Does Diversification Affect Banking Systemic Risk?

<table class="table-group" id="tab2"><tr><td><table class="table"><tr><td class="thead-hr" colspan="4"><hr/></td></tr><tr class="thead"><td class="align_left">Null hypothesis examined</td><td class="align_center"> VAR lag length </td><td class="align_center"><svg height="8.68572pt" id="M59" style="vertical-align:-0.0498209pt" version="1.1" viewbox="-0.0498162 -8.6359 8.02022 8.68572" width="8.02022pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M584 650H137L131 622C214 614 217 612 200 521L125 127C109 41 101 35 23 28L17 0H288L294 28C201 35 193 42 209 128L242 309H348C440 309 442 300 443 226H471L510 422H482C452 354 449 348 357 348H251L295 575C302 609 304 615 338 615H426C502 615 517 604 526 581C534 560 536 524 537 492L565 494C574 554 583 631 584 650Z" id="g113-71"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="607" vert-adv-y="607"></glyph.data></g></svg>-statistic </td><td class="align_center"><svg height="10.2124pt" id="M60" style="vertical-align:-3.42943pt" version="1.1" viewbox="-0.0498162 -6.78297 7.83752 10.2124" width="7.83752pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M570 304C570 398 525 448 414 448C385 448 343 445 312 434L329 511L321 518C297 504 262 482 244 460L233 411C195 397 159 381 128 358L135 332C160 347 189 360 224 373L111 -147C97 -210 84 -218 17 -231L13 -257L254 -247L259 -218L233 -216C183 -212 177 -202 189 -142L218 -1C238 -10 266 -12 283 -12C351 3 429 48 483 105C543 168 570 242 570 304ZM482 289C482 161 380 33 304 33C278 33 248 51 233 69L303 396C326 400 352 403 369 403C428 403 482 380 482 289Z" id="g113-113"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="593" vert-adv-y="593"></glyph.data></g></svg> value </td></tr><tr><td class="thead-hr" colspan="4"><hr/></td></tr><tr><td class="align_left"><svg height="9.01194pt" id="M61" style="vertical-align:-0.2455397pt" version="1.1" viewbox="-0.0498162 -8.7664 32.2126 9.01194" width="32.2126pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M673 0V28C608 34 594 43 563 129C499 303 432 494 370 665L339 656L132 132C98 43 84 37 20 28V0H238V28C162 35 154 45 175 108C188 150 203 192 219 237H432C454 176 474 122 487 83S491 36 428 28V0H673ZM418 280H234C265 362 296 450 328 535H330L418 280Z" id="g121-63"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="691" vert-adv-y="691"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,8.983,0)"><path d="M43 650V622C120 616 128 612 128 526V124C128 39 120 33 34 27V0H270C392 0 492 25 567 83C643 141 690 230 690 350C690 444 655 517 605 565C543 625 450 650 323 650H43ZM213 547C213 587 217 598 226 604C236 612 262 617 304 617C371 617 429 604 474 576C554 529 592 439 592 336C592 176 505 36 319 36C246 36 213 55 213 131V547Z" id="g121-66"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="735" vert-adv-y="735"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,18.421,0)"><path d="M303 0V28C221 34 213 39 213 125V525C213 610 221 616 303 622V650H38V622C120 616 128 610 128 525V125C128 40 120 34 38 28V0H303Z" id="g121-71"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="341" vert-adv-y="341"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,22.854,0)"><path d="M687 650H462V622C543 612 549 605 530 547C498 447 422 252 372 126H370C302 298 229 492 204 563C188 607 191 615 262 622V650H17V622C77 616 93 608 122 534C180 389 262 172 329 -11H360C436 196 541 450 568 516C606 605 619 614 687 622V650Z" id="g121-84"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="703" vert-adv-y="703"></glyph.data></g></svg> does not Granger cause <svg height="8.81621pt" id="M62" style="vertical-align:-0.04980946pt" version="1.1" viewbox="-0.0498162 -8.7664 28.1805 8.81621" width="28.1805pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M673 0V28C608 34 594 43 563 129C499 303 432 494 370 665L339 656L132 132C98 43 84 37 20 28V0H238V28C162 35 154 45 175 108C188 150 203 192 219 237H432C454 176 474 122 487 83S491 36 428 28V0H673ZM418 280H234C265 362 296 450 328 535H330L418 280Z" id="g121-63"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="691" vert-adv-y="691"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,8.983,0)"><path d="M43 650V622C120 616 128 612 128 526V124C128 39 120 33 34 27V0H270C392 0 492 25 567 83C643 141 690 230 690 350C690 444 655 517 605 565C543 625 450 650 323 650H43ZM213 547C213 587 217 598 226 604C236 612 262 617 304 617C371 617 429 604 474 576C554 529 592 439 592 336C592 176 505 36 319 36C246 36 213 55 213 131V547Z" id="g121-66"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="735" vert-adv-y="735"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,18.421,0)"><path d="M43 650V622C120 616 128 612 128 526V124C128 39 120 33 34 27V0H270C392 0 492 25 567 83C643 141 690 230 690 350C690 444 655 517 605 565C543 625 450 650 323 650H43ZM213 547C213 587 217 598 226 604C236 612 262 617 304 617C371 617 429 604 474 576C554 529 592 439 592 336C592 176 505 36 319 36C246 36 213 55 213 