1. Αποθετήριο Παραδοτέων Υποτρόφων Δράσεων ΕΣΠΑ Τριτοβάθμιας Εκπαίδευσης 2017-2023
2. Όλο το Αποθετήριο
3. Ερευνητικές ομάδες

Τύπος:	Πρακτικά συνεδρίου
Τίτλος:	Minimize transmission of systemic banking risk through automatic short-term intervention mechanisms (intra-day circuit breaker):a study on the Greek banking system and capital controls
Συγγραφέας:	[EL] Φλώρος, Χρήστος[EN] Floros, Christos [EL] Γκίλλας, Κωνσταντίνος[EN] Gkillas, Konstantinos [EL] Κωνσταντάτος, Χριστόφορος[EN] Konstantatos, Christoforos [EL] Τσαγκανός, Αθανάσιος[EN] Tsagkanos, Athanasios
Ημερομηνία:	27/09/2020
Περίληψη:	The probability of occurrence extreme events, in a period of economic recession increases dramatically. For example, the imposition of capital controls on a member state of the Eurozone or the collapse of a financial institution, especially after the collapse of Lehman Brothers, should not be considered unlikely, while credit events such as recapitalization or merger of systemic banking institutions are the current economic reality. The period under review is characterized by a lack of regulatory, unstable financing structure, reduction in traditional banking activities, and finally with banking institutions being either too large to fail or with a high degree of interdependence, they have led governments to financial and economic intervention. Liquidity injections-capital increases that are the most effective method of dealing the instability according to a recent study by Bruyckere et al. (2013). In addition, the pathogenesis of the European financial system (European structure), to define more precisely the period under study, lies in the policy of increasing the capital adequacy of banks through the rescue package and support mechanism (later). Bank bailout programs have changed the composition of both banks’ and sovereigns’ balance sheets with the result that the financial crisis that began in the United States as a financial crisis has turned into a sovereign debt crisis in the Eurozone. The present research research investigates the transmission of systemic risk on Greek banking institutions focusing on three objectives: first, the capital controls and how they affect the jumps on equity price of Greek banking institutions considering the Alpha Bank, Eurobank, National bank of Greece and Piraeus Bank the period of analysis spans from January 2, 2001 to December 29, 2019. Second, the extreme correlation between the jumps on equity prices of Greek banking institutions and third test the intra-day circuit breaker (see Gkillas and Longin; 2018). It should be noted that in particular the latter (intra-day circuit breaker) has been little explored in the international literature and has only recently begun to attract research interest. When the market moves downwards (negative returns) and exceeds a certain limit, the intra-daily switch can replace any long-term closing of the market (suspension of money market trading) as happened in June 2015, thus avoiding the long-term consequences. financial markets and the real economy (see Booth and Broussard; 1998 for the application of extreme price theory to turn on the switch). Our research explores the systemic risk in the Greek banking sector, focusing on three interesting objectives as follows, (i) The recent financial crisis has highlighted the fragile structure of the modern financial system and triggered an unprecedented debt crisis with banking and fiscal instability, especially in southern European countries. The causes of the crises in the Eurozone have been largely analyzed at research level, mostly with conventional econometric techniques, which admittedly fail in times of financial instability, high volatility and the occurrence of excessive losses (extreme events) fail to effectively interpret the dependence structures and the behavior of the participants in the economy. (ii) A substantial and effective understanding with sufficiently recognized, appropriate and unquestionable research tools in fragile financial environment could provide useful information to (a) economic policy makers, (b) the investors themselves as well as (c) banking institutions in order to understand and quantifies effectively the financial risk. The objective of this research is to apply the Extreme Value Theory (EVT) into the fractional changes in the Greek banking system and develop new mathematical- econometric models with an emphasis to the multivariate analysis of the extreme events on jumps of equity prices of Greek banking institutions.(iii) The intra-day circuit breaker proposed by Gkillas and Longin (2018) is also investigated, if and whether it could used in Greek banking markets. This mechanism gives the authorities an effective tool for temporarily break – pause the negotiations of a market in case of a stock price decrease below a threshold. By applying EVT we are able to calculate the probability that an extreme event (in our case extreme downside jump) that will take place simultaneously in two banks. We focus on the bivariate peaks over threshold method to calculate the tail dependencies to quantify the dependencies of jumps on Greek banking sector. Furthermore, adapting lags (𝑡+𝑛) to the series of jumps in one of the two banks under study, we can model the time between the extreme event in a banking institution and the extreme event that follows in another banking institution Also how an intra-day circuit-breaker mechanism which stop the trading will decrease the probability of another extreme event occurs. The effective use of the results of the present study in terms of economic policy gives a useful tool for the protection of the banking and financial system and consequently the real economy. In this research we consider that we offer a research of high research interest, as it provides an innovative econometric method of global valuation of capital control and intra-day circuit-breaker.
Γλώσσα:	Αγγλικά
Τόπος δημοσίευσης:	Plovdiv / Bulgaria
Σελίδες:	2
ISBN:	978-619-203-289-0
Θεματική κατηγορία:	[EL] Χρηματοοικονομικά[EN] Finance
Λέξεις-κλειδιά:	risk assessment; Greek banking; capital controls; intervention mechanisms
Κάτοχος πνευματικών δικαιωμάτων:	© The Author(s) 2020
Ηλεκτρονική διεύθυνση του τεκμηρίου στον εκδότη:	https://www.ibaness.org/conferences/plovdiv_2020/ibaness_plovdiv_proceedings_draft_5.pdf
Ηλεκτρονική διεύθυνση περιοδικού:	https://www.ibaness.org/
Τίτλος πηγής δημοσίευσης:	Proceedings of XIV. International Balkan and Near Eastern Social Sciences Congress Series on Economics, Business and Management
Σελίδες τεκμηρίου (στην πηγή):	969-970
Όνομα εκδήλωσης:	XIV. International Balkan and Near Eastern Social Sciences Congress Series on Economics, Business and Management
Τοποθεσία εκδήλωσης:	Plovdiv / Bulgaria
Ημ/νία έναρξης εκδήλωσης:	26/09/2020
Ημ/νία λήξης εκδήλωσης:	27/09/2020
Εμφανίζεται στις συλλογές:	Ερευνητικές ομάδες