Financial networks and systemic risk vulnerabilities: A tale of Indian banks

This study identifies the nature and direction of unprecedented upheavals in the Indian banking sector which is linked to credit market asymmetry. A tail-driven network approach with a mixed sample of banks and firms exhibits the characteristics of the twin-balance-sheet syndrome. We construct the n...

Full description

Saved in:
Bibliographic Details
Published in:Research in international business and finance 2023-04, Vol.65, p.101962, Article 101962
Main Authors: Ahmad, Wasim, Tiwari, Shiv Ratan, Wadhwani, Akshay, Khan, Mohammad Azeem, Bekiros, Stelios
Format: Article
Language:English
Subjects:
CoVaR
Financial Stability
Indian Banks
Network Approach
Systemic Risk
Value at Risk
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This study identifies the nature and direction of unprecedented upheavals in the Indian banking sector which is linked to credit market asymmetry. A tail-driven network approach with a mixed sample of banks and firms exhibits the characteristics of the twin-balance-sheet syndrome. We construct the networks with a degree of interconnectedness at different quantiles and identify major systemic risk emitters and receivers. Furthermore, we find a spillover of the riskiness of deep-in-debt firms to banks. Smaller banking institutions evince a greater connection to banks and firms than larger ones. Our results are valuable for policymakers formulating financial stabilization policies and investors considering Indian markets for various opportunities. [Display omitted] •Examines the twin-balance sheet syndrome for the Indian banking sector upheaval.•The tail-driven network model explains the high interconnectedness during the banking sector shock.•The systemic risk and financial vulnerabilities are analyzed and discussed.
ISSN:0275-5319
DOI:10.1016/j.ribaf.2023.101962