Bail-in and interbank contagion risk: An application of fsqca methodology

Sanchez-Roger M.; Oliver-Alfonso M.D.; Sanchís-Pedregosa C.; Roig-Tierno N. · Entrepreneurship and Sustainability Issues (2020) · DOI: 10.9770/jesi.2020.7.4(3)

Resumen

This work uses fuzzy set theory and qualitative comparative analysis (QCA) to determine the causal configurations leading to interbank contagion in a resolution event. This study pioneers the introduction of fsQCA methodology in banking crisis analyses. The event providing the necessary data for this study is the resolution of the Spanish bank Banco Popular. We develop sufficient and necessary condition analyses to find the key metrics that lead to interbank contagion. The results demonstrate that weak solvency metrics, low asset quality and belonging to the same country where the resolution has been triggered tend to lead to higher contagion.

Instituciones: Universidad del Pacífico