Received:
2019-11-26 | Accepted:
2020-03-10 | Published:
2020-06-30
Title
Bail-in and interbank contagion risk: an application of FSQCA methodology
Abstract
This work uses fuzzy set theory and qualitative comparative analysis (QCA) to determine the causal configurations leading to interbank contagion in a resolution event. This study pioneers the introduction of fsQCA methodology in banking crisis analyses. The event providing the necessary data for this study is the resolution of the Spanish bank Banco Popular. We develop sufficient and necessary condition analyses to find the key metrics that lead to interbank contagion. The results demonstrate that weak solvency metrics, low asset quality and belonging to the same country where the resolution has been triggered tend to lead to higher contagion.
Keywords
bail-in, banking resolution, FSQCA, contagion risk
JEL classifications
G10
, G20
, G21
URI
http://jssidoi.org/jesi/article/542
DOI
Pages
2604-2614
Funding
Norat Roig-Tierno wish to thank Project GV/2019/063, funded by the Generalitat Valenciana, Spain, for supporting this research
This is an open access issue and all published articles are licensed under a
Creative Commons Attribution 4.0 International License
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