On the Contagion Effect in the US Banking Sector
使用空间计量方法研究2001-2012年美国银行风险承担的传染，发现传染并非全局性，而是局限于本地及规模与监管特征相似的银行群体。
Abstract By using the spatial econometrics methodology, this paper investigates the contagion of the risk taking by banks in the US banking sector during 2001 to 2012. In addition, the contagion signals up to the Subprime crisis in 2008 are analyzed and different channels of contagion are studied in order to identify fragile groups of banks. Our analysis reveals that there is no significant contagion transmitted to the whole banking system. However, we observe that the bank contagion is significantly spread locally and for the group of banks that share similar characteristics related to size and bank regulations.