Bank systemic risk exposure and office market interconnectedness
研究了银行系统性风险如何导致全球金融中心写字楼市场的风险联动，发现金融危机期间系统性风险会加剧写字楼市场互联性，而正常时期则无此效应。
We empirically examine how systemic risk in the banking sector leads to correlated risk in office markets of global financial centers. In so doing, we compute an aggregated measure of systemic risk in financial centers as the cumulated expected capital shortfall of local financial institutions. Our identification strategy is based on a double counterfactual approach by comparing normal with financial distress periods as well as office with retail markets. We find that office market interconnectedness arises from systemic risk during financial turmoil periods. Office market performance in a financial center is affected by returns of systemically linked financial center office markets only during a systemic banking crisis. In contrast, there is no evidence of correlated risk during normal times and among the within-city counterfactual retail sector. The decline in office market returns during a banking crisis is larger in financial centers compared to non-financial centers.