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1、BISWorkingPapersNo856VolatilityspilloversandcapitalbuffersamongtheG-SIBsbyPaulDMcNelisandJamesYetmanMonetaryandEconomicDepartmentApril2020JELclassification:C58,F65,G21,G28.Keywords:G-SIBs;contagion;connectedness;bankcapital;crossvalidation.BISWorkingPapersarewrittenbymembersoftheMonetar
2、yandEconomicDepartmentoftheBankforInternationalSettlements,andfromtimetotimebyothereconomists,andarepublishedbytheBank.Thepapersareonsubjectsoftopicalinterestandaretechnicalincharacter.TheviewsexpressedinthemarethoseoftheirauthorsandnotnecessarilytheviewsoftheBIS.Thispublicationisavaila
3、bleontheBISwebsite(www.bis.org).©BankforInternationalSettlements2020.Allrightsreserved.Briefexcerptsmaybereproducedortranslatedprovidedthesourceisstated.ISSN1020-0959(print)ISSN1682-7678(online)VolatilityspilloversandcapitalbuffersamongtheG-SIBsPaulDMcNelisandJamesYetman1April2020Abstra
4、ctWeassessthedynamicsofvolatilityspilloversamongglobalsystemicallyimportantbanks(G-SIBs).Wemeasurespilloversusingvector-autoregressivemodelsofrangevolatilityoftheequitypricesofG-SIBs,togetherwithmachinelearningmethods.Wethencomparethesizeofthesespilloverswiththedegreeofsystemicimportanc
5、emeasuredbytheBaselCommitteeonBankingSupervision’sG-SIBbucketdesignations.Wefindahighpositivecorrelationbetweenthetwo.Wealsofindthathigherbankcapitalreducesvolatilityspillovers,especiallyforbanksinhigherG-SIBbuckets.Ourresultssuggestthatrequiringbanksthataredesignatedasbeingmoresystemic
6、allyimportantgloballytoholdadditionalcapitalislikelytoreducevolatilityspilloversfromthemtootherlargebanks.Keywords:G-SIBs;contagion;connectedness;bankcapital;crossvalidation.JELclassifications:C58,F65,G21,G28.1RobertBendheimProfessorofEconomic&FinancialPolicy,GabelliSchoolofBusiness,For
7、dhamUniversity,45ColumbusAvenue,Room602A,NewYork,NY10023,USA,mcnelis@fordham.edu;andPrincipalEconomist,BankforInternationalSettlements.RepresentativeOfficeforAsiaandthePacific,78thFloor,TwoIFC,8FinanceStreet,Central,HongKongSAR,james.yetman@bis.org.WethankStijnClaessens,PageCon
