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Review of Quantitative Finance and Accounting

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01.02.2014 | Original Research

The aftermath of the subprime crisis: a clustering analysis of world banking sector

verfasst von: José G. Dias, Sofia B. Ramos

Erschienen in: Review of Quantitative Finance and Accounting | Ausgabe 2/2014

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Abstract

The banking sector has been on the spotlight in both academic and policy circles since the outburst of the subprime bubble. The crisis has its roots in the US, but there were spillover effects around the world. We study the behavior of the banking sector of 40 countries during the period 2007–2010, using a new clustering methodology. Our methodology combines regime switching models in the modeling of longitudinal variations with cluster analysis that identifies groups of countries with similar profiles. Our results show that although there were periods of intense contagion, the impact was uneven among sample countries. The crisis had episodic effects on some countries, while others had severe devaluations after the Lehman Brothers bankruptcy. Finally, a small group of banking systems has plunged into a long severe crisis.

Vorheriger Artikel Are CEO stock option grants optimal? Evidence from family firms and non-family firms around the Sarbanes–Oxley Act

Nächster Artikel Optimal portfolio choice of gold assets in the differential market and differential game structures

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Titel: The aftermath of the subprime crisis: a clustering analysis of world banking sector
verfasst von: José G. Dias
Sofia B. Ramos
Publikationsdatum: 01.02.2014
Verlag: Springer US
Erschienen in: Review of Quantitative Finance and Accounting / Ausgabe 2/2014
Print ISSN: 0924-865X
Elektronische ISSN: 1573-7179
DOI: https://doi.org/10.1007/s11156-013-0342-3

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