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Comments on MARKUS STAUB: The Term Structure of Interest Rates and the Swiss Regional Bank Crisis - Empirical Evidence and its Limits. GEORGE SHELDON, MARTIN MAURER: Interbank Lending and Systemic Risk: An Empirical Analysis for Switzerland

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Comments on MARKUS STAUB: The Term Structure of Interest Rates and the Swiss Regional Bank Crisis - Empirical Evidence and its Limits GEORGE SHELDON, MARTIN MAURER: Interbank Lending and Systemic Risk: An Empirical Analysis for Switzerland EVA TERBERGER-STOY* 1. WHAT THE TWO PAPERS HAVE (NOT) IN COMMON Going by their titles, the paper by STAUB and the paper by SHELDON and MAURER seem to form part of the same research program. They present the results of empirical work trying to assess the extent of systemic risk endangering the Swiss banking sector. STAUB'S analysis concentrates on changes in the term structure as a likely source of sys- temic risk. Using micro panel data from 1987 to 1994, it addresses the question if the in- version of term structure was a major cause of the Swiss regional bank crisis in that pe- riod. SHELDON and MAURER direct our attention to a further source of systemic risk. Using 1987 to 1995 accounting data for all banks operating in Switzerland and aggregate data on interbank lending, they try to assess the likelihood that the failure of one bank could trigger a chain reaction in the Swiss banking sector via domestic interbank lending relationships. Considering their closely related research aim, it made sense to give a joint comment on the two papers. Looking at their main findings, however, both papers seem to be of quite different na- ture. While SHELDON and MAURER present an answer to their initial question, STAUB does not. «This paper is essentially destructive» is STAUB'S opening statement, pointing to the fact that his analysis turned out to be less about systemic risk and the Swiss regional bank crisis, but more about the limits of econometrics as a means to answer the posed ques- tion. University of Heidelberg I would like to thank HANS GERSBACH for helpful discussion. Swiss Journal of Economics and Statistics 1998, Vol. 134(4.2)705-712 706 EVA TERBERGER-STOY 2. STAUB'S RESULTS: ENOUGH REASON TO DISMISS ECONOMETRIC ANA

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