Artikel
Measuring financial contagion and spillover effects with a state-dependent sensitivity value-at-risk model
In this paper, we measure the size and the direction of the spillover effects among European commercial banks, with respect to their size, geographical position, income sources, and systemic importance for the period from 2006 to 2016, using a state-dependent sensitivity value-at-risk model, conditioning on the state of the financial market. Low during normal times, the same shocks cause notable spillover effects during the volatile period. The results suggest a high level of interconnectedness across all the European regions, highlighting the importance of large and systemic important banks that create considerable systemic risk during the entire period. Regarding the non-interest income banks, the outcomes reveals an alert signal concerning the spillovers spread to interest income banks.
- Sprache
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Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 1 ; Pages: 1-20 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
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European commercial banks
financial contagion
risk spillovers
- Ereignis
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Geistige Schöpfung
- (wer)
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Andrieş, Alin Marius
Galasan, Elena
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
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2020
- DOI
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doi:10.3390/risks8010005
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Andrieş, Alin Marius
- Galasan, Elena
- MDPI
Entstanden
- 2020
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