TY - BOOK ID - 85502955 TI - Interconnectedness of Global Systemically-Important Banks and Insurers AU - Malik, Sheheryar. AU - Xu, TengTeng. PY - 2017 SN - 1484324005 1484323955 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Risk. KW - Economics KW - Uncertainty KW - Probabilities KW - Profit KW - Risk-return relationships KW - Banks and Banking KW - Financial Risk Management KW - Industries: Financial Services KW - Investments: Stocks KW - Banks KW - Depository Institutions KW - Micro Finance Institutions KW - Mortgages KW - Insurance KW - Insurance Companies KW - Actuarial Studies KW - Time-Series Models KW - Dynamic Quantile Regressions KW - Dynamic Treatment Effect Models KW - Diffusion Processes KW - State Space Models KW - Financial Institutions and Services: General KW - Financial Crises KW - Pension Funds KW - Non-bank Financial Institutions KW - Financial Instruments KW - Institutional Investors KW - Finance KW - Economic & financial crises & disasters KW - Banking KW - Investment & securities KW - Global systemically important banks KW - Global systemically important insurers KW - Financial crises KW - Insurance companies KW - Financial institutions KW - Stocks KW - Financial services industry KW - Banks and banking KW - United States UR - https://www.unicat.be/uniCat?func=search&query=sysid:85502955 AB - Interconnectedness among global systemically important banks (GSIBs) and global systemically important insurers (GSIIs) has important financial stability implications. This paper examines connectedness among United States, European and Asian GSIBs and GSIIs, using publicly-available daily equity returns and intra-day volatility data from October 2007 to August 2016. Results reveal strong regional clusters of return and volatility connectedness amongst GSIBs and GSIIs. Compared to Asia, selected GSIBs and GSIIs headquartered in the United States and Europe appear to be main sources of market-based connectedness. Total system connectedness—i.e., among all GSIBs and GSIIs—tends to rise during financial stress, which is corroborated by a balance sheet oriented systemic risk measure. Lastly, the paper demonstrates significant influence of economic policy uncertainty and U.S. long-term interest rates on total connectedness among systemically important institutions, and the important role of bank profitability and asset quality in driving bank-specific return connectedness. ER -