Premium
Cointegration and Exogeneity in Eurobanking and Latin American Banking: Does Systemic Risk Linger?
Author(s) -
Simpson John L.
Publication year - 2008
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.2008.00201.x
Subject(s) - endogeneity , latin americans , cointegration , systemic risk , economics , financial system , debt , monetary economics , business , macroeconomics , financial crisis , econometrics , political science , law
This paper examines financial integration, interdependence and exogeneity within and between Latin American banking and Eurobanking systems during a period of relative stability after the oil and debt crises of the 1980s. Significant evidence of cointegration in both long‐ and short‐term relationships is reported. Within Latin America, exogeneity lies mainly with the Brazilian system. Within Eurobanking, the U.S. system is the dominant influence. Between Eurobanking and Latin American banking systems, the U.S. system is the major driving force. With continued interdependence of these banking systems, systemic risk lingers, and vigilance is required in banking supervision.