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.

    Journal of International Money and Finance是国际经济学领域广受认可的国际权威期刊，主要刊发国际经济学、国际金融学领域的研究成果。论文合作者为瑞士苏黎世联邦理工学院的Peter H. Egger教授以及朱佳青博士。

原文链接：

https://www.sciencedirect.com/science/article/pii/S0261560623000803 

李杰，经济学博士，暨南大学产业经济研究院研究员，博士生导师。现任《产经评论》执行主编，国际经济学领域著名期刊《Review of International Economics》副主编。主持教育部重大攻关项目、国家社科、国家社科后期、国家自科等多项国家级项目。主要研究领域为国际贸易、产业组织和公司金融，研究成果发表于Journal of Economic Behavior and Organization (2篇), Journal of Comparative Economics, Journal of International Money and Finance(2篇), Journal of Regulatory Economics, Environmental and Resource Economics, China Economic Review等国际知名SSCI杂志以及《经济研究》、《经济学季刊》、《世界经济》等国内权威期刊。