The Library
How macroeconomic conditions affect systemic risk in the short and long-run?
Tools
Tools
Tools
Kurter, Zeynep O. (2022) How macroeconomic conditions affect systemic risk in the short and long-run? Working Paper. Coventry, UK: University of Warwick. Department of Economics. Warwick economics research papers series (WERPS) (1407). (Unpublished)
|
PDF
WRAP-How-macroeconomic-conditions-affect-systemic-risk-in-the-short-and-long-run-Zeynep-22.pdf - Published Version - Requires a PDF viewer. Download (874Kb) | Preview |
Official URL: https://warwick.ac.uk/fac/soc/economics/research/w...
Abstract
This study quantifies the effects of macroeconomic variables on various market-based systemic-risk measures in 24 European banks over the 2008-2019 period. In a first step, I measure daily systemic risk for banks based on ∆CoVaR, MES, and SRISK frameworks, and examine the contributions of individual banks to aggregate systemic risk during specific stress events. Systemic risk in European banks has risen in the wake of the global financial crisis and the Brexit referendum result. In a second step, I investigate how macroeconomic conditions affect systemic risk in the short and long-run. I find that three systemic risk measures have a long-run stable relationship with EU industrial production, EU inflation, Euribor, and US equity market volatility, but some variables have opposite effects in the short and long-run.
| Item Type: | Working or Discussion Paper (Working Paper) | ||||||
|---|---|---|---|---|---|---|---|
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HD Industries. Land use. Labor H Social Sciences > HG Finance |
||||||
| Divisions: | Faculty of Social Sciences > Economics | ||||||
| Library of Congress Subject Headings (LCSH): | Macroeconomics , Banks and banking , Banks and banking -- Risk management , Risk assessment, Financial risk, Financial futures, Quantile regression | ||||||
| Series Name: | Warwick economics research papers series (WERPS) | ||||||
| Publisher: | University of Warwick. Department of Economics | ||||||
| Place of Publication: | Coventry, UK | ||||||
| ISSN: | 0083-7350 | ||||||
| Official Date: | May 2022 | ||||||
| Dates: |
|
||||||
| Number: | 1407 | ||||||
| Number of Pages: | 42 | ||||||
| Institution: | University of Warwick | ||||||
| Status: | Not Peer Reviewed | ||||||
| Publication Status: | Unpublished | ||||||
| Access rights to Published version: | Open Access | ||||||
| Description: |
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
Downloads
Downloads per month over past year
