Identifying Systemically Important Banks: A Transfer Entropy Approach
Identifikácia systémovo významných bánk: Metóda transferovej entropie
Ekonomika a spoločnosť, Volume 27, Number 1/2026
DOI: https://doi.org/10.24040/eas.2026.27.1.08
Odporúčaná forma citácie článku:
Prokopová, N., Zoričáková, J., Šafár, L. & Mešťan, M. (2026). Identifikácia systémovo významných bánk: Metóda transferovej entropie. Ekonomika a spoločnosť, 27 (1), 1-20. https://doi.org/10.24040/eas.2026.27.1.08
Recommended form for quotation of the article:
Prokopová, N., Zoričáková, J., Šafár, L. & Mešťan, M. (2026). Identifying Systemically Important Banks: A Transfer Entropy Approach. Journal of Economics and Social Research, 27 (1), 1-20. https://doi.org/10.24040/eas.2026.27.1.08
ABSTRACT
In recent years, the banking sector has been exposed to several negative shocks, leading to higher interconnectedness and increased systemic risk. The aim of this study is to examine the structure of the global banking sector and identify systemically important banking institutions in the context of risk transmission. Using daily stock price data from 77 global banks from November 2015 to December 2025, we apply the transfer entropy method to construct a TE-weighted network. The results confirm a high degree of interconnectedness within the banking sector. Banks such as BoCom, Goldman Sachs, Industrial Bank, KB Financial Group, and HDFC Bank are identified as the most systemically important banks. These banks primarily act as receivers of risk, which they may subsequently transmit to other parts of the system. In contrast, banks such as Deutsche Bank, PNC, and Hua Xia Bank represent key sources of risk transmission within the banking sector.
Key words: Systemic risk. Banking sector. SIFIs. Transfer entropy.