Abstract
This paper examines the systemic risk and its spillover between banking sectors of the Gulf Cooperation Council (GCC) region using the conditional value-at-risk framework. We construct country-specific banking indices using 11 large banks in the region that are systemically important (SIB). We report evidence of systemic risk spillovers from SIBs to the broad-based GCC market indices. The incremental tail spillovers are statistically significant for other domestic banks' tail risk and inflate the systemic risk of cross-country GCC banks.
| Original language | English |
|---|---|
| Pages (from-to) | 439-470 |
| Number of pages | 32 |
| Journal | Buletin Ekonomi Moneter dan Perbankan/Monetary and banking economics bulletin |
| Volume | 25 |
| Issue number | 3 |
| DOIs | |
| State | Published - 2022 |
Bibliographical note
Publisher Copyright:© 2022 The authors.
Keywords
- Banking sector
- CoVaR
- GCC countries
- Systemic risk
ASJC Scopus subject areas
- Finance
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