Mapping the Interconnectedness between EU Banks and Shadow Banking Entities

42 Pages Posted: 27 Mar 2017

See all articles by Jorge Abad

Jorge Abad

Centre for Monetary and Financial Studies (CEMFI)

Marco D'Errico

University of Zurich; European Systemic Risk Board

Neill Killeen

European Systemic Risk Board

Vera Luz

European Banking Authority

Tuomas A. Peltonen

European Central Bank (ECB)

Richard Portes

London Business School - Department of Economics; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER)

Teresa Urbano

European Banking Authority

Multiple version iconThere are 2 versions of this paper

Date Written: March 2017

Abstract

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 high overlap across different types of shadow banking entities.

Suggested Citation

Abad, Jorge and D'Errico, Marco and Killeen, Neill and Luz, Vera and Peltonen, Tuomas A. and Portes, Richard and Urbano, Teresa, Mapping the Interconnectedness between EU Banks and Shadow Banking Entities (March 2017). NBER Working Paper No. w23280, Available at SSRN: https://ssrn.com/abstract=2941258

Jorge Abad (Contact Author)

Centre for Monetary and Financial Studies (CEMFI) ( email )

Casado del Alisal 5
28014 Madrid
Spain

Marco D'Errico

University of Zurich

Andreasstrasse 15
Zurich, 8050
Switzerland

European Systemic Risk Board ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Neill Killeen

European Systemic Risk Board ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Vera Luz

European Banking Authority ( email )

Floor 46
One Canada Square, Canary Wharf
London, E14 5AA
United Kingdom

Tuomas A. Peltonen

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Richard Portes

London Business School - Department of Economics ( email )

Regent's Park
London, NW1 4SA
United Kingdom
+44 20 7000 8424 (Phone)
+44 20 7000 8401 (Fax)

HOME PAGE: http://faculty.london.edu/rportes/

Centre for Economic Policy Research (CEPR)

London
United Kingdom

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Teresa Urbano

European Banking Authority ( email )

Floor 46
One Canada Square, Canary Wharf
London, E14 5AA
United Kingdom

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