131V547Z" id="g121-66"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="735" vert-adv-y="735"></glyph.data></g></svg></td><td class="align_center"> 3</td><td class="align_center"> 0.7397</td><td class="align_center"> 0.5319</td></tr><tr><td class="align_left"><svg height="9.01194pt" id="M63" style="vertical-align:-0.2455397pt" version="1.1" viewbox="-0.0498162 -8.7664 43.2779 9.01194" width="43.2779pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M956 650H736V622C814 613 818 602 804 542C789 471 733 275 691 141H689C628 314 570 476 514 641H485C434 478 377 312 323 142H321C277 284 238 419 199 554C184 605 186 613 259 622V650H16V622C77 615 92 606 117 524C172 346 228 170 281 -11H312C363 151 419 312 475 488H477C528 343 597 150 652 -11H683C765 269 826 458 848 522C878 605 887 613 956 622V650Z" id="g121-85"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="971" vert-adv-y="971"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,11.018,0)"><path d="M673 0V28C608 34 594 43 563 129C499 303 432 494 370 665L339 656L132 132C98 43 84 37 20 28V0H238V28C162 35 154 45 175 108C188 150 203 192 219 237H432C454 176 474 122 487 83S491 36 428 28V0H673ZM418 280H234C265 362 296 450 328 535H330L418 280Z" id="g121-63"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="691" vert-adv-y="691"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,20.001,0)"><path d="M43 650V622C120 616 128 612 128 526V124C128 39 120 33 34 27V0H270C392 0 492 25 567 83C643 141 690 230 690 350C690 444 655 517 605 565C543 625 450 650 323 650H43ZM213 547C213 587 217 598 226 604C236 612 262 617 304 617C371 617 429 604 474 576C554 529 592 439 592 336C592 176 505 36 319 36C246 36 213 55 213 131V547Z" id="g121-66"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="735" vert-adv-y="735"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,29.439,0)"><path d="M303 0V28C221 34 213 39 213 125V525C213 610 221 616 303 622V650H38V622C120 616 128 610 128 525V125C128 40 120 34 38 28V0H303Z" id="g121-71"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="341" vert-adv-y="341"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,33.872,0)"><path d="M687 650H462V622C543 612 549 605 530 547C498 447 422 252 372 126H370C302 298 229 492 204 563C188 607 191 615 262 622V650H17V622C77 616 93 608 122 534C180 389 262 172 329 -11H360C436 196 541 450 568 516C606 605 619 614 687 622V650Z" id="g121-84"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="703" vert-adv-y="703"></glyph.data></g></svg> does not Granger cause <svg height="9.01194pt" id="M64" style="vertical-align:-0.2455397pt" version="1.1" viewbox="-0.0498162 -8.7664 39.2459 9.01194" width="39.2459pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M956 650H736V622C814 613 818 602 804 542C789 471 733 275 691 141H689C628 314 570 476 514 641H485C434 478 377 312 323 142H321C277 284 238 419 199 554C184 605 186 613 259 622V650H16V622C77 615 92 606 117 524C172 346 228 170 281 -11H312C363 151 419 312 475 488H477C528 343 597 150 652 -11H683C765 269 826 458 848 522C878 605 887 613 956 622V650Z" id="g121-85"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="971" vert-adv-y="971"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,11.018,0)"><path d="M673 0V28C608 34 594 43 563 129C499 303 432 494 370 665L339 656L132 132C98 43 84 37 20 28V0H238V28C162 35 154 45 175 108C188 150 203 192 219 237H432C454 176 474 122 487 83S491 36 428 28V0H673ZM418 280H234C265 362 296 450 328 535H330L418 280Z" id="g121-63"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="691" vert-adv-y="691"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,20.001,0)"><path d="M43 650V622C120 616 128 612 128 526V124C128 39 120 33 34 27V0H270C392 0 492 25 567 83C643 141 690 230 690 350C690 444 655 517 605 565C543 625 450 650 323 650H43ZM213 547C213 587 217 598 226 604C236 612 262 617 304 617C371 617 429 604 474 576C554 529 592 439 592 336C592 176 505 36 319 36C246 36 213 55 213 131V547Z" id="g121-66"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="735" vert-adv-y="735"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,29.439,0)"><path d="M43 650V622C120 616 128 612 128 526V124C128 39 120 33 34 27V0H270C392 0 492 25 567 83C643 141 690 230 690 350C690 444 655 517 605 565C543 625 450 650 323 650H43ZM213 547C213 587 217 598 226 604C236 612 262 617 304 617C371 617 429 604 474 576C554 529 592 439 592 336C592 176 505 36 319 36C246 36 213 55 213 131V547Z" id="g121-66"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="735" vert-adv-y="735"></glyph.data></g></svg></td><td class="align_center"> 5</td><td class="align_center"> 0.4252</td><td class="align_center"> 0.8295</td></tr><tr class="table-tr"><td colspan="4"><hr class="tbody-hr"/></td></tr></table></td></tr><tr class="table-fn"><td>Notes: the VAR lag lengths were selected based on the Schwartz Information Criterion (SIC).<br/></td></tr></table>

Discrete Dynamics in Nature and Society

tab2

Table 2

Table 2: Does Diversification Affect Banking Systemic Risk? 