Année
2013
Abstract
The banking sector has been on the spotlight in both academic and policy circles since
the outburst of the subprime bubble. The crisis has its roots in the US, but there were spillover
effects around the world. We study the behavior of the banking sector of 40 countries during the
period 2007–2010, using a new clustering methodology. Our methodology combines regime
switching models in the modeling of longitudinal variations with cluster analysis that identifies
groups of countries with similar profiles. Our results show that although there were periods of
intense contagion, the impact was uneven among sample countries. The crisis had episodic effects
on some countries, while others had severe devaluations after the Lehman Brothers bankruptcy.
Finally, a small group of banking systems has plunged into a long severe crisis.
RAMOS, S. et DIAS, J. (2013). The aftermath of the subprime crisis – a clustering analysis of world banking sector. Review of Quantitative Finance and Accounting, 42(2), pp. 293-308.
Mots clés