The network and own effects of global-systemically-important-bank designations
研究全球系统重要性银行认定对目标银行股价的直接影响不显著，但会通过盈利能力和风险状况产生异质性溢出效应，并增强银行抗冲击能力的同时引发对其他银行的波动溢出。
This paper considers the network structure of listed depository institutions around the globe through volatility spillovers to assess the network and own effects from Global Systemically Important Bank (GSIB) designations as done by the Financial Stability Board (FSB). Different from previous studies, after considering the (network) spillover effects of GSIB designations in the model, we cannot reject the null hypothesis that the direct effects of GSIB designations are zero for the cumulative abnormal returns of the targeted institutions. However, we unveil unintended heterogeneous spillover effects of these designations, which depend on the profitability and riskiness of the involved institutions in the network. Finally, we find evidence that the GSIB designations increase GSIBs’ resilience to external shocks, but they also induce volatility spillovers from GSIBs to other banks in the network. The intended change of the volatility-spillover intensity of GSIBs mitigates the unintended effects to some extent, but it does not offset them.