Systemic risk spillovers in the European banking and sovereign network : [Version September 10, 2014]

  • We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a high-dimensional financial system. Tail risk dependencies and contributions are estimated based on a penalized two-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The framework is applied to a system of 51 large European banks and 17 sovereigns through the period 2006 to 2013, utilizing both equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over the European sovereign debt crisis and how it is reflected in network statistics and systemic risk measures. Illustrating the usefulness of the framework as a monitoring tool, we provide indication for the fragmentation of the European financial system having peaked and that recovery has started.

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Metadaten
Author:Frank Betz, Nikolaus Hautsch, Tuomas A. Peltonen, Melanie SchienleORCiDGND
URN:urn:nbn:de:hebis:30:3-350865
URL:http://ssrn.com/abstract=2504400
DOI:https://doi.org/10.2139/ssrn.2504400
Parent Title (English):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 467
Series (Serial Number):CFS working paper series (467)
Publisher:Center for Financial Studies
Place of publication:Frankfurt, M.
Document Type:Working Paper
Language:English
Year of Completion:2014
Year of first Publication:2014
Publishing Institution:Universit├Ątsbibliothek Johann Christian Senckenberg
Release Date:2014/10/20
Tag:Value-at-Risk; network topology; sovereignbank linkages; systemic risk contribution; tail dependence
Issue:September 10, 2014
Page Number:33
HeBIS-PPN:351155139
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
JEL-Classification:C Mathematical and Quantitative Methods / C2 Single Equation Models; Single Variables / C21 Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions (Updated!)
C Mathematical and Quantitative Methods / C5 Econometric Modeling / C51 Model Construction and Estimation
Sammlungen:Universit├Ątspublikationen
Licence (German):License LogoDeutsches Urheberrecht