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Did small or large US banks transmit more risk during the Subprime crisis? |
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| Institution: | 1. School of Economics and Management, Beihang University, Beijing, China;2. Beijing Advanced Innovation Center for Big Data and Brain Computing, BeihangUniversity, Beijing, China;3. Key Laboratory of Complex System Analysis, Management and Decision (BeihangUniversity), Ministry of Education, Beijing, China;1. Pusan National University, South Korea;2. National Pension Research Institute, South Korea;3. Pukyong National University, South Korea;4. Mirae Asset Global Investments, South Korea |
| Abstract: | This paper investigates bank size as a factor of risk transmission in the US banking sector during the Subprime crisis. Risk transmission is examined in two directions: from large to small banks and from small to large banks. To do this, we estimated a Spatial Autoregressive model using information on all US commercial banks from 2005 to 2010. Our results show that risk transmission from small to large banks appeared during early stages of the Subprime Crisis and transmission from large to small banks appeared later but was more long lasting. |
| Keywords: | Bank size Risk transmission Subprime crisis Bank stability |
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