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Mapping the interconnectedness between EU banks and shadow banking entities


Abad, Jorge; D'Errico, Marco; Killeen, Neill; Luz, Vera; Peltonen, Tuomas; Portes, Richard; Urbano, Teresa (2017). Mapping the interconnectedness between EU banks and shadow banking entities. NBER Working Papers 23280, National Bureau of Economic Research.

Abstract

This paper provides a unique snapshot of the exposures of EU banks to shadow banking entities within the global financial system. Drawing on a rich and novel dataset, the paper documents the cross-sector and cross-border linkages and considers which are the most relevant for systemic risk monitoring. From a macroprudential perspective, the identification of potential feedback and contagion channels arising from the linkages of banks and shadow banking entities is particularly challenging when shadow banking entities are domiciled in different jurisdictions. The analysis shows that many of the EU banks’ exposures are towards non-EU entities, particularly US-domiciled shadow banking entities. At the individual level, banks’ exposures are diversified although this diversification leads to high overlap across different types of shadow banking entities.

Abstract

This paper provides a unique snapshot of the exposures of EU banks to shadow banking entities within the global financial system. Drawing on a rich and novel dataset, the paper documents the cross-sector and cross-border linkages and considers which are the most relevant for systemic risk monitoring. From a macroprudential perspective, the identification of potential feedback and contagion channels arising from the linkages of banks and shadow banking entities is particularly challenging when shadow banking entities are domiciled in different jurisdictions. The analysis shows that many of the EU banks’ exposures are towards non-EU entities, particularly US-domiciled shadow banking entities. At the individual level, banks’ exposures are diversified although this diversification leads to high overlap across different types of shadow banking entities.

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Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:27 March 2017
Deposited On:28 Mar 2017 07:09
Last Modified:30 Aug 2017 01:16
Series Name:NBER Working Papers
Free access at:Official URL. An embargo period may apply.
Official URL:http://www.nber.org/papers/w23280.pdf
Related URLs:http://cepr.org/active/publications/discussion_papers/dp.php?dpno=11919 (Publisher)
http://www.nber.org/papers/w23280 (Publisher)
https://www.esrb.europa.eu/pub/pdf/wp/esrbwp40.en.pdf?c3e059e1c442492ccaec0e755b904e16 (Publisher)
Other Identification Number:merlin-id:14682

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