Did the Euro Increase Systemic Risk?
39 Pages Posted: 13 Jul 2013
Date Written: July 9, 2013
Abstract
We examine the effect of the introduction of the euro on the level of systemic risk for countries that adopted the common currency (euro-zone countries). Our measure of systemic risk is ∆CoVaR, introduced by Adrian and Brunnermeier (2010). We analyze the 1990-2010 period, use a large cross-section of banks from more than 56 countries and implement differences-in-differences tests. We report a significant increase in systemic risk for euro-zone countries after the introduction of the euro. We explore different economic channels that may explain how the euro affected the countries’ systemic risk.
Keywords: systemic risk, euro, monetary union
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Financial Integration and Systemic Risk
By Falko Fecht and H. P. Gruner
-
Financial Integration, Specialization and Systemic Risk
By Falko Fecht, Hans Peter Gruener, ...
-
Financial Integration, Specialization, and Systemic Risk
By Falko Fecht, H. P. Gruner, ...
-
Financial Integration, Specialization, and Systemic Risk
By Falko Fecht, H. P. Gruner, ...
-
Welfare Effects of Financial Integration
By Falko Fecht, H. P. Gruner, ...
-
Country and Industry Equity Risk Premia in the Euro Area: An Intertemporal Approach
By Lorenzo Cappiello, Marco Lo Duca, ...
-
Financial Liberalization and Contagion with Unobservable Savings
-
Limits to International Banking Consolidation
By Falko Fecht and H. P. Gruner
-
European Financial Market Dependence: An Industry Analysis
By Söhnke M. Bartram and Yaw-huei Wang