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Title: Banking industry performance in the wake of the global financial crisis
Authors: Bhimjee, D.
Ramos, S.
Dias, J. G.
Keywords: Global financial crisis
International financial contagion
‘Subprime’ crisis
Banking institutions
Heterogeneous regime-switching model (HRSM)
Issue Date: 2016
Publisher: Elsevier
Abstract: This paper analyzes the performance of the banking industry both prior to and during the global financial crisis (GFC). Through the application of a panel regime-switching model designed to capture heterogeneity, our findings suggest that global banking performance can be grouped into two distinctive clusters, each with its own specific regime dynamics. Before the crisis, a cluster of banking institutions pertaining to advanced economies stood out for its buoyant stock market performance, whereas a second cluster, mainly composed of banking indexes that belong to emerging economies, exhibited a more subdued performance. Further, this differentiation was accompanied by low regime synchronization between the clusters. During the crisis, banking institutions behaved similarly, regime synchronization increased, and the differences in the regime dynamics vanished. Finally, the GFC constituted a highly synchronized and systemic extreme financial event, as evidenced by our findings depicting the onset of severe underlying international financial contagion processes.
Peer reviewed: yes
DOI: 10.1016/j.irfa.2016.01.005
ISSN: 1057-5219
Accession number: WOS:000390494400030
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica
DINÂMIA'CET-RI - Artigo em revista científica internacional com arbitragem científica

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