Template-Type: ReDIF-Paper 1.0
Author-Name: Paul D McNelis
Author-X-Name-First: Paul D
Author-X-Name-Last: McNelis
Author-Name: James Yetman
Author-X-Name-First: James
Author-X-Name-Last: Yetman
Title: Volatility spillovers and capital buffers among the G-SIBs
Abstract: We assess the dynamics of volatility spillovers among global systemically important banks (G-SIBs). We measure spillovers using vector-autoregressive models of range volatility of the equity prices of G-SIBs, together with machine learning methods. We then compare the size of these spillovers with the degree of systemic importance measured by the Basel Committee on Banking Supervision's G-SIB bucket designations. We find a high positive correlation between the two. We also find that higher bank capital reduces volatility spillovers, especially for banks in higher G-SIB buckets. Our results suggest that requiring banks that are designated as being more systemically important globally to hold additional capital is likely to reduce volatility spillovers from them to other large banks.
Length: 24 pages
Creation-Date: 2020-04
File-URL: https://www.bis.org/publ/work856.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work856.htm
File-Format: text/html
Number: 856
Classification-JEL: C58, F65, G21, G28
Keywords: G-SIBs, contagion, connectedness, bank capital, cross validation
Handle: RePEc:bis:biswps:856