"Systemic Risk determinants in the European Banking Industry during Financial Crises, 2006 - 2012"

Carlo Bellavite Pellegrini, Laura Pellegrini, Michele Meoli, Giovanni Urga

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

1 Citazioni (Scopus)

Abstract

The recent financial turmoil has stimulated a rich debate in banking and financial literature on the identification of systemic risk determinants and devices to forecast and prevent crises. This paper explores the contribution of corporate variables to systemic risk using the CoVaR approach (Adrian and Brunnermeier, 2016). Using balanced panel data on 141 European banks from 24 countries, which were listed from 2006Q1 to 2012Q4, we investigated the impact of corporate variables during the three regimes that characterised the European banking sector–the subprime crisis (2007Q3-2008Q3), the European Great Financial Depression (2008Q4-2010Q2), and the sovereign debt crisis (2010Q3-2012Q4). Our results show that size did not play a significant role in spreading systemic risk, while maturity mismatch did. However, the nature and intensity of these two determinants varied across the three regimes.
Lingua originaleEnglish
pagine (da-a)109-122
Numero di pagine14
RivistaRivista Internazionale di Scienze Sociali
Volume2018
DOI
Stato di pubblicazionePubblicato - 2018

Keywords

  • Banking System
  • CoVaR
  • Global Financial Crises
  • Panel data
  • Systemic Risk
  • Value at Risk

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