Published in:University of St.Gallen, School of Finance Research Paper ; No. 2018/16
Extent:
1 Online-Ressource (68 p)
Language:
English
DOI:
10.2139/ssrn.3188010
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 9, 2020 erstellt
Description:
We empirically examine how systemic risk in the banking sector leads to correlatedrisk in office markets of global financial centers. In so doing, we compute an aggregatedmeasure of systemic risk in financial centers as the cumulated expectedcapital shortfall of local financial institutions. Our identification strategy is basedon a double counterfactual approach by comparing normal with financial distressperiods as well as office with retail markets. We find that office market interconnectednessarises from systemic risk during financial turmoil periods. Office marketperformance in a financial center is affected by returns of systemically linked financialcenter office markets only during a systemic banking crisis. In contrast, thereis no evidence of correlated risk during normal times and among the within-citycounterfactual retail sector. The decline in office market returns during a bankingcrisis is larger in financial centers compared to non-financial centers