D60314 Frankfurt am Main
Institutional Affiliation: European Systemic Risk Board
Information about this author at RePEc
NBER Working Papers and Publications
|March 2017||Mapping the Interconnectedness between EU Banks and Shadow Banking Entities|
with Jorge Abad, Marco D'Errico, Vera Luz, Tuomas Peltonen, Richard Portes, Teresa Urbano: w23280
This paper provides a unique snapshot of the exposures of EU banks to shadow banking entities within the global financial system. Drawing on a rich and novel dataset, the paper documents the cross-sector and cross-border linkages and considers which are the most relevant for systemic risk monitoring. From a macroprudential perspective, the identification of potential feedback and contagion channels arising from the linkages of banks and shadow banking entities is particularly challenging when shadow banking entities are domiciled in different jurisdictions. The analysis shows that many of the EU banks’ exposures are towards non-EU entities, particularly US-domiciled shadow banking entities. At the individual level, banks’ exposures are diversified although this diversification leads to hig...