Vries C.G. Asset market linkages in crisis periods. The Review of Economics and Statistics 2004, 86:313-326.
17. Hartmann P., Straetmans S., de Vries C.G. Banking system stability: A cross-Atlantic perspective. The Risks of Financial Institutions 2006, The University of Chicago Press, Chicago. M. Carey, R.M. Stulz (Eds.).
18. Hasman A., Samartín M. Information acquisition and financial contagion. Journal of Banking and Finance 2008, 32:2136-2147.
19. Hess, K., Grimes, A., Holmes, M., 2008. Credit losses in Australasian banking. Presented at the 21st Australasian Finance and Banking Conference, Sydney, 16-18 December.
20. Hill B. A simple general approach to inference about the tail of a distribution. The Annals of Statistics 1975, 3:1163-1173.
21. Huang, X., 1992. Statistics of Bivariate Extreme Values. Tinbergen Institute Research Series, Ph.D. Thesis No. 22, Erasmus University Rotterdam.
22. International Monetary Fund, 2006. Australia: Financial System Stability Assessment. IMF Country Report 06/372.
23. Jansen D.W., de Vries C.G. On the frequency of large stock returns: Putting booms and busts into perspective. Review of Economics and Statistics 1991, 73:19-24.
24. Karolyi G.A., Stulz R.M. Why do markets move together? An investigation of US -Japan stock return comovements. Journal of Finance 1996, 51:951-986.
25. Laker, J., 2007. The Evolution of Risk and Risk Management - A Prudential Regulator's Perspective. Reserve Bank of Australia 2007 Conference - The Structure and Resilience of the Financial System, 20-21 August.
26. Lu C., So R.W. Return relationships between listed banks and real estate firms: Evidence from seven Asian firms. Journal of Real Estate Finance and Economics 2005, 31:189-206.
27. Mandelbrot B. The variation of certain speculative prices. The Journal of Business 1963, 36:394-419.
28. Moshirian F., Wu Q. Banking industry volatility and banking crises. Journal of International Financial Markets, Institutions and Money 2009, 19:351-370.
29. Ostrup, F, Oxelheim, L., Wihlborg, C., 2009. Origins and resolution of financial crises: Lessons from the current and Northern European crises. IFN Working paper 796, Research Institute of Industrial Economics.
30. Poon S.-H., Rockinger M., Tawn J. Extreme value dependence in financial markets: Diagnostics, models, and financial implications. Review of Financial Studies 2004, 17:581-610.
31. Ramirez C.D. Bank fragility, "money under the mattress" , and long-run growth: US evidence from the "perfect" Panic of 1893. Journal of Banking and Finance 2009, 33:2185-2198.
32. Reinhart, C.M., Rogoff, K.S., 2009. The aftermath of the financial crisis. NBER Working paper 14656.
33. Slijkerman, J.F., Schoenmaker, D., de Vries, C.G., 2005. Risk diversification by European financial conglomerates. Tinbergen Institute discussion paper Ti 2005-110/2.
34. Stork P.A., de Vries C.G. The stability of the Australian banking system. The Banking Crisis Handbook 2010, CRC Press, Boca Raton. G.N. Gregoriou (Ed.).
35. Straetmans S., Verschoor W., Wolff C. Extreme US stock market fluctuations in the wake of 9/11. Journal of Applied Econometrics 2008, 23:17-42.
36. Upper A., Worms C. Estimating bilateral exposures in the German interbank market: Is there a danger of contagion. European Economic Review 2004, 48:827-849.
37. Zhang Z., Shinki K. Extreme co-movements and extreme impacts in high frequency data in finance. Journal of Banking and Finance 2007, 31:1399-1415.