Systemic risk spillovers in the European banking and sovereign network

Journal of Financial Stability - Tập 25 - Trang 206-224 - 2016
Frank Betz1, Nikolaus Hautsch2,3, Tuomas A. Peltonen4, Melanie Schienle5
1European Investment Bank, 98-100 Boulevard Konrad Adenauer, 2950 Luxembourg, Luxemburg
2University of Vienna, Department of Statistics and Operations Research, Oskar-Morgenstern-Platz 1, A-1090 Vienna, Austria
3Center for Financial Studies, Frankfurt, Germany
4European Systemic Risk Board, Sonnemannstrasse 20, 60314 Frankfurt am Main, Germany
5Karlsruhe Institute of Technology (KIT), Institute of Economics (ECON), Schlossbezirk 12, 76131 Karlsruhe, Germany

Tài liệu tham khảo

Acharya, 2012, Capital shortfall: a new approach to ranking and regulating systemic risks, Am. Econ. Rev.: Pap. Proc., 102, 59, 10.1257/aer.102.3.59 Acharya, 2010 Adrian, 2011 Allen, 2000, Financial contagion, J. Polit. Econ., 108, 1, 10.1086/262109 Alter, 2014, The dynamics of spillover effects during the European sovereign debt turmoil, J. Bank. Finance, 42, 134, 10.1016/j.jbankfin.2014.01.030 Alter, 2015, The dynamics of spillover effects during the European sovereign debt turmoil, J. Central Bank., 11, 329 Alter, 2012, Credit spread interdependencies of European states and banks during the financial crisis, J. Bank. Finance, 36, 3444, 10.1016/j.jbankfin.2012.08.002 Arnold, 2012, Sovereign debt exposures and banking risks in the current EU financial crisis, J. Policy Model., 34, 906, 10.1016/j.jpolmod.2012.05.016 Bae, 2003, A new approach to measuring financial contagion, Rev. Financ. Stud., 16, 717, 10.1093/rfs/hhg012 Belloni, 2011, l1-penalized quantile regression in high-dimensional sparse models, Ann. Stat., 39, 82, 10.1214/10-AOS827 Berkowitz, 2011, Evaluating value-at-risk models with desk-level data, Manage. Sci., 57, 2213, 10.1287/mnsc.1080.0964 Betz, 2014, Predicting distress in European banks, J. Bank. Finance, 45, 225, 10.1016/j.jbankfin.2013.11.041 Brownlees, 2012 Bruyckere, 2013, Bank/sovereign risk spillovers in the European debt crisis, J. Bank. Finance, 37, 4793, 10.1016/j.jbankfin.2013.08.012 Chinazzi, 2013, Systemic Risk, Contagion, and Financial Networks: A Survey, 10.2139/ssrn.2243504 Cont, 2013, Network structure and systemic risk in banking systems Correa, 2014, Sovereign credit risk banks’ government support and bank stock returns around the world, J. Money Credit Bank., 46, 93, 10.1111/jmcb.12080 Ejsing, 2011, The Janus-headed salvation: sovereign and bank credit risk premia during 2008–2009, Econ. Lett., 110, 28, 10.1016/j.econlet.2010.10.001 Engle, 2015, Systemic risk in Europe, Rev. Finance, 19, 145, 10.1093/rof/rfu012 Gropp, 2009, Cross-border bank contagion in Europe, Int. J. Central Bank., 5, 97 Hartmann, 2004, Asset market linkages in crisis periods, Rev. Econ. Stat., 86, 313, 10.1162/003465304323023831 Hautsch, 2014, Forecasting systemic impact in financial networks, Int. J. Forecast., 30, 781, 10.1016/j.ijforecast.2013.09.004 Hautsch, 2015, Financial network systemic risk contributions, Rev. Finance, 19, 685, 10.1093/rof/rfu010 Koenker, 1978, Regression Quantiles, Econometrica, 46, 33, 10.2307/1913643 Löffler, 2013 Minoiu, 2013 Wu, 2009, Variable selection in quantile regression, Stat. Sin., 19, 801