Le prochain séminaire doctorants aura lieu le jeudi 31 janvier 2019 à 12 h 00 , Salle B103 : Daniela BALUTEL (University Alexandru Loan Cuza Lasi) co-écrit avec Alin Marius ANDRIES ((University Alexandru Loan Cuza Lasi)) présentera son article "The Impact of National Culture on Systemic Risk".
This paper investigates the effects of national culture on systemic risk, using a comprehensive dataset, covering 75% of the total assets of the ?Global Bank? sample for the period 2000-2016. We measure cultural differences using country-level indices for individualism, power distance, masculinity and uncertainty avoidance developed by Hofstede (2001). Because these indicators have dual information , for a better identification we account for their potential nonlinear effects they have on the systemic risk measures. Additionally, as the two risk measures are channeling the risks in different ways, one form the banking sector to the system (CoVaR) and the other from the system to the banking sector (MES), we propose to see what is the role of the cultural indices on the full transmission mechanism of risk in a country by looking at a joint risk model. Moreover, as the risk measures are highly skewed, we also analyze the impact of cultural values on the systemic risk measures from a quantile perspective. As expected, nonlinerar effects of the cultural values on the risk measures are identified and are stable accross model specifications, showing that these cultural traits may increase their impact with the increase in systemic risks. An interesting finding is that at risks associated with banking crises the impacts of these cultural variables may change significantly their course. In general, the analysis indicates that societies characterized by individualism, high power distance and masculinity increase the individual contribution to the systemic risk. Another interesting fact is that societies characterized by masculinity will have a higher contribution to the risk of financial system, but the exposure will be lower.
Du 25 juin 2019 16h00 au 25 juin 2019 17h20
| Salle des thèses
Du 27 juin 2019 10h30 au 27 juin 2019 12h00
Du 17 juin 2019 au 19 juin 2019
| Faculty DEG, University of Orléans
Du 12 juin 2019 au 14 juin 2019
| Université de Franche-Comté, Besançon